Causal Lag Structure Discovery in Confounded Time Series via Orthogonalized Adaptive Estimation
Finding which variables cause which others in multivariate time series, and at what lags, is central to science and policy, yet existing methods force a choice between flexible confounder adjustment, data-driven lag selection, and inference that controls the false discovery rate (FDR). ORACLE-VARX does all three in one...
Hong-Qiong Tan, Isaac-Neil Zanoria, James Chen et al.
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