Towards Continuous-time Causal Foundation Models
It addresses the problem of modeling causal time series under irregular observation schedules for the machine learning community, offering a principled framework and empirical validation.
The paper proposes a continuous-time causal foundation model by ensuring trajectory-law invariance to observation schedules, achieving consistent superiority of fine-grid integration over naive integration in 8/8 ablation cells (p<1/256).
Extending discrete-time causal Prior-data Fitted Networks for time series to continuous time invites writing the mechanism as a stochastic differential equation (SDE) -- but if the SDE is integrated \emph{once per observation gap}, the trajectory law depends on when it is observed, and the prior remains a discrete-time Markov model in SDE clothing. We propose a precise continuity criterion -- trajectory-law invariance to the observation schedule -- together with a three-tier taxonomy (discrete; naive observation-grid integration; fine-grid integration with decoupled observation) and a construction realising the top tier on a random DAG with OU or small-MLP nonlinear drifts, irregular observation schedules, and hard / soft / time-varying interventions. A $2 \times 2$ encoder $\times$ integrator ablation, run independently on a linear and a nonlinear prior, finds fine-grid integration beats naive on 8/8 cells (sign-consistency $p < 1/256$) with the gap growing as the eval grid refines; the encoder axis is null with fine integration but time-aware-leading with naive. We release the prior and a preliminary zero-shot protocol on pharmacokinetic and physical-system data.