DyCAST: Learning Dynamic Causal Structure from Time Series

Understanding the dynamics of causal structures is crucial for uncovering the underlying processes in time series data. Previous approaches rely on static assumptions, where contemporaneous and time-lagged dependencies are assumed to have invariant topological structures. However, these models fail to capture the evolving causal relationship between variables when the underlying process exhibits such dynamics. To address this limitation, we propose DyCAST, a novel framework designed to learn dynamic causal structures in time series using Neural Ordinary Differential Equations (Neural ODEs). The key innovation lies in modeling the temporal dynamics of the contemporaneous structure, drawing inspiration from recent advances in Neural ODEs on constrained manifolds. We reformulate the task of learning causal structures at each time step as solving the solution trajectory of a Neural ODE on the directed acyclic graph (DAG) manifold. To accommodate high-dimensional causal structures, we extend DyCAST by learning the temporal dynamics of the hidden state for contemporaneous causal structure. Experiments on both synthetic and real-world datasets demonstrate that DyCAST achieves superior or comparable performance compared to existing causal discovery models.