Inductive Granger Causal Modeling for Multivariate Time Series

Abstract: Granger causal modeling is an emerging topic that can uncover Granger causal relationship behind multivariate time series data. In many real-world systems, it is common to encounter a large amount of multivariate time series data collected from different individuals with sharing commonalities. However, there are ongoing concerns regarding Granger causality's applicability in such large scale complex scenarios, presenting both challenges and opportunities for Granger causal structure reconstruction. Existing methods usually train a distinct model for each individual, suffering from inefficiency and over-fitting issues. To bridge this gap, we propose an Inductive GRanger cAusal modeling (InGRA) framework for inductive Granger causality learning and common causal structure detection on multivariate time series, which exploits the shared commonalities underlying the different individuals. In particular, we train one global model for individuals with different Granger causal structures through a novel attention mechanism, called prototypical Granger causal attention. The model can detect common causal structures for different individuals and infer Granger causal structures for newly arrived individuals. Extensive experiments, as well as an online A/B test on an E-commercial advertising platform, demonstrate the superior performances of InGRA.