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Rhino: Deep Causal Temporal Relationship Learning with history-dependent noise
Wenbo Gong · Joel Jennings · Cheng Zhang · Nick Pawlowski
Event URL: https://openreview.net/forum?id=Z53CEX9jh4E »

Discovering causal relationships between different variables from time series data has been a long-standing challenge for many domains. For example, in stock markets, the announcement of acquisitions from leading companies may have immediate effects on stock prices and increased uncertainty of the future market due to this past action. This requires the model to take non-linear relationships, instantaneous effects and the past-action dependent uncertainty into account. We name the latter as history-dependent noise. However, previous works do not offer a solution addressing all these problems together. In this paper, we propose a structural equation model, called Rhino, which combines vector auto-regression, deep learning and variational inference to model non-linear relationships with instantaneous effects and flexible history-dependent noise. Theoretically, we prove the structural identifiability for a generalization of Rhino. Our empirical results from extensive synthetic experiments and a real-world benchmark demonstrate better discovery performance compared to relevant baselines, with ablation studies revealing its robustness when the Rhino is misspecified.

Author Information

Wenbo Gong (Microsoft)
Joel Jennings (Microsoft Research)
Cheng Zhang (Microsoft Research, Cambridge, UK)

Cheng Zhang is a principal researcher at Microsoft Research Cambridge, UK. She leads the Data Efficient Decision Making (Project Azua) team in Microsoft. Before joining Microsoft, she was with the statistical machine learning group of Disney Research Pittsburgh, located at Carnegie Mellon University. She received her Ph.D. from the KTH Royal Institute of Technology. She is interested in advancing machine learning methods, including variational inference, deep generative models, and sequential decision-making under uncertainty; and adapting machine learning to social impactful applications such as education and healthcare. She co-organized the Symposium on Advances in Approximate Bayesian Inference from 2017 to 2019.

Nick Pawlowski (Microsoft Research)

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