Characterization of causal ancestral graphs for time series with latent confounders
The Annals of Statistics · 2024 · Volume 52 · Issue 1
Abstract
In this paper, we introduce a novel class of graphical models for representing time-lag specific causal relationships and independencies of multivariate time series with unobserved confounders. We completely characterize these graphs and show that they constitute proper subsets of the currently employed model classes. As we show, from the novel graphs one can thus draw stronger causal inferences—without additional assumptions. We further introduce a graphical representation of Markov equivalence classes of the novel graphs. This graphical representation contains more causal knowledge than what current state-of-the-art causal discovery algorithms learn.
Keywords
62A09, 62D20, 62M10, 68T30, 68T37, ancestral graph, causal discovery, causal graph, Causal inference, latent variable, time series
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