Compositional dynamic modelling for causal prediction in multivariate time series
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arXiv
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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866913377012416512 |
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| author | Li, Kevin Tierney, Graham Hellmayr, Christoph West, Mike |
| author_facet | Li, Kevin Tierney, Graham Hellmayr, Christoph West, Mike |
| contents | Theoretical developments in sequential Bayesian analysis of multivariate dynamic models underlie new methodology for causal prediction. This extends the utility of existing models with computationally efficient methodology, enabling routine exploration of Bayesian counterfactual analyses with multiple selected time series as synthetic controls. Methodological contributions also define the concept of outcome adaptive modelling to monitor and inferentially respond to changes in experimental time series following interventions designed to explore causal effects. The benefits of sequential analyses with time-varying parameter models for causal investigations are inherited in this broader setting. A case study in commercial causal analysis-- involving retail revenue outcomes related to marketing interventions-- highlights the methodological advances. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_02320 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Compositional dynamic modelling for causal prediction in multivariate time series Li, Kevin Tierney, Graham Hellmayr, Christoph West, Mike Methodology Applications 62F15, Bayesian 62M10 Time series 62D20 - causal 62F15, 62M10, 62D20 Theoretical developments in sequential Bayesian analysis of multivariate dynamic models underlie new methodology for causal prediction. This extends the utility of existing models with computationally efficient methodology, enabling routine exploration of Bayesian counterfactual analyses with multiple selected time series as synthetic controls. Methodological contributions also define the concept of outcome adaptive modelling to monitor and inferentially respond to changes in experimental time series following interventions designed to explore causal effects. The benefits of sequential analyses with time-varying parameter models for causal investigations are inherited in this broader setting. A case study in commercial causal analysis-- involving retail revenue outcomes related to marketing interventions-- highlights the methodological advances. |
| title | Compositional dynamic modelling for causal prediction in multivariate time series |
| topic | Methodology Applications 62F15, Bayesian 62M10 Time series 62D20 - causal 62F15, 62M10, 62D20 |
| url | https://arxiv.org/abs/2406.02320 |