A Multitaper, Causal Decomposition for Stochastic, Multivariate Time Series: Application to High-Frequency Calcium Imaging Data (1703.05414v1)

Abstract: Neural data analysis has increasingly incorporated causal information to study circuit connectivity. Dimensional reduction forms the basis of most analyses of large multivariate time series. Here, we present a new, multitaper-based decomposition for stochastic, multivariate time series that acts on the covariance of the time series at all lags, $C(\tau)$, as opposed to standard methods that decompose the time series, $\mathbf{X}(t)$, using only information at zero-lag. In both simulated and neural imaging examples, we demonstrate that methods that neglect the full causal structure may be discarding important dynamical information in a time series.