Detecting and quantifying causal associations in large nonlinear time series datasets

Identifying causal relationships and quantifying their strength from observational time series data are key problems in disciplines dealing with complex dynamical systems such as the Earth system or the human body. Data-driven causal inference in such systems is challenging since datasets are often high dimensional and nonlinear with limited sample sizes. Here, we introduce a novel method that flexibly combines linear or nonlinear conditional independence tests with a causal discovery algorithm to estimate causal networks from large-scale time series datasets. We validate the method on time series of well-understood physical mechanisms in the climate system and the human heart and using large-scale synthetic…

• JS
  James S. McDonnell Foundation
• EA
  Engineering and Physical Sciences Research Council

  Awards: EP/N510129/1, EP/N510129/1
• ER
  European Regional Development Fund