Bounding the family-wise error rate in local causal discovery using Rademacher averages

Abstract

AbstractMany algorithms have been proposed to learn local graphical structures around target variables of interest from observational data, focusing on two sets of variables. The first one, called Parent–Children (PC) set, contains all the variables that are direct causes or consequences of the target while the second one, known as Markov boundary (MB), is the minimal set of variables with optimal prediction performances of the target. In this paper we introduce two novel algorithms for the PC and MB discovery tasks with rigorous guarantees on the Family-Wise Error Rate (FWER), that is, the probability of reporting any false positive in output. Our algorithms use Rademacher averages, a key concept from statistical learning theory, to properly account for the multiple-hypothesis testing problem arising in such tasks. Our evaluation on simulated data shows that our algorithms properly control for the FWER, while widely used algorithms do not provide guarantees on false discoveries even when correcting for multiple-hypothesis testing. Our experiments also show that our algorithms identify meaningful relations in real-world data.