Geometry-Aware Instrumental Variable Regression

Heiner Kremer, Bernhard Schölkopf
Proceedings of the 41st International Conference on Machine Learning, PMLR 235:25560-25582, 2024.

Abstract

Instrumental variable (IV) regression can be approached through its formulation in terms of conditional moment restrictions (CMR). Building on variants of the generalized method of moments, most CMR estimators are implicitly based on approximating the population data distribution via reweightings of the empirical sample. While for large sample sizes, in the independent identically distributed (IID) setting, reweightings can provide sufficient flexibility, they might fail to capture the relevant information in presence of corrupted data or data prone to adversarial attacks. To address these shortcomings, we propose the Sinkhorn Method of Moments, an optimal transport-based IV estimator that takes into account the geometry of the data manifold through data-derivative information. We provide a simple plug-and-play implementation of our method that performs on par with related estimators in standard settings but improves robustness against data corruption and adversarial attacks.

Cite this Paper


BibTeX
@InProceedings{pmlr-v235-kremer24a, title = {Geometry-Aware Instrumental Variable Regression}, author = {Kremer, Heiner and Sch\"{o}lkopf, Bernhard}, booktitle = {Proceedings of the 41st International Conference on Machine Learning}, pages = {25560--25582}, year = {2024}, editor = {Salakhutdinov, Ruslan and Kolter, Zico and Heller, Katherine and Weller, Adrian and Oliver, Nuria and Scarlett, Jonathan and Berkenkamp, Felix}, volume = {235}, series = {Proceedings of Machine Learning Research}, month = {21--27 Jul}, publisher = {PMLR}, pdf = {https://raw.githubusercontent.com/mlresearch/v235/main/assets/kremer24a/kremer24a.pdf}, url = {https://proceedings.mlr.press/v235/kremer24a.html}, abstract = {Instrumental variable (IV) regression can be approached through its formulation in terms of conditional moment restrictions (CMR). Building on variants of the generalized method of moments, most CMR estimators are implicitly based on approximating the population data distribution via reweightings of the empirical sample. While for large sample sizes, in the independent identically distributed (IID) setting, reweightings can provide sufficient flexibility, they might fail to capture the relevant information in presence of corrupted data or data prone to adversarial attacks. To address these shortcomings, we propose the Sinkhorn Method of Moments, an optimal transport-based IV estimator that takes into account the geometry of the data manifold through data-derivative information. We provide a simple plug-and-play implementation of our method that performs on par with related estimators in standard settings but improves robustness against data corruption and adversarial attacks.} }
Endnote
%0 Conference Paper %T Geometry-Aware Instrumental Variable Regression %A Heiner Kremer %A Bernhard Schölkopf %B Proceedings of the 41st International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2024 %E Ruslan Salakhutdinov %E Zico Kolter %E Katherine Heller %E Adrian Weller %E Nuria Oliver %E Jonathan Scarlett %E Felix Berkenkamp %F pmlr-v235-kremer24a %I PMLR %P 25560--25582 %U https://proceedings.mlr.press/v235/kremer24a.html %V 235 %X Instrumental variable (IV) regression can be approached through its formulation in terms of conditional moment restrictions (CMR). Building on variants of the generalized method of moments, most CMR estimators are implicitly based on approximating the population data distribution via reweightings of the empirical sample. While for large sample sizes, in the independent identically distributed (IID) setting, reweightings can provide sufficient flexibility, they might fail to capture the relevant information in presence of corrupted data or data prone to adversarial attacks. To address these shortcomings, we propose the Sinkhorn Method of Moments, an optimal transport-based IV estimator that takes into account the geometry of the data manifold through data-derivative information. We provide a simple plug-and-play implementation of our method that performs on par with related estimators in standard settings but improves robustness against data corruption and adversarial attacks.
APA
Kremer, H. & Schölkopf, B.. (2024). Geometry-Aware Instrumental Variable Regression. Proceedings of the 41st International Conference on Machine Learning, in Proceedings of Machine Learning Research 235:25560-25582 Available from https://proceedings.mlr.press/v235/kremer24a.html.

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