Regularizing Extrapolation in Causal Inference

• URL: http://arxiv.org/abs/2509.17180v2
• Date: Thu, 16 Oct 2025 01:37:40 GMT
• Title: Regularizing Extrapolation in Causal Inference
• Authors: David Arbour, Harsh Parikh, Bijan Niknam, Elizabeth Stuart, Kara Rudolph, Avi Feller,
• Abstract summary: We propose a unified framework that directly penalizes the level of extrapolation.<n>We derive a worst-case extrapolation error bound and introduce a novel "bias-bias-variance" tradeoff.
• Score: 12.057981453189505
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: Many common estimators in machine learning and causal inference are linear smoothers, where the prediction is a weighted average of the training outcomes. Some estimators, such as ordinary least squares and kernel ridge regression, allow for arbitrarily negative weights, which improve feature imbalance but often at the cost of increased dependence on parametric modeling assumptions and higher variance. By contrast, estimators like importance weighting and random forests (sometimes implicitly) restrict weights to be non-negative, reducing dependence on parametric modeling and variance at the cost of worse imbalance. In this paper, we propose a unified framework that directly penalizes the level of extrapolation, replacing the current practice of a hard non-negativity constraint with a soft constraint and corresponding hyperparameter. We derive a worst-case extrapolation error bound and introduce a novel "bias-bias-variance" tradeoff, encompassing biases due to feature imbalance, model misspecification, and estimator variance; this tradeoff is especially pronounced in high dimensions, particularly when positivity is poor. We then develop an optimization procedure that regularizes this bound while minimizing imbalance and outline how to use this approach as a sensitivity analysis for dependence on parametric modeling assumptions. We demonstrate the effectiveness of our approach through synthetic experiments and a real-world application, involving the generalization of randomized controlled trial estimates to a target population of interest.

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