Causal Forecasting: Generalization Bounds for Autoregressive Models

Leena Chennuru Vankadara, Philipp Michael Faller, Michaela Hardt, Lenon Minorics, Debarghya Ghoshdastidar, Dominik Janzing

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Scopus citations

Abstract

Despite the increasing relevance of forecasting methods, causal implications of these algorithms remain largely unexplored. This is concerning considering that, even under simplifying assumptions such as causal sufficiency, the statistical risk of a model can differ significantly from its causal risk. Here, we study the problem of causal generalization-generalizing from the observational to interventional distributions-in forecasting. Our goal is to find answers to the question: How does the efficacy of an autoregressive (VAR) model in predicting statistical associations compare with its ability to predict under interventions? To this end, we introduce the framework of causal learning theory for forecasting. Using this framework, we obtain a characterization of the difference between statistical and causal risks, which helps identify sources of divergence between them. Under causal sufficiency, the problem of causal generalization amounts to learning under covariate shifts albeit with additional structure (restriction to interventional distributions under the VAR model). This structure allows us to obtain uniform convergence bounds on causal generalizability for the class of VAR models. To the best of our knowledge, this is the first work that provides theoretical guarantees for causal generalization in the time-series setting.

Original languageEnglish
Title of host publicationProceedings of the 38th Conference on Uncertainty in Artificial Intelligence, UAI 2022
PublisherAssociation For Uncertainty in Artificial Intelligence (AUAI)
Pages2002-2012
Number of pages11
ISBN (Electronic)9781713863298
StatePublished - 2022
Event38th Conference on Uncertainty in Artificial Intelligence, UAI 2022 - Eindhoven, Netherlands
Duration: 1 Aug 20225 Aug 2022

Publication series

NameProceedings of the 38th Conference on Uncertainty in Artificial Intelligence, UAI 2022

Conference

Conference38th Conference on Uncertainty in Artificial Intelligence, UAI 2022
Country/TerritoryNetherlands
CityEindhoven
Period1/08/225/08/22

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