Kernel Methods for Nonlinear Connectivity Detection

Abstract

In this paper, we show that the presence of nonlinear coupling between time series may be detected employing kernel feature space representations alone dispensing with the need to go back to solve the pre-image problem to gauge model adequacy. As a consequence, the canonical methodology for model construction, diagnostics, and Granger connectivity inference applies with no change other than computation using kernels in lieu of second-order moments.