Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe)
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| Format: | Preprint |
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2025
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| _version_ | 1866908370197282816 |
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| author | Cornell, Cameron Mitchell, Lewis Roughan, Matthew |
| author_facet | Cornell, Cameron Mitchell, Lewis Roughan, Matthew |
| contents | Causal networks offer an intuitive framework to understand influence structures within time series systems. However, the presence of cycles can obscure dynamic relationships and hinder hierarchical analysis. These networks are typically identified through multivariate predictive modelling, but enforcing acyclic constraints significantly increases computational and analytical complexity. Despite recent advances, there remains a lack of simple, flexible approaches that are easily tailorable to specific problem instances. We propose an evolutionary approach to fitting acyclic vector autoregressive processes and introduces a novel hierarchical representation that directly models structural elements within a time series system. On simulated datasets, our model retains most of the predictive accuracy of unconstrained models and outperforms permutation-based alternatives. When applied to a dataset of 100 cryptocurrency return series, our method generates acyclic causal networks capturing key structural properties of the unconstrained model. The acyclic networks are approximately sub-graphs of the unconstrained networks, and most of the removed links originate from low-influence nodes. Given the high levels of feature preservation, we conclude that this cryptocurrency price system functions largely hierarchically. Our findings demonstrate a flexible, intuitive approach for identifying hierarchical causal networks in time series systems, with broad applications to fields like econometrics and social network analysis. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2505_12806 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe) Cornell, Cameron Mitchell, Lewis Roughan, Matthew Statistical Finance Neural and Evolutionary Computing Causal networks offer an intuitive framework to understand influence structures within time series systems. However, the presence of cycles can obscure dynamic relationships and hinder hierarchical analysis. These networks are typically identified through multivariate predictive modelling, but enforcing acyclic constraints significantly increases computational and analytical complexity. Despite recent advances, there remains a lack of simple, flexible approaches that are easily tailorable to specific problem instances. We propose an evolutionary approach to fitting acyclic vector autoregressive processes and introduces a novel hierarchical representation that directly models structural elements within a time series system. On simulated datasets, our model retains most of the predictive accuracy of unconstrained models and outperforms permutation-based alternatives. When applied to a dataset of 100 cryptocurrency return series, our method generates acyclic causal networks capturing key structural properties of the unconstrained model. The acyclic networks are approximately sub-graphs of the unconstrained networks, and most of the removed links originate from low-influence nodes. Given the high levels of feature preservation, we conclude that this cryptocurrency price system functions largely hierarchically. Our findings demonstrate a flexible, intuitive approach for identifying hierarchical causal networks in time series systems, with broad applications to fields like econometrics and social network analysis. |
| title | Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe) |
| topic | Statistical Finance Neural and Evolutionary Computing |
| url | https://arxiv.org/abs/2505.12806 |