Multiscale Information Decomposition: Exact Computation for Multivariate Gaussian Processes

Multiscale Information Decomposition: Exact Computation for Multivariate Gaussian Processes

Exploiting the theory of state space models, we derive the exact expressions of the information transfer, as well as redundant and synergistic transfer, for coupled Gaussian processes observed at multiple temporal scales. All of the terms, constituting the frameworks known as interaction information...

Full description

Bibliographic Details
Main Authors: Luca Faes, Daniele Marinazzo, Sebastiano Stramaglia
Format: Article
Language:English
Published: MDPI AG 2017-08-01
Series:Entropy
Subjects:
information dynamics
information transfer
multiscale entropy
multivariate time series analysis
redundancy and synergy
state space models
vector autoregressive models
Online Access:https://www.mdpi.com/1099-4300/19/8/408

Internet

https://www.mdpi.com/1099-4300/19/8/408

Similar Items