论文标题

因果推断的双重运动和异方差感知样品修剪

Doubly-robust and heteroscedasticity-aware sample trimming for causal inference

论文作者

Khan, Samir, Ugander, Johan

论文摘要

一种流行的观察因果推理方差降低的方法是基于倾向的修剪,即从样本中删除具有极端倾向的单位的做法。当数据是均一的,并且倾向模型是参数时的理论基础(Yang and Ding,2018; Crump等,2009),但是在现代环境中,使用非参数模型分析了异性数据,现有理论未能支持当前的实践。在这项工作中,我们通过开发样本修剪的新方法和理论来应对这一挑战。我们的贡献是三个方面的:首先,我们描述了选择哪些单元修剪的新程序。我们的程序与以前的工作有所不同,因为我们不仅修剪了具有较小倾向的单位,而且还要修剪具有极大条件差异的单位。其次,我们为修剪后的推断提供了新的理论保证。特别是,我们展示了如何对修剪的亚群执行推断,而无需以参数速率收敛。取而代之的是,我们只做出像双重机器学习文献中的那样的第四架速率假设。该结果也适用于常规的基于倾向的修剪,因此可能具有独立的利益。最后,我们提出了一种基于自举的方法,用于为多个修剪子群构建有效的置信区间,这对于在修剪中固有的样本量和降低方差减少之间的权衡很有价值。我们在模拟,2007 - 2008年的国家健康和营养检查调查以及半合成的Medicare数据集中验证了我们的方法,并在所有情况下都找到了有希望的结果。

A popular method for variance reduction in observational causal inference is propensity-based trimming, the practice of removing units with extreme propensities from the sample. This practice has theoretical grounding when the data are homoscedastic and the propensity model is parametric (Yang and Ding, 2018; Crump et al. 2009), but in modern settings where heteroscedastic data are analyzed with non-parametric models, existing theory fails to support current practice. In this work, we address this challenge by developing new methods and theory for sample trimming. Our contributions are three-fold: first, we describe novel procedures for selecting which units to trim. Our procedures differ from previous work in that we trim not only units with small propensities, but also units with extreme conditional variances. Second, we give new theoretical guarantees for inference after trimming. In particular, we show how to perform inference on the trimmed subpopulation without requiring that our regressions converge at parametric rates. Instead, we make only fourth-root rate assumptions like those in the double machine learning literature. This result applies to conventional propensity-based trimming as well and thus may be of independent interest. Finally, we propose a bootstrap-based method for constructing simultaneously valid confidence intervals for multiple trimmed sub-populations, which are valuable for navigating the trade-off between sample size and variance reduction inherent in trimming. We validate our methods in simulation, on the 2007-2008 National Health and Nutrition Examination Survey, and on a semi-synthetic Medicare dataset and find promising results in all settings.

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