Interpretable Models for Granger Causality Using Self-explaining Neural Networks
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Date
2021
Publication Type
Conference Paper
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Abstract
Exploratory analysis of time series data can yield a better understanding of complex dynamical systems. Granger causality is a practical framework for analysing interactions in sequential data, applied in a wide range of domains. In this paper, we propose a novel framework for inferring multivariate Granger causality under nonlinear dynamics based on an extension of self-explaining neural networks. This framework is more interpretable than other neural-network-based techniques for inferring Granger causality, since in addition to relational inference, it also allows detecting signs of Granger-causal effects and inspecting their variability over time. In comprehensive experiments on simulated data, we show that our framework performs on par with several powerful baseline methods at inferring Granger causality and that it achieves better performance at inferring interaction signs. The results suggest that our framework is a viable and more interpretable alternative to sparse-input neural networks for inferring Granger causality.
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published
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Book title
International Conference on Learning Representations (ICLR 2021)
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Publisher
OpenReview
Event
9th International Conference on Learning Representations (ICLR 2021)
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Subject
machine learning; Neural network; Interpretability; Inference; Granger causality
Organisational unit
09670 - Vogt, Julia / Vogt, Julia
Notes
Presentation held on April 6, 2021 at the poster session
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