Keywords: Directed graphs, causal structure learning, heterogeneous causal mechanism
TL;DR: Our approach exploits data heterogeneity to infer possibly cyclic causal relationships for causally insufficient systems
Abstract: We consider the problem of causal discovery (structure learning) from heterogeneous observational data. Most existing methods assume homogeneous sampling scheme and causal mechanism, which may lead to misleading conclusions when violated. We propose a novel approach that exploits data heterogeneity to infer possibly cyclic causal structures from causally insufficient systems. The core idea is to model the direct causal effects as functions of exogenous covariates that help explain sampling and causal heterogeneity. We investigate the structure identifiability properties of the proposed model. Structure learning is carried out in a fully Bayesian fashion, which provides natural uncertainty quantification. We demonstrate its utility through extensive simulations and two real-world applications.
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