Robust Orthogonal Machine Learning of Treatment Effects

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Tác giả: Yiyan Huang, Cheuk Hang Leung, Qi Wu, Xing Yan

Ngôn ngữ: eng

Ký hiệu phân loại: 006.31 Machine learning

Thông tin xuất bản: 2021

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Bộ sưu tập: Metadata

ID: 166564

 Causal learning is the key to obtaining stable predictions and answering \textit{what if} problems in decision-makings. In causal learning, it is central to seek methods to estimate the average treatment effect (ATE) from observational data. The Double/Debiased Machine Learning (DML) is one of the prevalent methods to estimate ATE. However, the DML estimators can suffer from an \textit{error-compounding issue} and even give extreme estimates when the propensity scores are close to 0 or 1. Previous studies have overcome this issue through some empirical tricks such as propensity score trimming, yet none of the existing works solves it from a theoretical standpoint. In this paper, we propose a \textit{Robust Causal Learning (RCL)} method to offset the deficiencies of DML estimators. Theoretically, the RCL estimators i) satisfy the (higher-order) orthogonal condition and are as \textit{consistent and doubly robust} as the DML estimators, and ii) get rid of the error-compounding issue. Empirically, the comprehensive experiments show that: i) the RCL estimators give more stable estimations of the causal parameters than DML
  ii) the RCL estimators outperform traditional estimators and their variants when applying different machine learning models on both simulation and benchmark datasets, and a mimic consumer credit dataset generated by WGAN.
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