Different-region Balance Method for Exploring Varying Causal Relations Between Time Series
Kaijun Wang, Yuanpeng Zeng, Zhongjian Miao · 2021
For discovering time-varying causal relations between time series, a common method is the sliding-window method with Granger causal tests on every window. However, the method performance is sensitive to window sizes, and an unsuitable size probably leads to poor performance. The different-region balance method is proposed. The variation degree of time series in current sliding window W (called variation bound Sw) is first computed, and the degree Su in front neighbor region U of W is computed. Then a forward exploring strategy is adopted: when Su≤Sw, a different-length-region balance test measure is carried out, i.e., causal-relation tests respectively in window W, combined region W and U, and combined window W and back neighbor region V of W; when Su>Sw, it uses the above-mentioned measure where region V has the same length as region U; Finally, in each region, all the test results are synthesized to give a final result. The new method combines the results from different-length regions to reduce its sensitivity to window sizes, and guarantees the accuracy and stability of final results. The experiments on one simulated data set and four real data sets show that, the new method can discover time-varying causal relations between time series effectively, and outperforms the compared methods on the balance performance of high accuracy and stability.