High-recall causal discovery for autocorrelated time series with latent confounders

Understand

We present a new method for linear and nonlinear, lagged and contemporaneous constraint-based causal discovery from observational time series in the presence of latent confounders.

• We show that existing causal discovery methods such as FCI and variants suffer from low recall in the autocorrelated time series case and identify low effect size of conditional independence tests as the main reason.
• Information-theoretical arguments show that effect size can often be increased if causal parents are included in the conditioning sets.
• To identify parents early on, we suggest an iterative procedure that utilizes novel orientation rules to determine ancestral relationships already during the edge removal phase.