提出可自适应滞后时间的时序因果发现算法,提升真实数据建模精度。
Time series causal discovery with variable lags

- 基于禁忌搜索优化边级滞后,支持不同变量不同延迟。
- 在模拟和英国疫情政策数据上准确恢复因果结构与滞后关系。
- 适合处理具有复杂时间依赖的经济、流行病等动态系统分析。
因果贝叶斯网络(CBN)是应对复杂现实问题不确定性推理的强大工具,尤其适用于随时间演变并响应外部冲击的系统。为支持决策,需构建变量间的因果图结构。从数据中学习因果结构仍具挑战,而时序数据更难,因依赖可能出现在不同滞后。现有方法常假设固定滞后窗口,未显式优化边级滞后。本文提出一种基于禁忌搜索的结构学习算法,在保持时间有序的有向结构基础上,允许边级滞后最大至指定值。该方法采用可分解的BIC评分,结合节点级有效样本量与显式滞后长度惩罚,鼓励简洁延迟分配并支持高效局部更新。理论证明了其有效性与局部最优性,并提供了并行实现以提升可扩展性。仿真结果显示,该方法在准确恢复图结构的同时能精确估计滞后;在真实英国新冠疫情政策数据上,学习到的结构以短延迟为主,但保留显著比例的长滞后依赖,符合行为与流行病学的延迟效应特征。
原文摘要 · Abstract (English)
Causal Bayesian Networks (CBNs) are a powerful tool for reasoning under uncertainty about complex real-world problems. Such problems evolve over time, responding to external shocks as they occur. To support decision-making, CBNs require a cause-and-effect map of the variables under consideration, known as the network's structure. Learning the graphical structure of a causal model from data remains challenging; learning it from time-series data is even harder because dependencies may arise at different time lags. Existing time-series causal discovery methods often assume a fixed lag window and do not explicitly optimise edge-specific lags. We propose a Tabu-based structure learning algorithm that searches for a time-ordered directed structure (i.e., where every edge respects time) while allowing edge-specific lags up to a specified maximum lag. The approach uses a decomposable BIC-based score with node-specific effective sample sizes and an explicit lag-length penalty encouraging parsimonious delay assignments while preserving efficient local score updates. We provide theoretical guarantees of validity and local optimality, and we also describe a parallel implementation for improved scalability. In simulations, the method recovered graph structure competitively and estimated lags accurately when true adjacencies were recovered. On a real-world UK COVID-19 policy dataset, the learnt structure was dominated by short delays while retaining a substantial minority of longer-lag dependencies, consistent with delayed behavioural and epidemiological effects.
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