yffud / causalimpact

An R package for causal inference in time series

CausalImpact

An R package for causal inference using Bayesian structural time-series models

This R package implements an approach to estimating the causal effect of a designed intervention on a time series. For example, how many additional daily clicks were generated by an advertising campaign? Answering a question like this can be difficult when a randomized experiment is not available. The package aims to address this difficulty using a structural Bayesian time-series model to estimate how the response metric might have evolved after the intervention if the intervention had not occurred.

As with all approaches to causal inference on non-experimental data, valid conclusions require strong assumptions. The CausalImpact package, in particular, assumes that the outcome time series can be explained in terms of a set of control time series that were themselves not affected by the intervention. Furthermore, the relation between treated series and control series is assumed to be stable during the post-intervention period. Understanding and checking these assumptions for any given application is critical for obtaining valid conclusions.

Installation

install.packages("devtools")
library(devtools)
devtools::install_github("google/CausalImpact")
library(CausalImpact)

Getting started

Documentation and examples

Further resources

• Manuscript: Brodersen et al., Annals of Applied Statistics (2015)
• Discussion forum: http://stats.stackexchange.com/