Causal Feature Selection via Orthogonal Search

• URL: http://arxiv.org/abs/2007.02938v3
• Date: Sat, 17 Sep 2022 01:10:10 GMT
• Title: Causal Feature Selection via Orthogonal Search
• Authors: Ashkan Soleymani, Anant Raj, Stefan Bauer, Bernhard Sch\"olkopf and Michel Besserve
• Abstract summary: We study a one-vs.-the-rest feature selection approach to discover the direct causal parent of a response variable. We propose an algorithm that works for purely observational data while also offering theoretical guarantees.
• Score: 30.120592913076198
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The problem of inferring the direct causal parents of a response variable among a large set of explanatory variables is of high practical importance in many disciplines. However, established approaches often scale at least exponentially with the number of explanatory variables, are difficult to extend to nonlinear relationships, and are difficult to extend to cyclic data. Inspired by {\em Debiased} machine learning methods, we study a one-vs.-the-rest feature selection approach to discover the direct causal parent of the response. We propose an algorithm that works for purely observational data while also offering theoretical guarantees, including the case of partially nonlinear relationships possibly under the presence of cycles. As it requires only one estimation for each variable, our approach is applicable even to large graphs. We demonstrate significant improvements compared to established approaches.

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