Uncertainty Quantification in Federated Granger Causality Learning

Abstract

Granger causality identifies predictive dependencies in multivariate time series. In distributed settings where parties cannot share data, federated causal learning enables joint analysis. Most federated causal methods assume that clients observe the same features and infer causal relationships as point estimates, with little formal uncertainty quantification. These assumptions do not hold in many industrial systems, where clients observe different features, and the objective is to estimate cross-client dependencies (edges). These dependencies must be estimated indirectly through repeated client-server iterations. Uncertainty from client data and model parameters propagates through this process, making point estimates alone insufficient for assessing cross-client edges. This paper characterizes this uncertainty propagation and uses edge-specific variances to distinguish genuine cross-client dependencies from spurious estimated edges. We consider aleatoric uncertainty from client data variability and epistemic uncertainty from model parameters. We derive closed-form variance recursions and steady-state variances for the client-server iterations. We prove that the propagated contribution of the initial model-parameter uncertainty vanishes asymptotically. These variances enable statistically principled selection of cross-client edges. Synthetic experiments show that our approach improves cross-client edge recovery over competing baselines. On real-world industrial datasets, it achieves high root-cause identification accuracy while yielding interpretable dependency structures.