Detecting causal associations in large nonlinear time series datasets

Detecting causal associations in time series datasets is a key challenge for novel insights into complex dynamical systems such as the Earth system or the human brain. Interactions in high-dimensional dynamical systems often involve time-delays, nonlinearity, and strong autocorrelations. These present major challenges for causal discovery techniques such as Granger causality leading to low detection power, biases, and unreliable hypothesis tests. Here we introduce a reliable and fast method that outperforms current approaches in detection power and scales up to high-dimensional datasets. It overcomes detection biases, especially when strong autocorrelations are present, and allows ranking associations in large-scale analyses by their causal strength. We provide mathematical proofs, evaluate our method in extensive numerical experiments, and illustrate its capabilities in a large-scale analysis of the global surface-pressure system where we unravel spurious associations and find several potentially causal links that are difficult to detect with standard methods. The broadly applicable method promises to discover novel causal insights also in many other fields of science.