arXiv:2508.00658cs.AIcs.LG2025-08

提出跨频段可变时滞因果分析,更精准捕捉时间序列间复杂因果关系。

Multi-Band Variable-Lag Granger Causality: A Unified Framework for Causal Time Series Inference across Frequencies

  • 在传统可变时滞基础上引入频段依赖延迟建模
  • 在合成与真实数据上显著优于现有方法
  • 适合脑科学、经济等涉及多频段动态的领域

理解时间序列间的因果关系对神经科学、经济学和行为科学等领域至关重要。格兰杰因果分析是常用的时间序列因果推断方法,但通常假设因果作用具有固定时滞,这在复杂系统中往往不现实。尽管近期的可变时滞格兰杰因果(VLGC)方法允许因果延迟随时间变化,却未考虑因果关系可能同时在不同频率带中表现出不同延迟。例如,脑信号中α波可能比δ波以更短延迟影响另一区域。本文正式提出多频段可变时滞格兰杰因果(MB-VLGC),构建一个显式建模频率依赖因果延迟的新框架。我们给出其形式化定义,证明理论合理性,并设计高效推断流程。在多个领域的大量实验表明,该框架在合成与真实数据集上均显著优于现有方法,证实其广泛适用性。代码与数据集已公开。

原文摘要 · Abstract (English)

Understanding causal relationships in time series is fundamental to many domains, including neuroscience, economics, and behavioral science. Granger causality is one of the well-known techniques for inferring causality in time series. Typically, Granger causality frameworks have a strong fix-lag assumption between cause and effect, which is often unrealistic in complex systems. While recent work on variable-lag Granger causality (VLGC) addresses this limitation by allowing a cause to influence an effect with different time lags at each time point, it fails to account for the fact that causal interactions may vary not only in time delay but also across frequency bands. For example, in brain signals, alpha-band activity may influence another region with a shorter delay than slower delta-band oscillations. In this work, we formalize Multi-Band Variable-Lag Granger Causality (MB-VLGC) and propose a novel framework that generalizes traditional VLGC by explicitly modeling frequency-dependent causal delays. We provide a formal definition of MB-VLGC, demonstrate its theoretical soundness, and propose an efficient inference pipeline. Extensive experiments across multiple domains demonstrate that our framework significantly outperforms existing methods on both synthetic and real-world datasets, confirming its broad applicability to any type of time series data. Code and datasets are publicly available.

因果推断时间序列频段分析格兰杰因果

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