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Causal inference from Random Forests (arxiv.org)
4 points by tomrod on Jan 9, 2017 | hide | past | pdf | discuss on HN

In plain words: It adapts random forests—many decision trees voting together—to estimate how a treatment's effect differs from person to person, with trustworthy confidence intervals. The estimates converge on the true effect and beat nearest-neighbor matching, especially when many measured traits are irrelevant.

Abstract · Estimation and Inference of Heterogeneous Treatment Effects using Random Forests

Many scientific and engineering challenges -- ranging from personalized medicine to customized marketing recommendations -- require an understanding of treatment effect heterogeneity. In this paper, we develop a non-parametric causal forest for estimating heterogeneous treatment effects that extends Breiman's widely used random forest algorithm. In the potential outcomes framework with unconfoundedness, we show that causal forests are pointwise consistent for the true treatment effect, and have an asymptotically Gaussian and centered sampling distribution. We also discuss a practical method for constructing asymptotic confidence intervals for the true treatment effect that are centered at the causal forest estimates. Our theoretical results rely on a generic Gaussian theory for a large family of random forest algorithms. To our knowledge, this is the first set of results that allows any type of random forest, including classification and regression forests, to be used for provably valid statistical inference. In experiments, we find causal forests to be substantially more powerful than classical methods based on nearest-neighbor matching, especially in the presence of irrelevant covariates.

Stefan Wager, Susan Athey
arXiv:1510.04342 · stat.ME, math.ST, stat.ML · submitted Oct 14, 2015 · updated Jul 10, 2017
abstract · pdf · html · To appear in the Journal of the American Statistical Association. Part of the results developed in this paper were made available as an earlier technical report "Asymptotic Theory for Random Forests", available at (arXiv:1405.0352)

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