Causal Discovery in Semi-Stationary Time Series
Fuente:
arXiv
Saved in:
| Main Authors: | , , , , |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866914864566370304 |
|---|---|
| author | Gao, Shanyun Addanki, Raghavendra Yu, Tong Rossi, Ryan A. Kocaoglu, Murat |
| author_facet | Gao, Shanyun Addanki, Raghavendra Yu, Tong Rossi, Ryan A. Kocaoglu, Murat |
| contents | Discovering causal relations from observational time series without making the stationary assumption is a significant challenge. In practice, this challenge is common in many areas, such as retail sales, transportation systems, and medical science. Here, we consider this problem for a class of non-stationary time series. The structural causal model (SCM) of this type of time series, called the semi-stationary time series, exhibits that a finite number of different causal mechanisms occur sequentially and periodically across time. This model holds considerable practical utility because it can represent periodicity, including common occurrences such as seasonality and diurnal variation. We propose a constraint-based, non-parametric algorithm for discovering causal relations in this setting. The resulting algorithm, PCMCI$_Ω$, can capture the alternating and recurring changes in the causal mechanisms and then identify the underlying causal graph with conditional independence (CI) tests. We show that this algorithm is sound in identifying causal relations on discrete time series. We validate the algorithm with extensive experiments on continuous and discrete simulated data. We also apply our algorithm to a real-world climate dataset. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_07291 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Causal Discovery in Semi-Stationary Time Series Gao, Shanyun Addanki, Raghavendra Yu, Tong Rossi, Ryan A. Kocaoglu, Murat Machine Learning Artificial Intelligence I.2.6, G.3 Discovering causal relations from observational time series without making the stationary assumption is a significant challenge. In practice, this challenge is common in many areas, such as retail sales, transportation systems, and medical science. Here, we consider this problem for a class of non-stationary time series. The structural causal model (SCM) of this type of time series, called the semi-stationary time series, exhibits that a finite number of different causal mechanisms occur sequentially and periodically across time. This model holds considerable practical utility because it can represent periodicity, including common occurrences such as seasonality and diurnal variation. We propose a constraint-based, non-parametric algorithm for discovering causal relations in this setting. The resulting algorithm, PCMCI$_Ω$, can capture the alternating and recurring changes in the causal mechanisms and then identify the underlying causal graph with conditional independence (CI) tests. We show that this algorithm is sound in identifying causal relations on discrete time series. We validate the algorithm with extensive experiments on continuous and discrete simulated data. We also apply our algorithm to a real-world climate dataset. |
| title | Causal Discovery in Semi-Stationary Time Series |
| topic | Machine Learning Artificial Intelligence I.2.6, G.3 |
| url | https://arxiv.org/abs/2407.07291 |