In many scientific fields, such as economics and neuroscience, we are often faced with nonstationary time series, and concerned with both finding causal relations and forecasting the values of variables of interest, both of which are particularly challenging in such nonstationary environments. In this paper, we study causal discovery and forecasting for nonstationary time series. By exploiting a particular type of state-space model to represent the processes, we show that nonstationarity helps to identify causal structure and that forecasting naturally benefits from learned causal knowledge. Specifically, we allow changes in both causal strengths and noise variances in the nonlinear state-space models, which, interestingly, renders both the causal structure and model parameters identifiable. Given the causal model, we treat forecasting as a problem in Bayesian inference in the causal model, which exploits the time-varying property of the data and adapts to new observations in a principled manner. Experimental results on synthetic and real-world data sets demonstrate the efficacy of the proposed methods.

本研究针对非平稳时间序列的因果关系发现和预测问题，提出了一种基于状态空间模型的方法，利用非平稳的性质来确定因果结构，将预测问题视为因果模型的贝叶斯推断问题，并在合成数据和真实数据集上进行了实验验证。

状态空间模型下的非平稳环境因果发现与预测