Conditional Local Independence Testing for Itô processes with Applications to Dynamic Causal Discovery
Itô 过程的条件局部独立检验及动态因果发现应用
Inferring causal relationships from dynamical systems is the central interest of many scientific inquiries. Conditional local independence, which describes whether the evolution of one process is influenced by another process given additional processes, is important for causal learning in such systems. In this paper, we propose a hypothesis test for conditional local independence in Itô processes. Our test is grounded in the semimartingale decomposition of the Itô process,…