Interpretable Models for Granger Causality Using Self-explaining Neural Networks
This provides a more interpretable method for analyzing interactions in time series data across domains, but it is incremental as it builds on existing neural-network techniques.
The paper tackles the problem of inferring multivariate Granger causality under nonlinear dynamics by proposing a framework based on self-explaining neural networks, achieving performance on par with baselines and better at inferring interaction signs in simulated data.
Exploratory analysis of time series data can yield a better understanding of complex dynamical systems. Granger causality is a practical framework for analysing interactions in sequential data, applied in a wide range of domains. In this paper, we propose a novel framework for inferring multivariate Granger causality under nonlinear dynamics based on an extension of self-explaining neural networks. This framework is more interpretable than other neural-network-based techniques for inferring Granger causality, since in addition to relational inference, it also allows detecting signs of Granger-causal effects and inspecting their variability over time. In comprehensive experiments on simulated data, we show that our framework performs on par with several powerful baseline methods at inferring Granger causality and that it achieves better performance at inferring interaction signs. The results suggest that our framework is a viable and more interpretable alternative to sparse-input neural networks for inferring Granger causality.