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Poster

Debiased Bayesian inference for average treatment effects

Kolyan Ray · Botond Szabo

East Exhibition Hall B + C #182

Keywords: [ Causal Inference; Probabilistic Meth ] [ Algorithms -> Missing Data; Algorithms -> Uncertainty Estimation; Probabilistic Methods ] [ Bayesian Nonparametrics ] [ Probabilistic Methods ]


Abstract:

Bayesian approaches have become increasingly popular in causal inference problems due to their conceptual simplicity, excellent performance and in-built uncertainty quantification ('posterior credible sets'). We investigate Bayesian inference for average treatment effects from observational data, which is a challenging problem due to the missing counterfactuals and selection bias. Working in the standard potential outcomes framework, we propose a data-driven modification to an arbitrary (nonparametric) prior based on the propensity score that corrects for the first-order posterior bias, thereby improving performance. We illustrate our method for Gaussian process (GP) priors using (semi-)synthetic data. Our experiments demonstrate significant improvement in both estimation accuracy and uncertainty quantification compared to the unmodified GP, rendering our approach highly competitive with the state-of-the-art.

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