Implements a Bayesian approach to causal impact estimation in time
series, as described in Brodersen et al. (2015)
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.
install.packages("CausalImpact")library(CausalImpact)
Manuscript: Brodersen et al., Annals of Applied Statistics (2015)
For questions on the statistics behind CausalImpact: Cross Validated
For questions on how to use the CausalImpact R package: Stack Overflow