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LiNGAM Practical Evaluation

The candidate models correspond to a restrictive class of mechanism and the comparison of the candidate models is based on comparison of fit scores at fixed complexity. The fit score used for comparison is the likelihood score derived by Hyvärinen and Smith in this case as: SXY=[i=1nGX(xi)+GNY(yiρxi1ρ2)]+nlog(1ρ2)S_{X\rightarrow Y} = -[\sum_{i=1}^n G_X(x^i)+G_{N_Y}(\frac{y^i - \rho x^i}{\sqrt{1-\rho^2}})]+n\log (1-\rho^2) where GX(u)=logPX(u)G_X ( u ) = \log P_X ( u ) and GNYG_{N_Y} is the standardized log probability distribution function of the residual when regressing Y on X . SYXS_{Y → X} is computed similarly and the causal direction is decided by comparing SXYS_{X → Y} with SYXS_{Y → X}.

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Updated 2020-07-24

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Data Science