4/8/2015, RCGI and mBTS: The software in Matlab developed together with Elsa Siggiridou for the restricted conditional Granger causality index (RCGCI) based on the dynamic regression model derived by the modified backward-in-time selection (mBTS) algorithm (submitted paper) is here. The zip file opens to a folder containing an example script and the functions implementing the algorithm (see first the file README.txt).
Updated 3/4/215, PMIME: The software in Matlab for the direct causality measure of Partial Mutual Information from Mixed Embedding (PMIME) is here. The measure is presented in the paper: D. Kugiumtzis, "Direct coupling information measure from non-uniform embedding", Physical Review E, Vol 87, 062918, 2013.
Last updated MATS: Together with Alkiviadis
Tsimpiris we have developed the Measures of Analysis of Time Series (MATS)
open source matlab toolkit. You may download MATS from
You can also download it from the web-page of the Journal of Statistical Software (free access) at http://www.jstatsoft.org/v33/i05/ .You can also find the paper presenting MATS there.
Last updated, STAP: The software in Matlab for the generation of surrogate time series with the algorithm of Statistically Transformed Autoregressive Process (STAP) is here. The measure is presented in the paper: D. Kugiumtzis, "Statically Transformed Autoregressive Process and Surrogate Data Test for Nonlinearity", Physical Review E, Vol 66, 025201, 2002.
Last updated 4/8/2015.