Variable-Lag Time Series Causality Inference Framework
Overview
A framework to infer causality on a pair of time series of real numbers based on variable-lag Granger causality and transfer entropy. Typically, Granger causality and transfer entropy have an assumption of a fixed and constant time delay between the cause and effect. However, for a non-stationary time series, this assumption is not true. For example, considering two time series of velocity of person A and person B where B follows A. At some time, B stops tying his shoes, then running to catch up A. The fixed-lag assumption is not true in this case. We propose a framework that allows variable-lags between cause and effect in Granger causality and transfer entropy to allow them to deal with variable-lag non-stationary time series. Please see Chainarong Amornbunchornvej, Elena Zheleva, and Tanya Berger-Wolf (2021) doi:10.1145/3441452 when referring to this package in publications.
- Update to fix ccf NA issue in time series
From NEWS.md in the release
Install
Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK14 OK2026-03-10
Documentation
- Help pages
- 11
- Examples that run
- 73%8 run in a plain check · 3 hold no code
- Exported functions with examples
- 100%
- Documented parameters
- 96%
- Return-value docs
- 100%
- Help pages citing references
- 0%
- VLTimeCausality_demo HTML
Downloads
Repository
- PRs merged (all time)
- not measured
- Median days to close, 50 most recently updated closed issues
- 2
- Median days to close, 50 most recently updated closed PRs
- not measured
Stars over time
4 development-tooling and community-health practices detected across 4 families in the upstream repository
Checks run against github.com/darkeyes/vltimeseriescausality on 2026-10-21.
Dependencies
Installing VLTimeCausality adds 35 packages (20 with compiled code, 21 MB of source tarballs). Heaviest: ggplot2 6.0 MB, Rcpp 1.8 MB, isoband 1.5 MB.
Code & Tests
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- RR 4.6.0 released · 2026-04-24
- RR 4.5.0 released · 2025-04-11
- 0.1.5Latest
- RR 4.4.0 released · 2024-04-24
- RR 4.3.0 released · 2023-04-21
- RR 4.2.0 released · 2022-04-22
- 0.1.4
- RR 4.1.0 released · 2021-05-18
- 0.1.32021-05-08 · diff ↗
- 0.1.22021-03-29 · diff ↗
- 0.1.12020-05-17 · diff ↗
- RR 4.0.0 released · 2020-04-24
- 0.1.02019-12-20
- RR 3.6.0 released · 2019-04-26
Package metadata
- First published
- 2019-12-20
- Total releases
- 6 / 7 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.5.0
- Download size
- 177 KB
Cite
Cite this package
Run in R for the authors' entry:
citation("VLTimeCausality")The package provides a citation file, so citation() returns the authors' own entry.
It points to 10.1145/3441452.
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