Nonparametric causal inference from observational time series through marginal integration

Abstract: Causal inference from observational data is an ambitious but highly relevant task, with diverse applications ranging from natural to social sciences. Within the scope of nonparametric time series, causal inference defined through interventions (cf. Pearl (2000)) is largely unexplored, although time order simplifies the problem substantially. We consider a marginal integration scheme for inferring causal effects from observational time series data, MINT-T (marginal integration in time series), which is an adaptation for time series of a method proposed by Ernest and B\"{u}hlmann (Electron. J. Statist, pp. 3155-3194, vol. 9, 2015) for the case of independent data. Our approach for stationary stochastic processes is fully nonparametric and, assuming no instantaneous effects consistently recovers the total causal effect of a single intervention with optimal one-dimensional nonparametric convergence rate $n^{-2/5}$ assuming regularity conditions and twice differentiability of a certain corresponding regression function. Therefore, MINT-T remains largely unaffected by the curse of dimensionality as long as smoothness conditions hold in higher dimensions and it is feasible for a large class of stationary time series, including nonlinear and multivariate processes. For the case with instantaneous effects, we provide a procedure which guards against false positive causal statements.