Independence Testing for Multivariate Time Series Article Swipe
YOU?
·
· 2019
· Open Access
·
Complex data structures such as time series are increasingly present in modern data science problems. A fundamental question is whether two such time-series are statistically dependent. Many current approaches make parametric assumptions on the random processes, only detect linear association, require multiple tests, or forfeit power in high-dimensional, nonlinear settings. Estimating the distribution of any test statistic under the null is non-trivial, as the permutation test is invalid. This work juxtaposes distance correlation (Dcorr) and multiscale graph correlation (MGC) from independence testing literature and block permutation from time series analysis to address these challenges. The proposed nonparametric procedure is valid and consistent, building upon prior work by characterizing the geometry of the relationship, estimating the time lag at which dependence is maximized, avoiding the need for multiple testing, and exhibiting superior power in high-dimensional, low sample size, nonlinear settings. Neural connectivity is analyzed via fMRI data, revealing linear dependence of signals within the visual network and default mode network, and nonlinear relationships in other networks. This work uncovers a first-resort data analysis tool with open-source code available, directly impacting a wide range of scientific disciplines.
Related Topics
- Type
- preprint
- Language
- en
- Landing Page
- https://arxiv.org/pdf/1908.06486v3
- OA Status
- green
- Cited By
- 3
- References
- 20
- Related Works
- 20
- OpenAlex ID
- https://openalex.org/W3024152454
Raw OpenAlex JSON
- OpenAlex ID
-
https://openalex.org/W3024152454Canonical identifier for this work in OpenAlex
- Title
-
Independence Testing for Multivariate Time SeriesWork title
- Type
-
preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2019Year of publication
- Publication date
-
2019-08-18Full publication date if available
- Authors
-
Ronak Mehta, Jaewon Chung, Cencheng Shen, Ting Xu, Joshua T VogelsteinList of authors in order
- Landing page
-
https://arxiv.org/pdf/1908.06486v3Publisher landing page
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
-
https://arxiv.org/pdf/1908.06486v3Direct OA link when available
- Concepts
-
Permutation (music), Multivariate statistics, Computer science, Test statistic, Nonparametric statistics, Time series, Statistic, Independence (probability theory), Nonlinear system, Series (stratigraphy), Range (aeronautics), Statistical hypothesis testing, Algorithm, Data mining, Mathematics, Statistics, Machine learning, Engineering, Acoustics, Physics, Aerospace engineering, Quantum mechanics, Biology, PaleontologyTop concepts (fields/topics) attached by OpenAlex
- Cited by
-
3Total citation count in OpenAlex
- Citations by year (recent)
-
2020: 1, 2019: 1, 2018: 1Per-year citation counts (last 5 years)
- References (count)
-
20Number of works referenced by this work
- Related works (count)
-
20Other works algorithmically related by OpenAlex
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| abstract_inverted_index.work | 69, 105, 166 |
| abstract_inverted_index.(MGC) | 78 |
| abstract_inverted_index.block | 84 |
| abstract_inverted_index.data, | 145 |
| abstract_inverted_index.graph | 76 |
| abstract_inverted_index.other | 163 |
| abstract_inverted_index.power | 45, 131 |
| abstract_inverted_index.prior | 104 |
| abstract_inverted_index.range | 181 |
| abstract_inverted_index.size, | 136 |
| abstract_inverted_index.these | 92 |
| abstract_inverted_index.under | 57 |
| abstract_inverted_index.valid | 99 |
| abstract_inverted_index.which | 118 |
| abstract_inverted_index.Neural | 139 |
