用多个因果顺序提升时间序列因果结构发现的准确性与效率。
Causal Ordering for Structure Learning from Time Series
- 引入多个有效因果顺序,突破单顺序方法的表示局限。
- 在合成数据上将平均窗口图F1从0.63提升至0.81,真实数据平均图F1领先且速度翻倍。
- 适合需要高精度因果建模的时间序列研究者,如脑连接、气候等场景。
从时间序列中预测因果结构对于理解生理、脑连接、气候动力学及社会经济行为等复杂现象至关重要。传统基于排序的方法受限于单一因果顺序,难以捕捉复杂依赖关系。本文提出DOTS(Diffusion Ordered Temporal Structure),通过扩散过程实现多因果顺序集成,有效恢复底层有向无环图的传递闭包,减少单顺序方法带来的伪相关。在标准假设(如平稳性、加性噪声模型)下,利用得分匹配与扩散过程实现高效海森矩阵估计。大量实验验证:在合成数据(变量数d=3–6,样本数T=200–5,000)上,平均窗口图F1从0.63提升至0.81;在真实世界基准CausalTime(d=20–36)上,虽各数据集表现不一,但平均总结图F1最高,且运行时间仅为图优化方法的一半。结果表明DOTS是可扩展、鲁棒的时序因果发现新方案。
原文摘要 · Abstract (English)
Predicting causal structure from time series data is crucial for understanding complex phenomena in physiology, brain connectivity, climate dynamics, and socio-economic behaviour. Causal discovery in time series is hindered by the combinatorial complexity of identifying true causal relationships, especially as the number of variables and time points grow. A common approach to simplify the task is the so-called ordering-based methods. Traditional ordering methods inherently limit the representational capacity of the resulting model. In this work, we fix this issue by leveraging multiple valid causal orderings, instead of a single one as standard practice. We propose DOTS (Diffusion Ordered Temporal Structure), using diffusion-based causal discovery for temporal data. By integrating multiple orderings, DOTS effectively recovers the transitive closure of the underlying directed acyclic graph, mitigating spurious artifacts inherent in single-ordering approaches. We formalise the problem under standard assumptions such as stationarity and the additive noise model, and leverage score matching with diffusion processes to enable efficient Hessian estimation. Extensive experiments validate the approach. Empirical evaluations on synthetic and real-world datasets demonstrate that DOTS outperforms state-of-the-art baselines, offering a scalable and robust approach to temporal causal discovery. On synthetic benchmarks ($d{=}\!3-\!6$ variables, $T{=}200\!-\!5{,}000$ samples), DOTS improves mean window-graph $F1$ from $0.63$ (best baseline) to $0.81$. On the CausalTime real-world benchmark ($d{=}20\!-\!36$), while baselines remain the best on individual datasets, DOTS attains the highest average summary-graph $F1$ while halving runtime relative to graph-optimisation methods. These results establish DOTS as a scalable and accurate solution for temporal causal discovery.
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