Causal Temporal Regime Structure Learning (2311.01412v2)

Abstract: We address the challenge of structure learning from multivariate time series that are characterized by a sequence of different, unknown regimes. We introduce a new optimization-based method (CASTOR), that concurrently learns the Directed Acyclic Graph (DAG) for each regime and determine the number of regimes along with their sequential arrangement. Through the optimization of a score function via an expectation maximization (EM) algorithm, CASTOR alternates between learning the regime indices (Expectation step) and inferring causal relationships in each regime (Maximization step). We further prove the identifiability of regimes and DAGs within the CASTOR framework. We conduct extensive experiments and show that our method consistently outperforms causal discovery models across various settings (linear and nonlinear causal relationships) and datasets (synthetic and real data).