fastC-GC and fastC-GC*: Efficient RCCP-Guided Graph Estimation for Time Series

S. A. Adedayo

Papers from arXiv.org

Abstract: We introduce fastC-GC and fastC-GC$^*$, computationally efficient methods for time-series graph estimation using the two-test rule motivated by Reichenbach's common cause principle (RCCP) and the conditioning sets of causalised Granger causality (c-GC and c-GC$^*$). The methods use standardized data, ridge-residual correlation, and complete circular shift enumeration evaluated by Fourier transforms. Shared precision calculations and Schur downdates avoid repeated regression fits. On a single-threaded benchmark, fastC-GC was 68-277 times faster than the compared c-GC implementation, and fastC-GC$^*$ was 192-886 times faster than c-GC$^*$. Across four suites with reference graphs, aggregate mean area under the precision-recall curve (AUPRC) differed from the corresponding baseline by at most 0.019, but F1 was lower at the selected thresholds in every suite. The computational gains therefore accompany a change in estimator and selected graphs. Among eight methods, Bagged PCMCI+ had the highest mean AUPRC on sparse VAR, an autocorrelated structural process, and DREAM3; CUTS+ led on Lorenz-96. Wind-tunnel and river-discharge applications illustrate differences between inferred graphs without establishing causal accuracy. We prove the computational identities and a restricted population adjacency result for fastC-GC$^*$. Causal interpretation requires the stated graphical assumptions; validity of the implemented tests additionally requires a suitable shift-invariant null law. Empirical null rejection rates informed the conditional threshold $\beta = 0.005$, without establishing general test validity or graph-wide error control.

Date: 2026-10
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