Modified local Granger causality analysis based on Peter-Clark algorithm for multivariate time series prediction on IoT data

Abstract

Climate data collected through Internet of Things (IoT) devices often contain high-dimensional, nonlinear, and auto-correlated characteristics, and general causality analysis methods obtain quantitative causality analysis results between variables based on conditional independence tests or Granger causality, and so forth. However, it is difficult to capture dynamic properties between variables of temporal distribution, which can obtain information that cannot be obtained by the mean detection method. Therefore, this paper proposed a new causality analysis method based on Peter-Clark (PC) algorithm and modified local Granger causality (MLGC) analysis method, called PC-MLGC, to reveal the causal relationships between variables and explore the dynamic properties on temporal distribution. First, the PC algorithm is applied to compute the relevant variables of each variable. Then, the results obtained in the previous stage are fed into the modified local Granger causality analysis model to explore causalities between variables. Finally, combined with the quantitative causality analysis results, the dynamic characteristic curves between variables can be obtained, and the accuracy of the causal relationship between variables can be further verified. The effectiveness of the proposed method is further demonstrated by comparing it with standard Granger causality analysis and a two-stage causal network learning method on one benchmark dataset and two real-world datasets.