In continuous time, the Aldous, Hoover-Keisler, Hellwig, and optimal-stopping topologies on naturally filtered processes coincide and are metrized by an adapted Wasserstein distance, whose completion is the space of general filtered processes.
Learning Causal Graphs via Monotone Triangular Transport Maps
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abstract
We study the problem of causal structure learning from data using optimal transport (OT). Specifically, we first provide a constraint-based method which builds upon lower-triangular monotone parametric transport maps to design conditional independence tests which are agnostic to the noise distribution. We provide an algorithm for causal discovery up to Markov Equivalence with no assumptions on the structural equations/noise distributions, which allows for settings with latent variables. Our approach also extends to score-based causal discovery by providing a novel means for defining scores. This allows us to uniquely recover the causal graph under additional identifiability and structural assumptions, such as additive noise or post-nonlinear models. We provide experimental results to compare the proposed approach with the state of the art on both synthetic and real-world datasets.
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The Wasserstein Space of Stochastic Processes in Continuous Time
In continuous time, the Aldous, Hoover-Keisler, Hellwig, and optimal-stopping topologies on naturally filtered processes coincide and are metrized by an adapted Wasserstein distance, whose completion is the space of general filtered processes.