Shrinkage-Based Regressions with Many Related Treatments
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针对多种相关处理的收缩回归AI 解读 ↓
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When using observational causal models, practitioners often want to disentangle the effects of many related, partially-overlapping treatments. Examples include estimating treatment effects of different marketing touchpoints, ordering different types of products, or signing up for different services. Common approaches that estimate separate treatment coefficients are too noisy for practical decision-making. We propose a computationally light model that uses a customized ridge regression to move between a heterogeneous and a homogenous model: it substantially reduces MSE for the effects of each individual sub-treatment while allowing us to easily reconstruct the effects of an aggregated treatment. We demonstrate the properties of this estimator in theory and simulation, and illustrate how it has unlocked targeted decision-making at Wayfair.
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In factorial randomized experiments with $K$ binary treatment components, we study which baseline covariates modify component main effects and interactions. We define effect-modifier cells $(j,S)$, $j\in[p]$ and $\emptyset\neq S\subseteq[K]$, through the coefficients $θ^\ast_{jS}$ of population linear projections of conditional Walsh--Hadamard contrasts $τ_{S}$ onto standardized covariates. Using baseline-robust direct scores, we develop frequentist inference for all $p(2^K-1)$…
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基于贝叶斯机器学习的决策论亚组发现
We consider the problem of identifying promising subpopulations in terms of treatment effectiveness or treatment effect heterogeneity, from a Bayesian decision theoretic perspective. We first show that a straight-forward application of Bayesian decision theory to subgroup detection leads to a counter-intuitive risk-seeking (RS) behavior. Motivated by this observation, we introduce the Bayesian Risk-Aware Inference and Detection of Subgroups (BRAIDS) utility and use it to…