Causal Mask in Transformer via Transfer Entropy Estimation from Vector Autoregressive Learning for Multivariate Time Series Forecasting

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Authors: Chengli Zhou, Zicheng Wang, Yaqun Huang, Dapeng Tao, Chunna Zhao
Cited by: 0
References: 40

Abstract

Time series forecasting remains challenging in domains such as finance and climate science, where complex interactions among variables often induce spurious correlations. We propose ARCausal, a forecasting framework that integrates transfer entropy (TE)-based causal discovery with Transformer attention modeling. ARCausal introduces a sparse causal masking mechanism derived from TE and refined via vector autoregression (VAR) estimation to capture dynamic causal interactions. The mask suppresses noninformative dependencies and distinguishes autocorrelation from cross-variable causal effects, improving both predictive performance and interpretability. Experiments on nine benchmark datasets demonstrate consistent improvements over strong baselines, achieving up to [Formula: see text] reduction in MSE while maintaining computational efficiency. Visualization results further illustrate the interpretability of the learned causal structures. The code is publicly available at https://github.com/jancely/ARCausal/.

Fields of Study & Subjects

Time Series Analysis and Forecasting Stock Market Forecasting Methods Forecasting Techniques and Applications

Publication details

Journal / source
International Journal of Neural Systems
Volume
36
Issue
08
Pages
2650019–2650019
Publication date
30 January 2026
Language
EN