Structural causal models for macro-variables in time-series


Abstract in English

We consider a bivariate time series $(X_t,Y_t)$ that is given by a simple linear autoregressive model. Assuming that the equations describing each variable as a linear combination of past values are considered structural equations, there is a clear meaning of how intervening on one particular $X_t$ influences $Y_{t}$ at later times $t>t$. In the present work, we describe conditions under which one can define a causal model between variables that are coarse-grained in time, thus admitting statements like `setting $X$ to $x$ changes $Y$ in a certain way without referring to specific time instances. We show that particularly simple statements follow in the frequency domain, thus providing meaning to interventions on frequencies.

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