Papers › Model-Powered Conditional Independence Test
Model-Powered Conditional Independence Test
Rajat Sen, Ananda Theertha Suresh, Karthikeyan Shanmugam, Alexandros G. Dimakis, Sanjay Shakkottai
We consider the problem of non-parametric Conditional Independence testing (CI testing) for continuous random variables. Given i.i.d samples from the joint distribution f(x,y,z) of continuous random vectors X,Y and Z, we determine whether X ⊥Y | Z. We approach this by converting the conditional independence test into a classification problem. This allows us to harness very powerful classifiers like gradient-boosted trees and deep neural networks. These models can handle complex probability distributions and allow us to perform significantly better compared to the prior state of the art, for high-dimensional CI testing. The main technical challenge in the classification problem is the need for samples from the conditional product distribution f^(CI)(x,y,z) = f(x|z)f(y|z)f(z) -- the joint distribution if and only if X ⊥Y | Z. -- when given access only to i.i.d. samples from the true joint distribution f(x,y,z). To tackle this problem we propose a novel nearest neighbor bootstrap procedure and theoretically show that our generated samples are indeed close to f^(CI) in terms of total variational distance. We then develop theoretical results regarding the generalization bounds for classification for our problem, which translate into error bounds for CI testing. We provide a novel analysis of Rademacher type classification bounds in the presence of non-i.i.d near-independent samples. We empirically validate the performance of our algorithm on simulated and real datasets and show performance gains over previous methods.
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