Re-examining Granger Causality with Causal Bayesian Networks and Reichenbachs Principles

Abstract

Characterising cause-effect relationships in complex systems is fundamental to understanding their underlying mechanisms. Granger causality (GC) remains a widely used computational tool for identifying causal relationships in time series data. However, like other causal discovery methods, GC has limitations and has been criticised for lacking a rigorous causal foundation. In this work, we present a fix to this criticism by reinterpreting GC through the lenses of Reichenbach's principles and causal Bayesian networks. This reinterpretation was implemented as an algorithm we call causalized Granger causality (c-GC). We demonstrate, both theoretically and graphically, that this reformulation endows GC with a robust causal interpretation under specific assumptions. c-GC yields satisfactory results on synthetic data, offering a more principled framework for causal discovery in observational datasets.