Time Series Causal Link Estimation under Hidden Confounding using Knockoff InterventionsDownload PDF

Published: 30 Nov 2022, Last Modified: 05 May 2023Causality-dynamical systems workshop PosterReaders: Everyone
Keywords: causal link estimation, time series, causality analysis, causal effect variational autoencoder, knockoffs
TL;DR: This paper introduces a knockoff intervention approach to Sequential Causal Effect Variational Autoencoder method for time series causal link estimation under hidden confounding.
Abstract: Latent variables often mask cause-effect relationships in observational data which provokes spurious links that may be misinterpreted as causal. This problem sparks great interest in the fields such as climate science and economics. We propose to estimate confounded causal links of time series using Sequential Causal Effect Variational Autoencoder (SCEVAE) while applying Knockoff interventions. Knockoff variables have the same distribution as the originals and preserve the correlation to other variables. This allows for counterfactuals that are more faithful to the observational distribution. We show the advantage of Knockoff interventions by applying SCEVAE to synthetic datasets with both linear and nonlinear causal links. Moreover, we apply SCEVAE with Knockoffs to real aerosol-cloud-climate observational time series data. We compare our results on synthetic data to those of a time series deconfounding method both with and without estimated confounders. We show that our method outperforms this benchmark by comparing both methods to the ground truth. For the real data analysis, we rely on expert knowledge of causal links and demonstrate how using suitable proxy variables improves the causal link estimation in the presence of hidden confounders.
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