Kolmogorov-Arnold Networks for Time Series Granger Causality Inference

Meiliang Liu, Yunfang Xu, Xiaoxiao Yang, Zijin Li, Zhengye Si, Xinyue Yang, Zhiwen Zhao

Keywords: Granger causality, Kolmogorov-Arnold Networks, time series

Abstract: We propose the Granger causality inference Kolmogorov-Arnold Networks (KANGCI), a novel architecture that extends the recently proposed Kolmogorov-Arnold Networks (KAN) to the domain of causal inference. By extracting base weights from KAN layers and incorporating the sparsity-inducing penalty and ridge regularization, KANGCI effectively infers the Granger causality from time series. Additionally, we propose an algorithm based on time-reversed Granger causality that automatically selects causal relationships with better inference performance from original/time-reversed time series or integrates the results to improve performance. Comprehensive experiments on Lorenz-96, Gene regulatory networks, fMRI BOLD signals, VAR, and real-world EEG datasets demonstrate that the proposed model achieves competitive performance to state-of-the-art methods in inferring Granger causality from nonlinear, high-dimensional, and limited-sample time series.

Primary Area: causal reasoning

Submission Number: 12229