PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Sparse Causal Discovery in Multivariate Time Series
Stefan Haufe, Klaus-Robert Müller, Guido Nolte and Nicole Krämer
JMLR W&CP Volume 6, pp. 97-106, 2010.


Our goal is to estimate causal interactions in multivariate time series. Using vector autoregressive (VAR) models, these can be defined based on non-vanishing coefficients belonging to respective time-lagged instances. As in most cases a parsimonious causality structure is assumed, a promising approach to causal discovery consists in fitting VAR models with an additional sparsity-promoting regularization. Along this line we here propose that sparsity should be enforced for the subgroups of coefficients that belong to each pair of time series, as the absence of a causal relation requires the coefficients for all time-lags to become jointly zero. Such behavior can be achieved by means of l1,2-norm regularized regression, for which an efficient active set solver has been proposed recently. Our method is shown to outperform standard methods in recovering simulated causality graphs. The results are on par with a second novel approach which uses multiple statistical testing.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:4271
Deposited By:Stefan Haufe
Deposited On:07 February 2009