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arXiv 1602.07970cs.AI
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基于约束优化的欠采样时间序列因果关系发现

Causal Discovery from Subsampled Time Series Data by Constraint Optimization

University of Helsinki(赫尔辛基大学);Mind Research Network(心智研究网络);University of New Mexico(新墨西哥大学);California Institute of Technology(加州理工学院);Carnegie Mellon University(卡内基梅隆大学)

Antti Hyttinen, Sergey Plis, Matti Järvisalo, Frederick Eberhardt, David Danks

摘要:

本文主要研究从时间序列数据中的因果结构估计,其中测量值是在比底层系统的因果时标更粗的时标上获得的。以前的工作表明,这种二次抽样可能会导致系统的因果结构,如果没有适当考虑到显着的错误。在本文中,我们首先考虑搜索系统的时间尺度因果结构,对应于一个给定的测量时间尺度结构。我们提供了一个约束满足过程,其计算性能比以前的方法好几个数量级。然后,我们考虑有限样本数据作为输入,并提出了第一个约束优化方法恢复系统的时标因果结构。该算法最佳地从由于统计误差而可能发生的冲突中恢复。更一般地说,这些进步允许一个强大的和非参数估计系统的时间尺度因果结构从二次采样的时间序列数据。

英文摘要:

This paper focuses on causal structure estimation from time series data in which measurements are obtained at a coarser timescale than the causal timescale of the underlying system. Previous work has shown that such subsampling can lead to significant errors about the system's causal structure if not properly taken into account. In this paper, we first consider the search for the system timescale causal structures that correspond to a given measurement timescale structure. We provide a constraint satisfaction procedure whose computational performance is several orders of magnitude better than previous approaches. We then consider finite-sample data as input, and propose the first constraint optimization approach for recovering the system timescale causal structure. This algorithm optimally recovers from possible conflicts due to statistical errors. More generally, these advances allow for a robust and non-parametric estimation of system timescale causal structures from subsampled time series data.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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