Non-linear Causal Inference using Gaussianity Measures

We provide theoretical and empirical evidence for a type of asymmetry between causes and effects that is present when these are related via linear models contaminated with additive non-Gaussian noise. Assuming that the causes and the effects have the same distribution, we show that the distribution of the residuals of a linear fit in the anti-causal direction is closer to a Gaussian than the distribution of the residuals in the causal direction. This Gaussianization effect is characterized by reduction of the magnitude of the high-order cumulants and by an increment of the differential entropy of the residuals. The problem of non-linear causal inference is addressed by performing an embedding in an expanded feature space, in which the relation between causes and effects can be assumed to be linear. The effectiveness of a method to discriminate between causes and effects based on this type of asymmetry is illustrated in a variety of experiments using different measures of Gaussianity. The proposed method is shown to be competitive with state-of-the-art techniques for causal inference.Comment: 35 pages, 9 figure

Directional Dependence in the Analysis of Single Subjects

Many statistical methods applied in person-oriented research make use of theoretical principles originally derived in a variable-oriented context. From this perspective, it naturally follows that advances originated in variable-oriented methodology may potentially contribute to the development of methods suitable for person-oriented perspectives. Direction Dependence Analysis (DDA) constitutes one of these recent advances and provides a framework to statistically evaluate asymmetric properties of observed variable relations. These asymmetric properties enable researchers to make statements whether a model of the form x ! y or a model assuming y ! x is more likely to approximate the underlying data-generating process in non-experimental settings. The present article introduces DDA to the context of person-oriented research and extends the DDA principle to (linear) vector autoregressive models (VAR) which can be used to describe individual development. We show that DDA can be used to empirically evaluate directional theories of (potentially multivariate) intraindividual development (e.g., which of two longitudinally observed variables is more likely to be the explanatory variable and which one is more likely to reflect the outcome). An illustrative example is provided from a study on the development of experienced mood and alcohol consumption behavior. It is demonstrated that VAR-DDA resolves the issue of identifying the direction of contemporaneous effects in longitudinal data. Temporality issues of directional theories used to explain intraindividual development, guidelines to achieve acceptable power, methodological requirements, and potential further extensions of DDA for person-oriented research are discussed

Gaussianity measures for detecting the direction of causal time series

We conjecture that the distribution of the time-reversed residuals of a causal linear process is closer to a Gaussian than the distribution of the noise used to generate the process in the forward direction. This property is demonstrated for causal AR(1) processes assuming that all the cumulants of the distribution of the noise are defined. Based on this observation, it is possible to design a decision rule for detecting the direction of time series that can be described as linear processes: The correct direction (forward in time) is the one in which the residuals from a linear fit to the time series are less Gaussian. A series of experiments with simulated and real-world data illustrate the superior results of the proposed rule when compared with other state-of-the-art methods based on independence tests