Graph Topological Aspects of Granger Causal Network Learning

Abstract: We study Granger causality in the context of wide-sense stationary time series, where our focus is on the topological aspects of the underlying causality graph. We establish sufficient conditions (in particular, we develop the notion of a "strongly causal" graph topology) under which the true causality graph can be recovered via pairwise causality testing alone, and provide examples from the gene regulatory network literature suggesting that our concept of a strongly causal graph may be applicable to this field. We implement and detail finite-sample heuristics derived from our theory, and establish through simulation the efficiency gains (both statistical and computational) which can be obtained (in comparison to LASSO-type algorithms) when structural assumptions are met.