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Structural causal models for macro-variables in time-series

11 April 2018
Dominik Janzing
Paul Kishan Rubenstein
Bernhard Schölkopf
    CML
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Abstract

We consider a bivariate time series (Xt,Yt)(X_t,Y_t)(Xt​,Yt​) that is given by a simple linear autoregressive model. Assuming that the equations describing each variable as a linear combination of past values are considered structural equations, there is a clear meaning of how intervening on one particular XtX_tXt​ influences Yt′Y_{t'}Yt′​ at later times t′>tt'>tt′>t. In the present work, we describe conditions under which one can define a causal model between variables that are coarse-grained in time, thus admitting statements like `setting XXX to xxx changes YYY in a certain way' without referring to specific time instances. We show that particularly simple statements follow in the frequency domain, thus providing meaning to interventions on frequencies.

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