Sequential Causal Effect Variational Autoencoder: Time Series Causal Link Estimation under Hidden Confounding

Estimating causal effects from observational data in the presence of latent variables sometimes leads to spurious relationships which can be misconceived as causal. This is an important issue in many fields such as finance and climate science. We propose Sequential Causal Effect Variational Autoencoder (SCEVAE), a novel method for time series causality analysis under hidden confounding. It is based on the CEVAE framework and recurrent neural networks. The causal link's intensity of the confounded variables is calculated by using direct causal criteria based on Pearl's do-calculus. We show the efficacy of SCEVAE by applying it to synthetic datasets with both linear and nonlinear causal links. Furthermore, we apply our method to real aerosol-cloud-climate observation data. We compare our approach to a time series deconfounding method with and without substitute confounders on the synthetic data. We demonstrate that our method performs better by comparing both methods to the ground truth. In the case of real data, we use the expert knowledge of causal links and show how the use of correct proxy variables aids data reconstruction.

Anomaly Attribution of Multivariate Time Series using Counterfactual Reasoning

There are numerous methods for detecting anomalies in time series, but that is only the first step to understanding them. We strive to exceed this by explaining those anomalies. Thus we develop a novel attribution scheme for multivariate time series relying on counterfactual reasoning. We aim to answer the counterfactual question of would the anomalous event have occurred if the subset of the involved variables had been more similarly distributed to the data outside of the anomalous interval. Specifically, we detect anomalous intervals using the Maximally Divergent Interval (MDI) algorithm, replace a subset of variables with their in-distribution values within the detected interval and observe if the interval has become less anomalous, by re-scoring it with MDI. We evaluate our method on multivariate temporal and spatio-temporal data and confirm the accuracy of our anomaly attribution of multiple well-understood extreme climate events such as heatwaves and hurricanes.