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Abstract:
We propose a novel method for inferring whether X causes Y or vice versa from joint observations of X and Y. The basic idea is to model the observed data using probabilistic
latent variable models, which incorporate the effects of unobserved noise. To this end, we consider the hypothetical effect variable to be a function of the hypothetical cause variable and an independent noise term (not necessarily additive). An important novel aspect of our work is that we do not restrict the model class, but instead put general non-parametric priors on this function and on the distribution of the cause. The causal direction can then
be inferred by using standard Bayesian model selection. We evaluate our approach on synthetic data and real-world data and report encouraging results.
