Time series causal discovery with variable lags
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arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2026
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| _version_ | 1866918489540788224 |
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| author | Petrungaro, Bruno Constantinou, Anthony C. |
| author_facet | Petrungaro, Bruno Constantinou, Anthony C. |
| contents | Causal Bayesian Networks (CBNs) are a powerful tool for reasoning under uncertainty about complex real-world problems. Such problems evolve over time, responding to external shocks as they occur. To support decision-making, CBNs require a cause-and-effect map of the variables under consideration, known as the network's structure. Learning the graphical structure of a causal model from data remains challenging; learning it from time-series data is even harder because dependencies may arise at different time lags. Existing time-series causal discovery methods often assume a fixed lag window and do not explicitly optimise edge-specific lags. We propose a Tabu-based structure learning algorithm that searches for a time-ordered directed structure (i.e., where every edge respects time) while allowing edge-specific lags up to a specified maximum lag. The approach uses a decomposable BIC-based score with node-specific effective sample sizes and an explicit lag-length penalty encouraging parsimonious delay assignments while preserving efficient local score updates. We provide theoretical guarantees of validity and local optimality, and we also describe a parallel implementation for improved scalability. In simulations, the method recovered graph structure competitively and estimated lags accurately when true adjacencies were recovered. On a real-world UK COVID-19 policy dataset, the learnt structure was dominated by short delays while retaining a substantial minority of longer-lag dependencies, consistent with delayed behavioural and epidemiological effects. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_04081 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Time series causal discovery with variable lags Petrungaro, Bruno Constantinou, Anthony C. Machine Learning Artificial Intelligence Causal Bayesian Networks (CBNs) are a powerful tool for reasoning under uncertainty about complex real-world problems. Such problems evolve over time, responding to external shocks as they occur. To support decision-making, CBNs require a cause-and-effect map of the variables under consideration, known as the network's structure. Learning the graphical structure of a causal model from data remains challenging; learning it from time-series data is even harder because dependencies may arise at different time lags. Existing time-series causal discovery methods often assume a fixed lag window and do not explicitly optimise edge-specific lags. We propose a Tabu-based structure learning algorithm that searches for a time-ordered directed structure (i.e., where every edge respects time) while allowing edge-specific lags up to a specified maximum lag. The approach uses a decomposable BIC-based score with node-specific effective sample sizes and an explicit lag-length penalty encouraging parsimonious delay assignments while preserving efficient local score updates. We provide theoretical guarantees of validity and local optimality, and we also describe a parallel implementation for improved scalability. In simulations, the method recovered graph structure competitively and estimated lags accurately when true adjacencies were recovered. On a real-world UK COVID-19 policy dataset, the learnt structure was dominated by short delays while retaining a substantial minority of longer-lag dependencies, consistent with delayed behavioural and epidemiological effects. |
| title | Time series causal discovery with variable lags |
| topic | Machine Learning Artificial Intelligence |
| url | https://arxiv.org/abs/2605.04081 |