The invention discloses a method for constructing a 
time sequence causal relationship graph, and the method comprises the steps: calculating a first 
time lag value of each 
time sequence and a second 
time lag value between every two time sequences based on a plurality of time sequences; a direct 
lag dependent variable and an initial connection graph for each 
time sequence are determined. And judging whether a causal relationship exists between the time sequences corresponding to every two mutually connected nodes in the initial connection graph or not by utilizing a 
conditional independence criterion, thereby obtaining an intermediate connection graph. And after determining the direction of the undirected edge between the time sequences with the causal lagging relationship in the intermediate connection graph, checking whether the undirected edge between every two time sequences at the current moment actually exists or not by using the 
conditional independence criterion again, and obtaining a final time sequence causal relationship graph. According to the scheme, every two time sequences are fitted through the first 
time lag value to obtain the residual sequence, and the second time 
lag value is calculated by using the residual sequence, so that the accuracy of causal relationship judgment can be improved.