Causal Discovery in Time Series: Untangling Time, Correlation & Causation Introduction "Correlation is not causation" is a mantra every statistician lives by. However, when it comes to time series data, the very structure of time gives us something to work with. After all, if variable A precedes variable B consistently, can we say A causes B? In this post, we dive into one of the most intriguing challenges in time series analysis: discovering causality from observational data. We will explore classic and modern methods for identifying causality, their assumptions, limitations, and real-world applications. By the end, you’ll be equipped with tools and insights to experiment with causal inference in your time series data. What Is Causality in Time Series? Causality goes beyond correlation. It implies a directional influence — a cause must precede its effect. In time series, this temporal aspect offers a foothold to infer causality. However, time ordering alone is not enoug...
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