SpaceTime: Causal Discovery from Non-Stationary Time Series
This addresses the challenge of causal inference in dynamic environments like climate science, where relationships change over time and space, representing a novel method for a known bottleneck.
The paper tackles the problem of discovering causal graphs from non-stationary time series with spatial heterogeneity, and the result is the SPACETIME algorithm that simultaneously identifies regime changepoints and temporal causal graphs, validated on real-world datasets like river-runoff and biosphere-atmosphere interactions.
Understanding causality is challenging and often complicated by changing causal relationships over time and across environments. Climate patterns, for example, shift over time with recurring seasonal trends, while also depending on geographical characteristics such as ecosystem variability. Existing methods for discovering causal graphs from time series either assume stationarity, do not permit both temporal and spatial distribution changes, or are unaware of locations with the same causal relationships. In this work, we therefore unify the three tasks of causal graph discovery in the non-stationary multi-context setting, of reconstructing temporal regimes, and of partitioning datasets and time intervals into those where invariant causal relationships hold. To construct a consistent score that forms the basis of our method, we employ the Minimum Description Length principle. Our resulting algorithm SPACETIME simultaneously accounts for heterogeneity across space and non-stationarity over time. Given multiple time series, it discovers regime changepoints and a temporal causal graph using non-parametric functional modeling and kernelized discrepancy testing. We also show that our method provides insights into real-world phenomena such as river-runoff measured at different catchments and biosphere-atmosphere interactions across ecosystems.