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Testing whether linear equations are causal: A free probability theory approach
We propose a method that infers whether linear relations between two high-dimensional variables X and Y are due to a causal influence from X to Y or from Y to X. The earlier proposed so-called Trace Method is extended to the regime where the dimension of the observed variables exceeds the sample size. Based on previous work, we postulate conditions that characterize a causal relation between X and Y . Moreover, we describe a statistical test and argue that both causal directions are typically rejected if there is a common cause. A full theoretical analysis is presented for the deterministic case but our approach seems to be valid for the noisy case, too, for which we additionally present an approach based on a sparsity constraint. The discussed method yields promising results for both simulated and real world data.
@inproceedings{ZscheischlerJZ2011, title = {Testing whether linear equations are causal: A free probability theory approach}, abstract = {We propose a method that infers whether linear relations between two high-dimensional variables X and Y are due to a causal influence from X to Y or from Y to X. The earlier proposed so-called Trace Method is extended to the regime where the dimension of the observed variables exceeds the sample size. Based on previous work, we postulate conditions that characterize a causal relation between X and Y . Moreover, we describe a statistical test and argue that both causal directions are typically rejected if there is a common cause. A full theoretical analysis is presented for the deterministic case but our approach seems to be valid for the noisy case, too, for which we additionally present an approach based on a sparsity constraint. The discussed method yields promising results for both simulated and real world data.}, pages = {839-847}, editors = {Cozman, F.G. , A. Pfeffer}, publisher = {AUAI Press}, address = {Corvallis, OR, USA}, month = jul, year = {2011}, slug = {zscheischlerjz2011}, author = {Zscheischler, J. and Janzing, D. and Zhang, K.}, month_numeric = {7} }