Instrumental Processes Using Integrated Covariances
(2023) 2nd Conference on Causal Learning and Reasoning, CLeaR 2023 In Proceedings of Machine Learning Research 213. p.620-641- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/61b458cc-8e60-4f91-b928-9f57631fab67
- author
- Mogensen, Søren Wengel LU
- organization
- publishing date
- 2023
- type
- Chapter in Book/Report/Conference proceeding
- publication status
- published
- subject
- keywords
- causal inference, instrumental variables, linear Hawkes processes, point processes, recurrent events, time series, VAR(p)
- host publication
- Proceedings of Machine Learning Research
- series title
- Proceedings of Machine Learning Research
- volume
- 213
- pages
- 22 pages
- conference name
- 2nd Conference on Causal Learning and Reasoning, CLeaR 2023
- conference location
- Tubingen, Germany
- conference dates
- 2023-04-11 - 2023-04-14
- external identifiers
-
- scopus:85172860416
- language
- English
- LU publication?
- yes
- id
- 61b458cc-8e60-4f91-b928-9f57631fab67
- date added to LUP
- 2023-12-20 14:49:06
- date last changed
- 2023-12-20 14:49:06
@inproceedings{61b458cc-8e60-4f91-b928-9f57631fab67, abstract = {{<p>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.</p>}}, author = {{Mogensen, Søren Wengel}}, booktitle = {{Proceedings of Machine Learning Research}}, keywords = {{causal inference; instrumental variables; linear Hawkes processes; point processes; recurrent events; time series; VAR(p)}}, language = {{eng}}, pages = {{620--641}}, series = {{Proceedings of Machine Learning Research}}, title = {{Instrumental Processes Using Integrated Covariances}}, volume = {{213}}, year = {{2023}}, }