Detecting Nonlinear Causality in Multivariate Time Series with Sparse Additive Models

11 Mar 2018 Yingxiang Yang Adams Wei Yu Zhaoran Wang Tuo Zhao

We propose a nonparametric method for detecting nonlinear causal relationship within a set of multidimensional discrete time series, by using sparse additive models (SpAMs). We show that, when the input to the SpAM is a $\beta$-mixing time series, the model can be fitted by first approximating each unknown function with a linear combination of a set of B-spline bases, and then solving a group-lasso-type optimization problem with nonconvex regularization... (read more)

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