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arXiv · 2210.09038

Consistent Causal Inference from Time Series with PC Algorithm and its Time-Aware Extension

Rahul Biswas·Somabha Mukherjee
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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 $\rho$-mixing, the PC algorithm is consistent in this dependent sample scenario. Further, we show that for the popular time series models such as vector auto-regressive moving average and linear processes, consistency of the PC algorithm holds. We also prove the consistency for the Time-Aware PC algorithm, a recent adaptation of the PC algorithm for the time series scenario. Our findings are supported by simulations and benchmark real data analyses provided towards the end of the paper.

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Rahul Biswas, Somabha Mukherjee. 2022-10-14. Consistent Causal Inference from Time Series with PC Algorithm and its Time-Aware Extension. https://doi.org/10.1007/s11222-023-10330-3

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