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Port causality from internal quick-tips repo to open-source GitHub #38

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This PR aims to:

  • Condense our learnings from all projects and research we've conducted so far in the realm of causality & time series.
  • Port the codebase from our internal ml-guidelines repository and obfuscating project work under NDA.
  • Work with the latest versions of PCMCI - tigramite==5.0.0.3 and scipy==1.8.1

@FlorentijnD FlorentijnD added enhancement New feature or request sd Structured Data chapter labels Jun 2, 2022
@FlorentijnD FlorentijnD self-assigned this Jun 2, 2022
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@julienschuermans julienschuermans left a comment

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Really sorry for the delay. I have some tiny remarks, but other than that this PR looks good to go:

  • Storing the data in a .pickle file is probably not the best idea.
  • By copying pycausality and adding wrappers this PR adds a lot of code. Next time we should check if a "quick tip" can be smaller in size. The reusable code could be hosted in a separate codebase.
  • There are a lot of items in the requirements.txt. I guess most of those are "secondary"? Maybe next time let's only add the direct dependencies.

## Purpose of this folder
We advocate to use the [PyCausality](https://pypi.org/project/PyCausality/) package when working with Transfer Entropy.
The code itself is not maintained anymore but still works well.
Because the pip package might become/is unstable, we copied the source code and created a wrapper around it.
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Is the pip package actually unstable? Or is the main reason here that our wrapper adds a lot of value?

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