Signature Kernel Conditional Independence Tests in Causal Discovery for Stochastic Processes

• URL: http://arxiv.org/abs/2402.18477v3
• Date: Mon, 14 Oct 2024 05:23:00 GMT
• Title: Signature Kernel Conditional Independence Tests in Causal Discovery for Stochastic Processes
• Authors: Georg Manten, Cecilia Casolo, Emilio Ferrucci, Søren Wengel Mogensen, Cristopher Salvi, Niki Kilbertus,
• Abstract summary: We develop conditional independence (CI) constraints on coordinate processes over selected intervals. We provide a sound and complete causal discovery algorithm, capable of handling both fully and partially observed data. We also propose a flexible, consistent signature kernel-based CI test to infer these constraints from data.
• Score: 7.103713918313219
• License:
• Abstract: Inferring the causal structure underlying stochastic dynamical systems from observational data holds great promise in domains ranging from science and health to finance. Such processes can often be accurately modeled via stochastic differential equations (SDEs), which naturally imply causal relationships via "which variables enter the differential of which other variables". In this paper, we develop conditional independence (CI) constraints on coordinate processes over selected intervals that are Markov with respect to the acyclic dependence graph (allowing self-loops) induced by a general SDE model. We then provide a sound and complete causal discovery algorithm, capable of handling both fully and partially observed data, and uniquely recovering the underlying or induced ancestral graph by exploiting time directionality assuming a CI oracle. Finally, to make our algorithm practically usable, we also propose a flexible, consistent signature kernel-based CI test to infer these constraints from data. We extensively benchmark the CI test in isolation and as part of our causal discovery algorithms, outperforming existing approaches in SDE models and beyond.

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