The estimator of a causal directed acyclic graph (DAG) with the PC algorithm is known to be consistent based on independent and identically distributed samples. In this paper, we consider the scenario when the multivariate samples are identically distributed but not independent. A common example is a stationary multivariate time series. We show that under a standard set of assumptions on the underlying time series involving $\rho$-mixing, the PC algorithm is consistent in this dependent sample scenario. Further, we show that for the popular time series models such as vector auto-regressive moving average and linear processes, consistency of the PC algorithm holds. We also prove the consistency for the Time-Aware PC algorithm, a recent adaptation of the PC algorithm for the time series scenario. Our findings are supported by simulations and benchmark real data analyses provided towards the end of the paper.
翻译:与 PC 算法 (DAG) 对应的因果定向循环图(DAG) 的估算值根据独立且分布相同的样本而已知是一致的。 在本文中,我们考虑了多变量样本分布相同但并不独立的情景。 一个常见的例子是一个固定的多变量时间序列。我们显示,根据一套标准假设,在涉及 $\rho$- mixing 的相关时间序列中,PC 算法在这种依赖性抽样假设中是一致的。此外,我们显示,对于矢量自动递增移动平均和线性进程等流行的时间序列模型,PC 算法具有一致性。我们还证明了时间软件算法的一致性,这是最近对时间序列情景进行的个人计算机算法调整。我们的调查结果得到模拟和基准真实数据分析的支持,这些分析是针对文件结尾提供的。