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Discovering contemporaneous and lagged causal relations in autocorrelated nonlinear time series datasets

机译:在自相关非线性时间序列数据集中发现同时滞后的因果关系

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The paper introduces a novel conditional independence (CI) based method for linear and nonlinear, lagged and contemporaneous causal discovery from observational time series in the causally sufficient case. Existing CI-based methods such as the PC algorithm and also common methods from other frameworks suffer from low recall and partially inflated false positives for strong autocorrelation which is an ubiquitous challenge in time series. The novel method, PCMCI$^+$, extends PCMCI [Runge et al., 2019b] to include discovery of contemporaneous links. PCMCI$^+$ improves the reliability of CI tests by optimizing the choice of conditioning sets and even benefits from autocorrelation. The method is order-independent and consistent in the oracle case. A broad range of numerical experiments demonstrates that PCMCI$^+$ has higher adjacency detection power and especially more contemporaneous orientation recall compared to other methods while better controlling false positives. Optimized conditioning sets also lead to much shorter runtimes than the PC algorithm. PCMCI$^+$ can be of considerable use in many real world application scenarios where often time resolutions are too coarse to resolve time delays and strong autocorrelation is present.
机译:本文介绍了一种新的条件独立性(CI)基于因果关系的观察时间序列的线性和非线性,滞后和同期因果发现的方法。现有的基于CI的方法,例如PC算法以及来自其他框架的常见方法遭受低召回和部分充气的误报,用于强大的自相关,这是时间序列中无处不在的挑战。新的方法,PCMCI $ ^ + $,扩展PCMCI [Runge等,2019B],包括发现同期链接。 PCMCI $ ^ + $通过优化调节集的选择甚至从自相关的益处来提高CI测试的可靠性。该方法在Oracle案例中是单独无关的且一致。广泛的数值实验表明,与其他方法相比,PCMCI $ ^ + $具有更高的邻接检测功率,尤其是同时的定向召回,同时更好地控制误报。优化的调节集也会导致比PC算法更短的运行时间。 PCMCI $ ^ + $可以在许多真实世界应用场景中使用,在那里通常时间分辨率太粗糙以解决时间延迟和强大的自相关。

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