A VAE-based Framework for Learning Multi-Level Neural Granger-Causal Connectivity

Granger causality has been widely used in various application domains to capture lead-lag relationships amongst the components of complex dynamical systems, and the focus in extant literature has been on a single dynamical system. In certain applications in macroeconomics and neuroscience, one has access to data from a collection of related such systems, wherein the modeling task of interest is to extract the shared common structure that is embedded across them, as well as to identify the idiosyncrasies within individual ones. This paper introduces a Variational Autoencoder (VAE) based framework that jointly learns Granger-causal relationships amongst components in a collection of related-yet-heterogeneous dynamical systems, and handles the aforementioned task in a principled way. The performance of the proposed framework is evaluated on several synthetic data settings and benchmarked against existing approaches designed for individual system learning. The method is further illustrated on a real dataset involving time series data from a neurophysiological experiment and produces interpretable results.