Multi-dimensional causal discovery

Abstract

We propose a method for learning causal relations within high-dimensional tensor data as they are typically recorded in non-experimental databases. The method allows the simultaneous inclusion of numerous dimensions within the data analysis such as samples, time and domain variables construed as tensors. In such tensor data we exploit and integrate non-Gaussian models and tensor analytic algorithms in a novel way. We prove that we can determine simple causal relations independently of how complex the dimensionality of the data is. We rely on a statistical decomposition that flattens higher-dimensional data tensors into matrices. This decomposition preserves the causal information and is therefore suitable for structure learning of causal graphical models, where a causal relation can be generalised beyond dimension, for example, over all time points. Related methods either focus on a set of samples for instantaneous effects or look at one sample for effects at certain time points. We evaluate the resulting algorithm and discuss its performance both with synthetic and real-world data.