Characterizing time series: When Granger causality triggers complex networks

Abstract

In this paper, we propose a new approach to characterize time series with noise perturbations in both the time and frequency domains by combining Granger causality and complex networks. We construct directed and weighted complex networks from time series and use representative network measures to describe their physical and topological properties. Through analyzing the typical dynamical behaviors of some physical models and the MIT-BIH 7 human electrocardiogram data sets, we show that the proposed approach is able to capture and characterize various dynamics and has much potential for analyzing real-world time series of rather short length.