Cross-World Assumption and Refining Prediction Intervals for Individual Treatment Effects
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| Format: | Preprint |
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2025
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| _version_ | 1866914428190982144 |
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| author | Bodik, Juraj Huang, Yaxuan Yu, Bin |
| author_facet | Bodik, Juraj Huang, Yaxuan Yu, Bin |
| contents | While average treatment effects (ATE) and conditional average treatment effects (CATE) provide valuable population- and subgroup-level summaries, they fail to capture uncertainty at the individual level. For high-stakes decision-making, individual treatment effect (ITE) estimates must be accompanied by valid prediction intervals that reflect heterogeneity and unit-specific uncertainty. However, the fundamental unidentifiability of ITEs limits the ability to derive precise and reliable individual-level uncertainty estimates. To address this challenge, we investigate the role of a cross-world correlation parameter, $ ρ(x) = cor(Y(1), Y(0) | X = x) $, which describes the dependence between potential outcomes, given covariates, in the Neyman-Rubin super-population model with i.i.d. units. Although $ ρ$ is fundamentally unidentifiable, we argue that in most real-world applications, it is possible to impose reasonable and interpretable bounds informed by domain-expert knowledge. Given $ρ$, we design prediction intervals for ITE, achieving more stable and accurate coverage with substantially shorter widths; often less than 1/3 of those from competing methods. The resulting intervals satisfy coverage guarantees $P\big(Y(1) - Y(0) \in C_{ITE}(X)\big) \geq 1 - α$ and are asymptotically optimal under Gaussian assumptions. We provide strong theoretical and empirical arguments that cross-world assumptions can make individual uncertainty quantification both practically informative and statistically valid. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2507_12581 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Cross-World Assumption and Refining Prediction Intervals for Individual Treatment Effects Bodik, Juraj Huang, Yaxuan Yu, Bin Methodology Statistics Theory Machine Learning 62A01 G.3 While average treatment effects (ATE) and conditional average treatment effects (CATE) provide valuable population- and subgroup-level summaries, they fail to capture uncertainty at the individual level. For high-stakes decision-making, individual treatment effect (ITE) estimates must be accompanied by valid prediction intervals that reflect heterogeneity and unit-specific uncertainty. However, the fundamental unidentifiability of ITEs limits the ability to derive precise and reliable individual-level uncertainty estimates. To address this challenge, we investigate the role of a cross-world correlation parameter, $ ρ(x) = cor(Y(1), Y(0) | X = x) $, which describes the dependence between potential outcomes, given covariates, in the Neyman-Rubin super-population model with i.i.d. units. Although $ ρ$ is fundamentally unidentifiable, we argue that in most real-world applications, it is possible to impose reasonable and interpretable bounds informed by domain-expert knowledge. Given $ρ$, we design prediction intervals for ITE, achieving more stable and accurate coverage with substantially shorter widths; often less than 1/3 of those from competing methods. The resulting intervals satisfy coverage guarantees $P\big(Y(1) - Y(0) \in C_{ITE}(X)\big) \geq 1 - α$ and are asymptotically optimal under Gaussian assumptions. We provide strong theoretical and empirical arguments that cross-world assumptions can make individual uncertainty quantification both practically informative and statistically valid. |
| title | Cross-World Assumption and Refining Prediction Intervals for Individual Treatment Effects |
| topic | Methodology Statistics Theory Machine Learning 62A01 G.3 |
| url | https://arxiv.org/abs/2507.12581 |