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Instrumental Processes Using Integrated Covariances

Mogensen, Søren Wengel LU (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.

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author
organization
publishing date
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}},
}