Overview of observational data-based time series causal inference

Abstract

With the increase of data storage and the improvement of computing power,using observational data to infer time series causality has become a novel approach.Based on the properties and research status of time series causal inference,five observational data-based methods were induced,including Granger causal analysis,information theory-based method,causal network structure learning algorithm,structural causal model-based method and method based on nonlinear state-space model.Then we briefly introduced typical applications in economics and finance,medical science and biology,earth system science and other engineering fields.Further,we compared the advantages and disadvantages and analyzed the ways for improvement of the five methods according to the focus and difficulties of time series causal inference.Finally,we looked into the future research directions.

Keywords

• time series;causal inference;Granger causal analysis;information entropy;Bayesian network;structural causal model;nonlinear state space model