Semiparametric Bayesian causal inference
File(s)DoubleRobustBayes.pdf (536.61 KB)
Accepted version
OA Location
Author(s)
Ray, Kolyan
van der Vaart, Aad
Type
Journal Article
Abstract
We develop a semiparametric Bayesian approach for estimatingthe mean response in a missing data model with binary outcomesand a nonparametrically modelled propensity score. Equivalently, weestimate the causal effect of a treatment, correcting nonparamet-rically for confounding. We show that standard Gaussian processpriors satisfy a semiparametric Bernstein–von Mises theorem undersmoothness conditions. We further propose a novel propensity score-dependent prior that provides efficient inference under strictly weakerconditions. We also show that it is theoretically preferable to modelthe covariate distribution with a Dirichlet process or Bayesian boot-strap, rather than modelling its density.
Date Issued
2020-10-01
Date Acceptance
2019-10-08
Citation
Annals of Statistics, 2020, 48 (5), pp.2999-3020
ISSN
0090-5364
Publisher
Institute of Mathematical Statistics
Start Page
2999
End Page
3020
Journal / Book Title
Annals of Statistics
Volume
48
Issue
5
Copyright Statement
©Institute of Mathematical Statistics, 2020
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Bernstein-von Mises
Gaussian processes
propensity score-dependent priors
causal inference
Dirichlet process
VON-MISES THEOREM
POSTERIOR DISTRIBUTIONS
PROPENSITY SCORE
MODELS
RATES
CONTRACTION
FUNCTIONALS
INFORMATION
REGRESSION
EFFICIENCY
0102 Applied Mathematics
0104 Statistics
1403 Econometrics
Statistics & Probability
Publication Status
Published
Date Publish Online
2020-09-19