Provided is a method of extracting a mediator variable and a mediation influence from a multivariate set. The method includes: receiving a database in which a set of N multiple variables (N is a natural number) including at least one of discrete time series data or continuous time series data is stored; selecting a test variable set including an independent variable, a dependent variable, and a mediator variable from the database in which the multivariate set is stored; determining the mediator variable using transfer entropy and conditional transfer entropy for the selected test variable set; and calculating a mediation influence of the determined mediator variable, wherein the mediation influence is separately calculated as an individual causal influence of the mediator variable and a group causal influence of mediator variables.