Ancestor regression in structural vector autoregressive models

Abstract

We present a new method for causal discovery in linear structural vector autoregressive models. We adapt an idea designed for independent observations to the case of time series while retaining its favorable properties, i.e., explicit error control for false causal discovery, at least asymptotically. We apply our method to several real-world bivariate time series datasets and discuss its findings which mostly agree with common understanding. The arrow of time in a model can be interpreted as background knowledge on possible causal mechanisms. Hence, our ideas could be extended to incorporating different background knowledge, even for independent observations.