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arXiv 2406.01161math.STmath.PRstat.MLstat.TH
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动态结构因果模型

Dynamic Structural Causal Models

Booking.com, Amsterdam, The Netherlands

Philip Boeken, Joris M. Mooij

AI总结:

研究动态结构因果模型(DSCM),其内生变量为时间函数,可表示某些随机微分方程系统。定义时间分割与子采样操作,用于分析局部独立性及处理子采样时间序列,还给出DSCMs在因果效应识别和算法应用方面的建议。

摘要:

我们研究一种特定类型的结构因果模型,称为动态结构因果模型(DSCM),其内生变量表示时间的函数,可能是循环的且允许潜在混杂。作为一个激励用例,我们表明某些随机微分方程(SDE)系统可以用DSCMs适当表示。这种构造的一个直接结果是SDE系统的图形马尔可夫性质。我们定义了一个时间分割操作,用于分析局部独立性概念(连续时间格兰杰(非)因果关系的概念)。我们还定义了一个子采样操作,它返回一个离散时间DSCM,可用于子采样时间序列的数学分析。我们给出了关于DSCMs如何用于识别时间相关干预的因果效应以及现有基于约束的因果发现算法如何应用于时间序列数据的建议。

英文摘要:

We study a specific type of SCM, called a Dynamic Structural Causal Model (DSCM), whose endogenous variables represent functions of time, which is possibly cyclic and allows for latent confounding. As a motivating use-case, we show that certain systems of Stochastic Differential Equations (SDEs) can be appropriately represented with DSCMs. An immediate consequence of this construction is a graphical Markov property for systems of SDEs. We define a time-splitting operation, allowing us to analyse the concept of local independence (a notion of continuous-time Granger (non-)causality). We also define a subsampling operation, which returns a discrete-time DSCM, and which can be used for mathematical analysis of subsampled time-series. We give suggestions how DSCMs can be used for identification of the causal effect of time-dependent interventions, and how existing constraint-based causal discovery algorithms can be applied to 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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