CAUSE: Learning Granger Causality from Event Sequences using Attribution Methods
Abstract
We study the problem of learning Granger causality between event types from asynchronous, interdependent, multi-type event sequences. Existing work suffers from either limited model flexibility or poor model explainability and thus fails to uncover Granger causality across a wide variety of event sequences with diverse event interdependency. To address these weaknesses, we propose CAUSE (Causality from AttribUtions on Sequence of Events), a novel framework for the studied task. The key idea of CAUSE is to first implicitly capture the underlying event interdependency by fitting a neural point process, and then extract from the process a Granger causality statistic using an axiomatic attribution method. Across multiple datasets riddled with diverse event interdependency, we demonstrate that CAUSE achieves superior performance on correctly inferring the inter-type Granger causality over a range of state-of-the-art methods.
Cite
@article{arxiv.2002.07906,
title = {CAUSE: Learning Granger Causality from Event Sequences using Attribution Methods},
author = {Wei Zhang and Thomas Kobber Panum and Somesh Jha and Prasad Chalasani and David Page},
journal= {arXiv preprint arXiv:2002.07906},
year = {2020}
}