Causal Discovery from Time-Series Data with Short-Term Invariance-Based Convolutional Neural Networks

• URL: http://arxiv.org/abs/2408.08023v1
• Date: Thu, 15 Aug 2024 08:43:28 GMT
• Title: Causal Discovery from Time-Series Data with Short-Term Invariance-Based Convolutional Neural Networks
• Authors: Rujia Shen, Boran Wang, Chao Zhao, Yi Guan, Jingchi Jiang,
• Abstract summary: Causal discovery from time-series data aims to capture both intra-slice (contemporaneous) and inter-slice (time-lagged) causality. We propose a novel gradient-based causal discovery approach STIC, which focuses on textbfShort-textbfTerm textbfInvariance using textbfConvolutional neural networks.
• Score: 12.784885649573994
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Causal discovery from time-series data aims to capture both intra-slice (contemporaneous) and inter-slice (time-lagged) causality between variables within the temporal chain, which is crucial for various scientific disciplines. Compared to causal discovery from non-time-series data, causal discovery from time-series data necessitates more serialized samples with a larger amount of observed time steps. To address the challenges, we propose a novel gradient-based causal discovery approach STIC, which focuses on \textbf{S}hort-\textbf{T}erm \textbf{I}nvariance using \textbf{C}onvolutional neural networks to uncover the causal relationships from time-series data. Specifically, STIC leverages both the short-term time and mechanism invariance of causality within each window observation, which possesses the property of independence, to enhance sample efficiency. Furthermore, we construct two causal convolution kernels, which correspond to the short-term time and mechanism invariance respectively, to estimate the window causal graph. To demonstrate the necessity of convolutional neural networks for causal discovery from time-series data, we theoretically derive the equivalence between convolution and the underlying generative principle of time-series data under the assumption that the additive noise model is identifiable. Experimental evaluations conducted on both synthetic and FMRI benchmark datasets demonstrate that our STIC outperforms baselines significantly and achieves the state-of-the-art performance, particularly when the datasets contain a limited number of observed time steps. Code is available at \url{https://github.com/HITshenrj/STIC}.

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