Software

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 http://eeganalysis.web.auth.gr.
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.