Beyond Stationarity in Time Series: Discovering Causal Structures and Latent Regimes via Markov Blankets

Lei Zan, Charles K. Assaad, Emilie Devijver +1

This paper introduces Regime-aware Constraint-Based and Noise-Based causal discovery with Markov Blankets (RCBNB-MB), a novel causal discovery algorithm for time series that relaxe…