CausalTime: Realistically Generated Time-series for Benchmarking of Causal Discovery

Published: 16 Jan 2024, Last Modified: 05 Mar 2024ICLR 2024 posterEveryoneRevisionsBibTeX
Code Of Ethics: I acknowledge that I and all co-authors of this work have read and commit to adhering to the ICLR Code of Ethics.
Keywords: Time series, Causal discovery, Neural networks, Benchmark, Dataset
Submission Guidelines: I certify that this submission complies with the submission instructions as described on
TL;DR: A novel pipeline capable of generating realistic time-series along with a ground truth causal graph that is generalizable to different fields.
Abstract: Time-series causal discovery (TSCD) is a fundamental problem of machine learning. However, existing synthetic datasets cannot properly evaluate or predict the algorithms' performance on real data. This study introduces the CausalTime pipeline to generate time-series that highly resemble the real data and with ground truth causal graphs for quantitative performance evaluation. The pipeline starts from real observations in a specific scenario and produces a matching benchmark dataset. Firstly, we harness deep neural networks along with normalizing flow to accurately capture realistic dynamics. Secondly, we extract hypothesized causal graphs by performing importance analysis on the neural network or leveraging prior knowledge. Thirdly, we derive the ground truth causal graphs by splitting the causal model into causal term, residual term, and noise term. Lastly, using the fitted network and the derived causal graph, we generate corresponding versatile time-series proper for algorithm assessment. In the experiments, we validate the fidelity of the generated data through qualitative and quantitative experiments, followed by a benchmarking of existing TSCD algorithms using these generated datasets. CausalTime offers a feasible solution to evaluating TSCD algorithms in real applications and can be generalized to a wide range of fields. For easy use of the proposed approach, we also provide a user-friendly website, hosted on
Anonymous Url: I certify that there is no URL (e.g., github page) that could be used to find authors' identity.
Supplementary Material: zip
No Acknowledgement Section: I certify that there is no acknowledgement section in this submission for double blind review.
Primary Area: datasets and benchmarks
Submission Number: 3083