Economy Statistical Recurrent Units For Inferring Nonlinear Granger Causality

Saurabh Khanna, Vincent Y. F. Tan

Keywords: Recurrent neural networks, Granger causality, Causal inference, Statistical Recurrent Unit

TL;DR: A new recurrent neural network architecture for detecting pairwise Granger causality between nonlinearly interacting time series.

Abstract: Granger causality is a widely-used criterion for analyzing interactions in large-scale networks. As most physical interactions are inherently nonlinear, we consider the problem of inferring the existence of pairwise Granger causality between nonlinearly interacting stochastic processes from their time series measurements. Our proposed approach relies on modeling the embedded nonlinearities in the measurements using a component-wise time series prediction model based on Statistical Recurrent Units (SRUs). We make a case that the network topology of Granger causal relations is directly inferrable from a structured sparse estimate of the internal parameters of the SRU networks trained to predict the processes’ time series measurements. We propose a variant of SRU, called economy-SRU, which, by design has considerably fewer trainable parameters, and therefore less prone to overfitting. The economy-SRU computes a low-dimensional sketch of its high-dimensional hidden state in the form of random projections to generate the feedback for its recurrent processing. Additionally, the internal weight parameters of the economy-SRU are strategically regularized in a group-wise manner to facilitate the proposed network in extracting meaningful predictive features that are highly time-localized to mimic real-world causal events. Extensive experiments are carried out to demonstrate that the proposed economy-SRU based time series prediction model outperforms the MLP, LSTM and attention-gated CNN-based time series models considered previously for inferring Granger causality.

Code: https://github.com/sakhanna/SRU_for_GCI

Community Implementations: [ 1 code implementation](https://www.catalyzex.com/paper/arxiv:1911.09879/code)