  Since interactions in neural systems occur across multiple temporal scales,
it is likely that information flow will exhibit a multiscale structure, thus
requiring a multiscale generalization of classical temporal precedence
causality analysis like Granger's approach. However, the computation of
multiscale measures of information dynamics is complicated by theoretical and
practical issues such as filtering and undersampling: to overcome these
problems, we propose a wavelet-based approach for multiscale Granger causality
(GC) analysis, which is characterized by the following properties: (i) only the
candidate driver variable is wavelet transformed (ii) the decomposition is
performed using the \`a trous wavelet transform with cubic B-spline filter. We
measure GC, at a given scale, by including the wavelet coefficients of the
driver times series, at that scale, in the regression model of the target. To
validate our method, we apply it to publicly available scalp EEG signals, and
we find that the condition of closed eyes, at rest, is characterized by an
enhanced GC among channels at slow scales w.r.t. eye open condition, whilst the
standard Granger causality is not significantly different in the two
conditions.
