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arXiv 2309.08043cs.LGstat.ME
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关于 Heckman 选择模型中的预测特征分配

On Prediction Feature Assignment in the Heckman Selection Model

University of Arkansas(阿肯色大学)

Huy Mai, Xintao Wu

AI总结:

针对 Heckman 选择模型中预测特征选择困难的问题,提出数据驱动框架 Heckman-FA,通过训练分配函数并基于拟合优度与噪声相关性提取特征,有效提升了模型在非随机缺失样本偏差下的稳健性。

摘要:

在非随机缺失(MNAR)样本选择偏差下,预测模型的性能通常会下降。本文关注 MNAR 样本选择偏差的一个经典实例,即部分样本的结果非随机缺失。Heckman selection model 及其变体通常被用于处理此类样本选择偏差。Heckman 模型使用两个独立的方程分别对样本的预测和选择进行建模,其中选择特征包含所有预测特征。在使用 Heckman 模型时,预测特征必须从选择特征集合中恰当选取。然而,为 Heckman 模型选择恰当的预测特征是一项具有挑战性的任务,尤其是在选择特征数量较多时。使用 Heckman 模型的现有方法通常提供人工选择的预测特征集。在本文中,我们提出了 Heckman-FA,这是一个用于为 Heckman 模型获取预测特征的新型数据驱动框架。Heckman-FA 首先训练一个分配函数,以决定是否将某个选择特征分配为预测特征。利用训练好的函数参数,该框架基于在给定所选预测特征下预测模型的拟合优度,以及预测方程与选择方程噪声项之间的相关性,提取出合适的预测特征集。在真实世界数据集上的实验结果表明,Heckman-FA 在 MNAR 样本选择偏差下能够生成稳健的回归模型。

英文摘要:

Under missing-not-at-random (MNAR) sample selection bias, the performance of a prediction model is often degraded. This paper focuses on one classic instance of MNAR sample selection bias where a subset of samples have non-randomly missing outcomes. The Heckman selection model and its variants have commonly been used to handle this type of sample selection bias. The Heckman model uses two separate equations to model the prediction and selection of samples, where the selection features include all prediction features. When using the Heckman model, the prediction features must be properly chosen from the set of selection features. However, choosing the proper prediction features is a challenging task for the Heckman model. This is especially the case when the number of selection features is large. Existing approaches that use the Heckman model often provide a manually chosen set of prediction features. In this paper, we propose Heckman-FA as a novel data-driven framework for obtaining prediction features for the Heckman model. Heckman-FA first trains an assignment function that determines whether or not a selection feature is assigned as a prediction feature. Using the parameters of the trained function, the framework extracts a suitable set of prediction features based on the goodness-of-fit of the prediction model given the chosen prediction features and the correlation between noise terms of the prediction and selection equations. Experimental results on real-world datasets show that Heckman-FA produces a robust regression model under MNAR sample selection bias.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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