Causal Inference in Directed, Possibly Cyclic, Graphical Models
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We consider the problem of learning a directed graph G^⋆ from observational data. We assume that the distribution which gives rise to the samples is Markov and faithful to the graph G^⋆ and that there are no unobserved variables. We do not rely on any further assumptions regarding the graph or the distribution of the variables. In particular, we allow for directed cycles in G^⋆ and work in the fully non-parametric setting. Given the set of conditional independence statements satisfied by the distribution, we aim to find a directed graph which satisfies the same d-separation statements as G^⋆. We propose a hybrid approach consisting of two steps. We first find a partially ordered partition of the vertices of G^⋆ by optimizing a certain score in a greedy fashion. We prove that any optimal partition uniquely characterizes the Markov equivalence class of G^⋆. Given an optimal partition, we propose an algorithm for constructing a graph in the Markov equivalence class of G^⋆ whose strongly connected components correspond to the elements of the partition, and which are partially ordered according to the partial order of the partition. Our algorithm comes in two versions – one which is provably correct and another one which performs fast in practice.
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