Corpus ID: 222377808

Maximum Moment Restriction for Instrumental Variable Regression

@article{Zhang2020MaximumMR,
  title={Maximum Moment Restriction for Instrumental Variable Regression},
  author={Rui Zhang and Masaaki Imaizumi and Bernhard Scholkopf and Krikamol Muandet},
  journal={ArXiv},
  year={2020},
  volume={abs/2010.07684}
}
We propose a simple framework for nonlinear instrumental variable (IV) regression based on a kernelized conditional moment restriction (CMR) known as a maximum moment restriction (MMR). The MMR is formulated by maximizing the interaction between the residual and functions of IVs that belong to a unit ball of reproducing kernel Hilbert space (RKHS). This allows us to tackle the IV regression as an empirical risk minimization where the risk depends on the reproducing kernel on the instrument and… Expand

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