Causal Dantzig: Fast inference in linear structural equation models with hidden variables under additive interventions
因果 Dantzig:加性干预下含隐藏变量线性结构方程模型的快速推断AI 解读 ↓
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因果 Dantzig:加性干预下含隐藏变量线性结构方程模型的快速推断AI 解读 ↓
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Causal inference is known to be very challenging when only observational data are available. Randomized experiments are often costly and impractical and in instrumental variable regression the number of instruments has to exceed the number of causal predictors. It was recently shown in Peters, Bühlmann and Meinshausen (2016) (J. R. Stat. Soc. Ser. B. Stat. Methodol. 78 947–1012) that causal inference for the full model is possible when data from distinct observational environments are available, exploiting that the conditional distribution of a response variable is invariant under the correct causal model. Two shortcomings of such an approach are the high computational effort for large-scale data and the assumed absence of hidden confounders. Here, we show that these two shortcomings can be addressed if one is willing to make a more restrictive assumption on the type of interventions that generate different environments. Thereby, we look at a different notion of invariance, namely inner-product invariance. By avoiding a computationally cumbersome reverse-engineering approach such as in Peters, Bühlmann and Meinshausen (2016), it allows for large-scale causal inference in linear structural equation models. We discuss identifiability conditions for the causal parameter and derive asymptotic confidence intervals in the low-dimensional setting. In the case of nonidentifiability, we show that the solution set of causal Dantzig has predictive guarantees under certain interventions. We derive finite-sample bounds in the high-dimensional setting and investigate its performance on simulated datasets.
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最小稀疏性下含高维干扰函数的根号样本量一致半参数学习
Treatment effect estimation under unconfoundedness is a fundamental task in causal inference. In response to the challenge of analyzing high-dimensional datasets collected in substantive fields such as epidemiology, genetics, economics, and social sciences, various methods for treatment effect estimation with high-dimensional nuisance parameters (the outcome regression and the propensity score) have been developed in recent years. However, it is still unclear what is the…
基于惩罚样条与狄利克雷过程混合的贝叶斯非参数工具变量回归
We propose a Bayesian nonparametric instrumental variable approach under additive separability that allows us to correct for endogeneity bias in regression models where the covariate effects enter with unknown functional form. Bias correction relies on a simultaneous equations specification with flexible modeling of the joint error distribution implemented via a Dirichlet process mixture prior. Both the structural and instrumental variable equation are specified in terms of…