EffCause: Discover Dynamic Causal Relationships Efficiently from Time-Series

Abstract

Since the proposal of Granger causality, many researchers have followed the idea and developed extensions to the original algorithm. The classic Granger causality test aims to detect the existence of the static causal relationship. Notably, a fundamental assumption underlying most previous studies is the stationarity of causality, which requires the causality between variables to keep stable. However, this study argues that it is easy to break in real-world scenarios. Fortunately, our paper presents an essential observation: if we consider a sufficiently short window when discovering the rapidly changing causalities, they will keep approximately static and thus can be detected using the static way correctly. In light of this, we develop EffCause, bringing dynamics into classic Granger causality. Specifically, to efficiently examine the causalities on different sliding window lengths, we design two optimization schemes in EffCause and demonstrate the advantage of EffCause through extensive experiments on both simulated and real-world datasets. The results validate that EffCause achieves state-of-the-art accuracy in continuous causal discovery tasks while achieving faster computation. Case studies from cloud system failure analysis and traffic flow monitoring show that EffCause effectively helps us understand real-world time-series data and solve practical problems.