Instrumental Processes Using Integrated Covariances

Søren Wengel Mogensen
Proceedings of the Second Conference on Causal Learning and Reasoning, PMLR 213:620-641, 2023.

Abstract

Instrumental variable methods are often used for parameter estimation in the presence of confounding. They can also be applied in stochastic processes. Instrumental variable analysis exploits moment equations to obtain estimators for causal parameters. We show that in stochastic processes one can find such moment equations using an integrated covariance matrix. This provides new instrumental variable methods, instrumental variable methods in a class of continuous-time processes as well as a unified treatment of discrete- and continuous-time processes.

Cite this Paper

BibTeX
@InProceedings{pmlr-v213-mogensen23a, title = {Instrumental Processes Using Integrated Covariances}, author = {Mogensen, S{\o}ren Wengel}, booktitle = {Proceedings of the Second Conference on Causal Learning and Reasoning}, pages = {620--641}, year = {2023}, editor = {van der Schaar, Mihaela and Zhang, Cheng and Janzing, Dominik}, volume = {213}, series = {Proceedings of Machine Learning Research}, month = {11--14 Apr}, publisher = {PMLR}, pdf = {https://proceedings.mlr.press/v213/mogensen23a/mogensen23a.pdf}, url = {https://proceedings.mlr.press/v213/mogensen23a.html}, abstract = {Instrumental variable methods are often used for parameter estimation in the presence of confounding. They can also be applied in stochastic processes. Instrumental variable analysis exploits moment equations to obtain estimators for causal parameters. We show that in stochastic processes one can find such moment equations using an integrated covariance matrix. This provides new instrumental variable methods, instrumental variable methods in a class of continuous-time processes as well as a unified treatment of discrete- and continuous-time processes.} }
Endnote
%0 Conference Paper %T Instrumental Processes Using Integrated Covariances %A Søren Wengel Mogensen %B Proceedings of the Second Conference on Causal Learning and Reasoning %C Proceedings of Machine Learning Research %D 2023 %E Mihaela van der Schaar %E Cheng Zhang %E Dominik Janzing %F pmlr-v213-mogensen23a %I PMLR %P 620--641 %U https://proceedings.mlr.press/v213/mogensen23a.html %V 213 %X Instrumental variable methods are often used for parameter estimation in the presence of confounding. They can also be applied in stochastic processes. Instrumental variable analysis exploits moment equations to obtain estimators for causal parameters. We show that in stochastic processes one can find such moment equations using an integrated covariance matrix. This provides new instrumental variable methods, instrumental variable methods in a class of continuous-time processes as well as a unified treatment of discrete- and continuous-time processes.
APA
Mogensen, S.W.. (2023). Instrumental Processes Using Integrated Covariances. Proceedings of the Second Conference on Causal Learning and Reasoning, in Proceedings of Machine Learning Research 213:620-641 Available from https://proceedings.mlr.press/v213/mogensen23a.html.

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