Estimation of causal effects using linear non-Gaussian causal models with hidden variables

Abstract

The task of estimating causal effects from non-experimental data is notoriously difficult and unreliable. Nevertheless, precisely such estimates are commonly required in many fields including economics and social science, where controlled experiments are often impossible. Linear causal models (structural equation models), combined with an implicit normality (Gaussianity) assumption on the data, provide a widely used framework for this task. We have recently described how non-Gaussianity in the data can be exploited for estimating causal effects. In this paper we show that, with non-Gaussian data, causal inference is possible even in the presence of hidden variables (unobserved confounders), even when the existence of such variables is unknown a priori. Thus, we provide a comprehensive and complete framework for the estimation of causal effects between the observed variables in the linear, non-Gaussian domain. Numerical simulations demonstrate the practical implementation of the proposed method, with full Matlab code available for all simulations.