
Regression on observational data can fail to capture a causal relationship in the presence of unobserved confounding. Confounding strength measures this mismatch, but estimating it requires itself additional assumptions. A common assumption is the independence of causal mechanisms, which relies on concentration phenomena in high dimensions. While high dimensions enable the estimation of confounding strength, they also necessitate adapted estimators. In this paper, we derive the asymptotic behavior of the confounding strength estimator by Janzing and Schölkopf (2018) and show that it is generally not consistent. We then use tools from random matrix theory to derive an adapted, consistent estimator.
FOS: Computer and information sciences, Computer Science - Machine Learning, Linear inference, regression, Statistics - Machine Learning, observational data, Machine Learning (stat.ML), random matrix theory, high-dimensional linear regression, Causal inference from observational studies, confounding, Machine Learning (cs.LG)
FOS: Computer and information sciences, Computer Science - Machine Learning, Linear inference, regression, Statistics - Machine Learning, observational data, Machine Learning (stat.ML), random matrix theory, high-dimensional linear regression, Causal inference from observational studies, confounding, Machine Learning (cs.LG)
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