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Pré-Publication, Document De Travail Année : 2023

How to select predictive models for causal inference?

Comment sélectionner des models prédictifs pour l'inférence causale ?

Résumé

Predictive models –as with machine learning– can underpin causal inference, to estimate the effects of an intervention at the population or individual level. This opens the door to a plethora of models, useful to match the increasing complexity of health data, but also the Pandora box of model selection: which of these models yield the most valid causal estimates? Classic machine-learning cross-validation procedures are not directly applicable. Indeed, an appropriate selection procedure for causal inference should equally weight both outcome errors for each individual, treated or not treated, whereas one outcome may be seldom observed for a sub-population. We study how more elaborate risks benefit causal model selection. We show theoretically that simple risks are brittle to weak overlap between treated and non-treated individuals as well as to heterogeneous errors between populations. Rather a more elaborate metric, the R − risk appears as a proxy of the oracle error on causal estimates, observable at the cost of an overlap re-weighting. As the R − risk is defined not only from model predictions but also by using the conditional mean outcome and the treatment probability, using it for model selection requires adapting cross validation. Extensive experiments show that the resulting procedure gives the best causal model selection.
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Dates et versions

hal-03946902 , version 1 (19-01-2023)
hal-03946902 , version 2 (24-05-2023)
hal-03946902 , version 3 (16-06-2023)
hal-03946902 , version 4 (08-01-2024)

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Licence Ouverte - etalab

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Citer

Matthieu Doutreligne, Gaël Varoquaux. How to select predictive models for causal inference?. 2023. ⟨hal-03946902v2⟩
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