Detecting changes in coupling with Granger causality method from time series with fast transient processes

The ability of the Granger causality method to detect directed coupling between subsystems of a complex system in a moving time window is investigated on etalon oscillators. In particular, the time series consisting of alternate stationary regimes characterised by the different amplitude and shape of oscillations with fast transient processes between these regimes are considered, with similar transitions being possible due to changes either in the coupling or in the individual properties of subsystems. Two popular approaches to surrogate times series generation are used to check the significance of the method results. Two model structures: the standard linear and the special non-linear adapted to data are implemented. The Granger causality method using the model structure adapted to data is shown to be significantly advantageous in detecting coupling directionality and the instant time of the regime change than the standard linear method, while in some cases the sensitivity and the specificity of the adapted approach are insufficient. (C) 2015 Elsevier B.V. All rights reserved.