Statistics/Finance Seminar with Vanessa Didelez
The Department of Finance and Center for Statistics are proud to announce the upcoming seminar with Vanessa Didelez, Leibniz Institute for Prevention Research and Epidemiology - BIPS.
Solbjerg Plads 3
2000 Frederiksberg
Room SPs03
Please join us for a Statistics/Finance Seminar with Vanessa Didelez, Leibniz Institute for Prevention Research and Epidemiology - BIPS.
Vanessa Didelez will present: Parameterizing and simulating from causal models
Abstract: Many statistical problems in causal inference involve a probability distribution other than the one from which data are actually observed; as an additional complication, the object of interest is often a marginal quantity of this other probability distribution. This creates practical complications for statistical inference, even where the problem is non-parametrically identified. In particular, it is difficult to perform likelihood-based inference, or even to simulate from the model in a general way. We introduce the ‘frugal parameterization’, which places the causal effect of interest at its centre, and then builds the rest of the model around it. We do this in a way that provides a recipe for constructing a regular, non-redundant parameterization using causal quantities of interest. In the case of discrete variables, we can use odds ratios to complete the parameterization, while in the continuous case copulas are the natural choice; other possibilities are also discussed. Our methods allow us to construct and simulate from models with parametrically specified causal distributions, and fit them using likelihood-based methods, including fully Bayesian approaches. Our proposal includes parameterizations for the average causal effect and effect of treatment on the treated, as well as other causal quantities of interest.
