Signature Kernel Conditional Independence Tests in Causal Discovery for Stochastic Processes
Inferring the causal structure underlying stochastic dynamical systems from observational data holds great promise in domains ranging from science and health to finance. Such processes can often be accurately modeled via stochastic differential equations (SDEs), which naturally imply causal relationships via "which variables enter the differential of which other variables". In this paper, we develop a kernel-based test of conditional independence (CI) on "path-space" -- solutions to SDEs -- by leveraging recent advances in signature kernels. We demonstrate strictly superior performance of our proposed CI test compared to existing approaches on path-space. Then, we develop constraint-based causal discovery algorithms for acyclic stochastic dynamical systems (allowing for loops) that leverage temporal information to recover the entire directed graph. Assuming faithfulness and a CI oracle, our algorithm is sound and complete. We empirically verify that our developed CI test in conjunction with the causal discovery algorithm reliably outperforms baselines across a range of settings.
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