Discovery of Extended Summary Graphs in Time Series

Charles K. Assaad, Emilie Devijver, Eric Gaussier

Keywords: Causal discovery, time series

Abstract: This study addresses the problem of learning an extended summary causal graph from time series. The algorithms we propose fit within the well-known constraint-based framework for causal discovery and make use of information-theoretic measures to determine (in)dependencies between time series. We first introduce generalizations of the causation entropy measure to any lagged or instantaneous relations, prior to using this measure to construct extended summary causal graphs by adapting two well-known algorithms, namely PC and FCI. The behaviour of our method is illustrated through several experiments.