Causal Discovery from Conditionally Stationary Time Series

Causal discovery, i.e., inferring underlying causal relationships from observational data, is highly challenging for AI systems. In a time series modeling context, traditional causal discovery methods mainly consider constrained scenarios with fully observed variables and/or data from stationary time-series. We develop a causal discovery approach to handle a wide class of nonstationary time series that are conditionally stationary, where the nonstationary behaviour is modeled as stationarity conditioned on a set of latent state variables. Named State-Dependent Causal Inference (SDCI), our approach is able to recover the underlying causal dependencies, with provable identifiablity for the state-dependent causal structures. Empirical experiments on nonlinear particle interaction data and gene regulatory networks demonstrate SDCI's superior performance over baseline causal discovery methods. Improved results over non-causal RNNs on modeling NBA player movements demonstrate the potential of our method and motivate the use of causality-driven methods for forecasting.

@article{balsells-rodas2025_2110.06257,
  title={ Causal Discovery from Conditionally Stationary Time Series },
  author={ Carles Balsells-Rodas and Xavier Sumba and Tanmayee Narendra and Ruibo Tu and Gabriele Schweikert and Hedvig Kjellstrom and Yingzhen Li },
  journal={arXiv preprint arXiv:2110.06257},
  year={ 2025 }
}