Causal Structure Recovery Under Partial Observability: Why Filtered States Outperform RTS-Smoothed States for Granger Discovery
Building causal discovery on smoothed states biases it; filtered states recover near-oracle structure.
Abstract
The standard estimate-then-discover pipeline is systematically biased when built on RTS-smoothed states; filtered state estimates preserve the exogeneity conditions for Granger-style discovery and recover near-oracle structure at no extra cost. Accepted to ICAI’26 (Springer Nature); full paper to be linked upon publication.
- Causal inference
- State-space
- Time series
- Granger
- Kalman
Full paper linked upon publication.