2022
DOI: 10.48550/arxiv.2210.09038
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Consistent Causal Inference from Time Series with PC Algorithm and its Time-Aware Extension

Abstract: The estimator of a causal directed acyclic graph (DAG) with the PC algorithm is known to be consistent based on independent and identically distributed samples. In this paper, we consider the scenario when the multivariate samples are identically distributed but not independent. A common example is a stationary multivariate time series. We show that under a standard set of assumptions on the underlying time series involving ρ-mixing, the PC algorithm is consistent in this dependent sample scenario. Further, we… Show more

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Cited by 2 publications
(1 citation statement)
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“…The TPC Algorithm finds CFC between brain regions from time series based on DGM (Spirtes et al, 2000 ; Pearl, 2009 ; Biswas and Mukherjee, 2022 ; Biswas and Shlizerman, 2022a , b ). While traditional DGM applies to static data, TPC extends the applicability of DGM to CFC inference in time series by first implementing the Directed Markov Property to model causal spatial and temporal interactions in the time series by an unrolled Directed Acyclic Graph (DAG) of the time series.…”
Section: Methodsmentioning
confidence: 99%
“…The TPC Algorithm finds CFC between brain regions from time series based on DGM (Spirtes et al, 2000 ; Pearl, 2009 ; Biswas and Mukherjee, 2022 ; Biswas and Shlizerman, 2022a , b ). While traditional DGM applies to static data, TPC extends the applicability of DGM to CFC inference in time series by first implementing the Directed Markov Property to model causal spatial and temporal interactions in the time series by an unrolled Directed Acyclic Graph (DAG) of the time series.…”
Section: Methodsmentioning
confidence: 99%