A Law of Iterated Expectation Primer for Causal Inference
因果推断中的迭代期望定律入门
Ashley I. Naimi, Razieh Nabi, Lindsay J. Collin, Paul N. Zivich, Stephen R. Cole
AI总结 本文介绍迭代期望定律及其在因果效应识别中的应用,通过g公式的两种非参数等价形式(NICE和ICE)和三个数值示例阐明其数学直觉。
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g公式是识别观察数据中因果效应的基础工具,它基于迭代期望定律——统计学中的一个关键数学恒等式。然而,表达迭代期望定律和g公式的符号对于统计背景不足的人来说可能难以理解。我们提供了一篇入门文章,介绍迭代期望定律、用于表达它的积分符号,以及它通过g公式在因果效应识别中的作用。在因果一致性、正性和条件可交换性假设下,迭代期望定律可以重写为因果标准化公式(g公式),有两种非参数等价形式:非迭代条件期望(NICE)形式,涉及条件结果均值的单一加权平均;以及迭代条件期望(ICE)形式,涉及嵌套期望。我们通过三个逐步复杂的数值示例说明这两种形式:一个时间固定示例,包含单个二元混杂因子;一个时间固定示例,包含离散和连续混杂因子;以及一个时间变化示例,包含两个时间点。我们阐明了迭代期望定律是什么,它与g公式的关系,以及如何在实际数据示例中理解其数学公式的直觉,这些示例可以推广到各种场景。
The g-formula is a foundational tool for identifying causal effects in observational data. This tool is based on the law of iterated expectation, a key mathematical identity in statistics. However, the notation with which the law of iterated expectation and the g-formula is expressed can be opaque to those with little background in statistics. We provide a primer introducing the law of iterated expectation, the integration notation used to express it, and its role for causal effect identification via the g-formula. Under the assumptions of causal consistency, positivity, and conditional exchangeability, the law of iterated expectation can be rewritten as a causal standardization formula (the g-formula) in two nonparametrically equivalent forms: a non-iterative conditional expectation (NICE) form involving a single weighted average of conditional outcome means, and an iterative conditional expectation (ICE) form involving nested expectations. We illustrate both forms using three progressively complex numerical examples: a time-fixed example with a single binary confounder, a time-fixed example with discrete and continuous confounders, and a time-varying example with two timepoints. We provide clarity on what the law of iterated expectation is, how it is related to the g-formula, and how to gain intuition of its mathematical formulations in actual data examples that can be generalized to a range of settings.