A Global Markov Property for Solutions of Stochastic Difference Equations and the corresponding Full Time Graphs

Tom Hochsprung, Jakob Runge, Andreas Gerhardus

Keywords: causal inference, time series analysis, structural causal models, structural equation models, markov property

TL;DR: This paper proves a global Markov property for solutions of stochastic difference equations and the corresponding full time graphs.

Abstract:

Structural Causal Models (SCMs) are an important tool in causal inference. They induce a graph and if the graph is acyclic, a unique observational distribution. A standard result states that in this acyclic case, the induced observational distribution satisfies a d-separation global Markov property relative to the induced graph.
Time series can also be modelled like SCMs: One just interprets the stochastic difference equations that a time series solves as structural equations. However, technical problems arise when time series "start" at minus infinity. In particular, a d-separation global Markov property for time series and the corresponding infinite graphs, the so-called full time graphs, has thus far only been shown for stable vector autoregressive processes with independent finite-second-moment noise.
In this paper, we prove a much more general version of this Markov property. We discuss our assumptions and study violations of them.
Doing so hints at several pitfalls at the intersection of time series analysis and causal inference.
Moreover, we introduce a new projection procedure for these infinite graphs which might be of independent interest.

List Of Authors: Hochsprung, Tom and Runge, Jakob and Gerhardus, Andreas

Submission Number: 363