Papers › Detecting causal associations in large nonlinear time series datasets

Detecting causal associations in large nonlinear time series datasets

22 Feb 2017arXiv:1702.07007links table onlyarchive 2025-07-28

Jakob Runge, Peer Nowack, Marlene Kretschmer, Seth Flaxman, Dino Sejdinovic

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Identifying causal relationships from observational time series data is a key problem in disciplines such as climate science or neuroscience, where experiments are often not possible. Data-driven causal inference is challenging since datasets are often high-dimensional and nonlinear with limited sample sizes. Here we introduce a novel method that flexibly combines linear or nonlinear conditional independence tests with a causal discovery algorithm that allows to reconstruct causal networks from large-scale time series datasets. We validate the method on a well-established climatic teleconnection connecting the tropical Pacific with extra-tropical temperatures and using large-scale synthetic datasets mimicking the typical properties of real data. The experiments demonstrate that our method outperforms alternative techniques in detection power from small to large-scale datasets and opens up entirely new possibilities to discover causal networks from time series across a range of research fields.

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VU-IVM/RGCPD mentioned on GitHubAGPL-3.0 report
bethweirich/CEN mentioned on GitHubGPL-3.0 report
semvijverberg/RGCPD mentioned on GitHubAGPL-3.0 report

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