CUTS: Neural Causal Discovery from Irregular Time-Series Data

• URL: http://arxiv.org/abs/2302.07458v1
• Date: Wed, 15 Feb 2023 04:16:34 GMT
• Title: CUTS: Neural Causal Discovery from Irregular Time-Series Data
• Authors: Yuxiao Cheng, Runzhao Yang, Tingxiong Xiao, Zongren Li, Jinli Suo, Kunlun He, Qionghai Dai
• Abstract summary: Causal discovery from time-series data has been a central task in machine learning. We present CUTS, a neural Granger causal discovery algorithm to jointly impute unobserved data points and build causal graphs. Our approach constitutes a promising step towards applying causal discovery to real applications with non-ideal observations.
• Score: 27.06531262632836
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Causal discovery from time-series data has been a central task in machine learning. Recently, Granger causality inference is gaining momentum due to its good explainability and high compatibility with emerging deep neural networks. However, most existing methods assume structured input data and degenerate greatly when encountering data with randomly missing entries or non-uniform sampling frequencies, which hampers their applications in real scenarios. To address this issue, here we present CUTS, a neural Granger causal discovery algorithm to jointly impute unobserved data points and build causal graphs, via plugging in two mutually boosting modules in an iterative framework: (i) Latent data prediction stage: designs a Delayed Supervision Graph Neural Network (DSGNN) to hallucinate and register unstructured data which might be of high dimension and with complex distribution; (ii) Causal graph fitting stage: builds a causal adjacency matrix with imputed data under sparse penalty. Experiments show that CUTS effectively infers causal graphs from unstructured time-series data, with significantly superior performance to existing methods. Our approach constitutes a promising step towards applying causal discovery to real applications with non-ideal observations.

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