Using Domain Knowledge to Overcome Latent Variables in Causal Inference from Time Series

How to cite

M. Zheng and S. Kleinberg. Using Domain Knowledge to Overcome Latent Variables in Causal Inference from Time Series. In: MLHC, 2019

Preparation:

Create a pickle file with the following dictionary; Assume all of your parameters are in a dictionary named mydata:
mydata['timeseries_leng']
mydata['causal_model_dic']
mydata['causal_window_dic']
mydata['causal_window_pro_dic']

the length of the new time series

timeseries_leng = 5000

dictionary storing causal relationships in our causal model.

For latent variable scenario, this includes the prior knowledge and causal model {causal relationship tag: causal relationship}

1. A->B
2. A->C
   causal_model_dic = {1:["A","B"],2:["A","C"],...}

dictionary storing time windows for each causal relationship

{causal relationship tag: [window_start,window_end]}
Causal Relationship A->B (1) occurs between 2 and 3 timepoints away (inclusive)
Causal Relationship A->C (2) occurs between 5 and 10 timepoints away (inclusive)
causal_window_dic = {1:[2,3],2:[5,10],...}

dictionary storing the probability for each time window:

{causal relationship tag: pro}
Causal Relationship A->B (1) is 90%
Causal Relationship A->C (2) is 85%
causal_window_pro_dic = {1:0.90,2:0.85,...}

Python Example for Preparation:

mydata={}  
mydata['timeseries_leng']=timeseries_leng  
mydata['causal_model_dic']=causal_model_dic  
mydata['causal_window_dic']=causal_window_dic  
mydata['causal_window_pro_dic']=causal_window_pro_dic  
paramsfn="/data/params.pkl"  
pickle.dump(mydata,open(paramsfn, "wb"))  

timeseriesfn Example:

Each column is a variable and each row is a timestep of whether it happened or not. Will be imported into a Pandas dataframe.

0 means didn't occur, 1 means occured

A: No, No, Yes
B: No, Yes, Yes
C: Yes, No, Yes

timeseries.csv
A B C
0 0 1
0 1 0
1 1 1
...

Instructions for running:

fn stands for filename
paramsfn: file storing all the parameters (above example)
timeseriesfn: file storing the time series data
nolatentfn: output file storing the time series without the latent variables
inferseriesfn: output file to store the inferred timeseries

python infer_latent_series.py paramsfn timeseriesfn nolatentfn inferseriesfn  

The file reconstructs the latent variables, then it generates the timeseries, and finally it does conditional independence tests and outputs the answer to inferseriesfn (will be generated along with nolatentfn)