Analyzing relationships among ARMA processes based on non-Gaussianity of external influences
The analysis of a relationship among variables in data generating systems is one of the important problems in machine learning. In this paper, we propose an approach for estimating a graphical representation of variables in data generating processes, based on the non-Gaussianity of external influences and an autoregressive moving-average (ARMA) model. The presented model consists of two parts, i.e., a classical structural-equation model for instantaneous effects and an ARMA model for lagged effects in processes, and is estimated through the analysis using the non-Gaussianity on the residual processes. As well as the recently proposed non-Gaussianity based method named LiNGAM analysis, the estimation by the proposed method has identifiability and consistency. We also address the relation of the estimated structure by our method to the Granger causality. Finally, we demonstrate analyses on the data containing both of the instantaneous causality and the Granger (temporal) causality by using our proposed method where the datasets for the demonstration cover both artificial and real physical systems.
non-gaussianity graphical modeling time-series data autoregressive moving-average model