Bayesian Factorised Granger-Causal Graphs For Multivariate Time-series Data

We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data. Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more recent developments using deep neural networks. Most existing VAR methods for Granger causality use sparsity-inducing penalties/priors or post-hoc thresholds to interpret their coefficients as Granger causal graphs. Instead, we propose a new Bayesian VAR model with a hierarchical graph prior over binary Granger causal graphs, separately from the VAR coefficients. …

bayesian causality cs.lg data graphs multivariate networks neural networks relations series sparsity stat.ml study variants vector