Model-X and doubly robust conditional independence testing

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• Eugene Katsevich (University of Pennsylvania)
• Friday 28 April 2023, 15:30-17:00
• https://maths-cam-ac-uk.zoom.us/j/93998865836?pwd=VzVzN1VFQ0xjS3VDdlY0enBVckY5dz09.

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Model-X approaches to testing conditional independence between a predictor and an outcome variable given a vector of covariates usually assume exact knowledge of the conditional distribution of the predictor given the covariates. Nevertheless, model-X methodologies are often deployed with this conditional distribution learned in sample. We investigate the consequences of this choice through the lens of the distilled conditional randomization test (dCRT). We find that Type-I error control is still possible, but only if the mean of the outcome variable given the covariates is estimated well enough. This demonstrates that the dCRT is doubly robust, and motivates a comparison to the generalized covariance measure (GCM) test, another doubly robust conditional independence test. We prove that these two tests are asymptotically equivalent, and show that the GCM test is in fact optimal against (generalized) partially linear alternatives by leveraging semiparametric efficiency theory. In an extensive simulation study, we compare the dCRT to the GCM test. We find that the GCM test and the dCRT are quite similar in terms of both Type-I error and power, and that post-lasso based test statistics (as compared to lasso based statistics) can dramatically improve Type-I error control for both methods.

This talk is part of the Causal Inference Reading Group series.

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