| abstract_inverted_index.detect | 37 |
| abstract_inverted_index.linear | 38, 147 |
| abstract_inverted_index.modern | 11 |
| abstract_inverted_index.random | 34 |
| abstract_inverted_index.sample | 135 |
| abstract_inverted_index.series | 6, 88 |
| abstract_inverted_index.tests, | 42 |
| abstract_inverted_index.visual | 153 |
| abstract_inverted_index.within | 151 |
| abstract_inverted_index.(Dcorr) | 73 |
| abstract_inverted_index.Complex | 0 |
| abstract_inverted_index.address | 91 |
| abstract_inverted_index.current | 27 |
| abstract_inverted_index.default | 156 |
| abstract_inverted_index.forfeit | 44 |
| abstract_inverted_index.network | 154 |
| abstract_inverted_index.present | 9 |
| abstract_inverted_index.require | 40 |
| abstract_inverted_index.science | 13 |
| abstract_inverted_index.signals | 150 |
| abstract_inverted_index.testing | 81 |
| abstract_inverted_index.whether | 19 |
| abstract_inverted_index.analysis | 89, 171 |
| abstract_inverted_index.analyzed | 142 |
| abstract_inverted_index.avoiding | 122 |
| abstract_inverted_index.building | 102 |
| abstract_inverted_index.directly | 177 |
| abstract_inverted_index.distance | 71 |
| abstract_inverted_index.geometry | 109 |
| abstract_inverted_index.invalid. | 67 |
| abstract_inverted_index.multiple | 41, 126 |
| abstract_inverted_index.network, | 158 |
| abstract_inverted_index.proposed | 95 |
| abstract_inverted_index.question | 17 |
| abstract_inverted_index.superior | 130 |
| abstract_inverted_index.testing, | 127 |
| abstract_inverted_index.uncovers | 167 |
| abstract_inverted_index.impacting | 178 |
| abstract_inverted_index.networks. | 164 |
| abstract_inverted_index.nonlinear | 48, 137, 160 |
| abstract_inverted_index.problems. | 14 |
| abstract_inverted_index.procedure | 97 |
| abstract_inverted_index.revealing | 146 |
| abstract_inverted_index.settings. | 49, 138 |
| abstract_inverted_index.statistic | 56 |
| abstract_inverted_index.Estimating | 50 |
| abstract_inverted_index.approaches | 28 |
| abstract_inverted_index.available, | 176 |
| abstract_inverted_index.dependence | 119, 148 |
| abstract_inverted_index.dependent. | 25 |
| abstract_inverted_index.estimating | 113 |
| abstract_inverted_index.exhibiting | 129 |
| abstract_inverted_index.juxtaposes | 70 |
| abstract_inverted_index.literature | 82 |
| abstract_inverted_index.maximized, | 121 |
| abstract_inverted_index.multiscale | 75 |
| abstract_inverted_index.parametric | 30 |
| abstract_inverted_index.processes, | 35 |
| abstract_inverted_index.scientific | 183 |
| abstract_inverted_index.structures | 2 |
| abstract_inverted_index.assumptions | 31 |
| abstract_inverted_index.challenges. | 93 |
| abstract_inverted_index.consistent, | 101 |
| abstract_inverted_index.correlation | 72, 77 |
| abstract_inverted_index.fundamental | 16 |
| abstract_inverted_index.open-source | 174 |
| abstract_inverted_index.permutation | 64, 85 |
| abstract_inverted_index.time-series | 22 |
| abstract_inverted_index.association, | 39 |
| abstract_inverted_index.connectivity | 140 |
| abstract_inverted_index.disciplines. | 184 |
| abstract_inverted_index.distribution | 52 |
| abstract_inverted_index.first-resort | 169 |
| abstract_inverted_index.increasingly | 8 |
| abstract_inverted_index.independence | 80 |
| abstract_inverted_index.non-trivial, | 61 |
| abstract_inverted_index.nonparametric | 96 |
| abstract_inverted_index.relationship, | 112 |
| abstract_inverted_index.relationships | 161 |
| abstract_inverted_index.statistically | 24 |
| abstract_inverted_index.characterizing | 107 |
| abstract_inverted_index.high-dimensional, | 47, 133 |
| cited_by_percentile_year | |
| countries_distinct_count | 0 |
| institutions_distinct_count | 5 |
| citation_normalized_percentile |