On Learning Time Series Summary DAGs: A Frequency Domain Approach

Abstract

The fields of time series and graphical models emerged and advanced separately. Previous work on the structure learning of continuous and real-valued time series utilizes the time domain, with a focus on either structural autoregressive models or linear (non-)Gaussian Bayesian Networks. In contrast, we propose a novel frequency domain approach to identify a topological ordering and learn the structure of both real and complex-valued multivariate time series. In particular, we define a class of complex-valued Structural Causal Models (cSCM) at each frequency of the Fourier transform of the time series. Assuming that the time series is generated from the transfer function model, we show that the topological ordering and corresponding summary directed acyclic graph can be uniquely identified from cSCM. The performance of our algorithm is investigated using simulation experiments and real datasets.