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arxivcs.LGstat.ME2026-07-22

CEDAR: Causal Edge Discovery for Autoregressive Processes

Mohammad Fesanghary

We propose CEDAR (Causal Edge Discovery for Autoregressive Processes), a constraint-based method for lagged causal edge discovery in sparse autoregressive time series. CEDAR screens candidate cross-variable lags using AR(1)-residualized, U-centered distance correlation, then applies two targeted conditional-independence tests per significant cross-variable lag candidate and accepts at most one lag per ordered pair. A stable MCI pruning step removes indirect edges, and optional deterministic C-nodes adjust for specified trend-like nonstationarity. In sparse regimes where few lags survive screening, CEDAR requires $O(d^2)$ CI tests after screening while retaining edge-level interpretability. CEDAR is most effective when data are scarce and variables exhibit lag-1 self-dynamics; methods with richer conditioning sets become preferable as $T$ grows or when higher-order autoregressive or simultaneous multi-lag effects are common.

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