NIPS Proceedingsβ

Causal discovery with scale-mixture model for spatiotemporal variance dependencies

Part of: Advances in Neural Information Processing Systems 25 (NIPS 2012)

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Authors

Abstract

In conventional causal discovery, structural equation models (SEM) are directly applied to the observed variables, meaning that the causal effect can be represented as a function of the direct causes themselves. However, in many real world problems, there are significant dependencies in the variances or energies, which indicates that causality may possibly take place at the level of variances or energies. In this paper, we propose a probabilistic causal scale-mixture model with spatiotemporal variance dependencies to represent a specific type of generating mechanism of the observations. In particular, the causal mechanism including contemporaneous and temporal causal relations in variances or energies is represented by a Structural Vector AutoRegressive model (SVAR). We prove the identifiability of this model under the non-Gaussian assumption on the innovation processes. We also propose algorithms to estimate the involved parameters and discover the contemporaneous causal structure. Experiments on synthesis and real world data are conducted to show the applicability of the proposed model and algorithms.