DeepMed: Semiparametric Causal Mediation Analysis with Debiased Deep Learning

Throughout this paper, we denote $Y$ as the primary outcome of interest, $D$ as a binary treatment variable, $M$ as the mediator on the causal pathway from $D$ to $Y$, and $X\in[0,1]^{p}$ (or more generally, compactly supported in $\mathbb{R}^{p}$) as baseline covariates including all potential confounders. We denote the observed data vector as $O\equiv(X,D,M,Y)$. Let $M(d)$ denote the potential outcome for the mediator when setting $D=d$ and $Y(d,m)$ be the potential outcome of $Y$ under $D=d$ and $M=m$, where $d\in\{0,1\}$ and $m$ is in the support $\mathcal{M}$ of $M$. We define the average total (treatment) effect as $\tau_{tot}\coloneqq\mathsf{E}[Y(1,M(1))-Y(0,M(0))]$, the average NDE of the treatment $D$ on the outcome $Y$ when the mediator takes the natural potential outcome when $D=d$ as $\tau_{\mathsf{NDE}}(d)\coloneqq\mathsf{E}[Y(1,M(d))-Y(0,M(d))]$, and the average NIE of the treatment $D$ on the outcome $Y$ via the mediator $M$ as $\tau_{\mathsf{NIE}}(d)\coloneqq\mathsf{E}[Y(d,M(1))-Y(d,M(0))]$. We have the trivial decomposition $\tau_{tot}\equiv\tau_{\mathsf{NDE}}(d)+\tau_{\mathsf{NIE}}(d^{\prime})$ for $d\neq d^{\prime}$. In causal mediation analysis, the parameters of interest are $\tau_{\mathsf{NDE}}(d)$ and $\tau_{\mathsf{NIE}}(d)$.

Estimating $\tau_{\mathsf{NDE}}(d)$ and $\tau_{\mathsf{NIE}}(d)$ can be reduced to estimating $\phi(d,d^{\prime})\coloneqq\mathsf{E}[Y(d,M(d^{\prime}))]$ for $d,d^{\prime}\in\{0,1\}$. We make the following standard identification assumptions:

• i.

  Consistency: if $D=d$, then $M=M(d)$ for all $d\in\{0,1\}$; while if $D=d$ and $M=m$, then $Y=Y(d,m)$ for all $d\in\{0,1\}$ and all $m$ in the support of $M$.

• ii.

  Ignorability: $Y(d,m)\perp D|X$, $Y(d,m)\perp M|X,D$, $M(d)\perp D|X$, and $Y(d,m)\perp M(d^{\prime})|X$, almost surely for all $d,\in\{0,1\}$ and all $m\in\mathcal{M}$. The first three conditions are, respectively, no unmeasured treatment-outcome, mediator-outcome and treatment-mediator confounding, whereas the fourth condition is often referred to as the “cross-world” condition. We provide more detailed comments on these four conditions in Appendix LABEL:app:ignore.

• iii.

  Positivity: The propensity score $a(d|X)\equiv\mathsf{Pr}(D=d|X)\in(c,C)$ for some constants $0<c\leq C<1$, almost surely for all $d\in\{0,1\}$; $f(m|X,d)$, the conditional density (mass) function of $M=m$ (when $M$ is discrete) given $X$ and $D=d$, is strictly bounded between $[\underaccent{\bar}{\rho},\bar{\rho}]$ for some constants $0<\underaccent{\bar}{\rho}\leq\bar{\rho}<\infty$ almost surely for all $m$ in $\mathcal{M}$ and all $d\in\{0,1\}$.

Under the above assumptions, the causal parameter $\phi(d,d^{\prime})$ for $d,d^{\prime}\in\{0,1\}$ can be identified as either of the following three observed-data functionals:

where $\mathbbm{1}\{\cdot\}$ denotes the indicator function, $p(x)$ denotes the marginal density of $X$, and $\mu(x,d,m)\coloneqq\mathsf{E}[Y|X=x,D=d,M=m]$ is the outcome regression model, for which we also make the following standard boundedness assumption:

• iv.

  $\mu(x,d,m)$ is also strictly bounded between $[-R,R]$ for some constant $R>0$.

Following the convention in the semiparametric causal inference literature, we call $a,f,\mu$ “nuisance functions”. tchetgen2012semiparametric derived the EIF of $\phi(d,d^{\prime})$: $\mathsf{EIF}_{d,d^{\prime}}\equiv\psi_{d,d^{\prime}}(O)-\phi(d,d^{\prime})$, where

The nuisance functions $\mu(x,d,m)$, $a(d|x)$ and $f(m|x,d)$ appeared in $\psi_{d,d^{\prime}}(o)$ are unknown and generally high-dimensional. But with a sample $\mathcal{D}\equiv\{O_{j}\}_{j=1}^{N}$ of the observed data, based on $\psi_{d,d^{\prime}}(o)$, one can construct the following generic sample-splitting multiply-robust estimator of $\phi(d,d^{\prime})$:

where $\mathcal{D}_{n}\equiv\{O_{i}\}_{i=1}^{n}$ is a subset of all $N$ data, and $\widetilde{\psi}_{d,d^{\prime}}(o)$ replaces the unknown nuisance functions $a,f,\mu$ in $\psi_{d,d^{\prime}}(o)$ by some generic estimators $\widetilde{a},\widetilde{f},\widetilde{\mu}$ computed using the remaining $N-n$ nuisance sample data, denoted as $\mathcal{D}_{\nu}$. Cross-fit is then needed to recover the information lost due to sample splitting; see Algorithm 3.1. It is clear from (2) that $\widetilde{\phi}(d,d^{\prime})$ is a consistent estimator of $\phi(d,d^{\prime})$ as long as any two of $\widetilde{a},\widetilde{f},\widetilde{\mu}$ are consistent estimators of the corresponding true nuisance functions, hence the name “multiply-robust”. Throughout this paper, we take $n\asymp N-n$ and assume:

• v.

  Any nuisance function estimators are strictly bounded within the respective lower and upper bounds of $a,f,\mu$.

To further ease notation, we define: for any $d\in\{0,1\}$, $r_{a,d}\coloneqq\left\{\int\delta_{a,d}(x)^{2}\mathrm{d}F(x)\right\}^{1/2},r_{f,d}\coloneqq\left\{\int\delta_{f,d}(x,m)^{2}\mathrm{d}F(x,m|d=0)\right\}^{1/2},$ and $r_{\mu,d}\coloneqq\left\{\int\delta_{\mu,d}(x,m)^{2}\mathrm{d}F(x,m|d=0)\right\}^{1/2},$ where $\delta_{a,d}(x)\coloneqq\widetilde{a}(d|x)-a(d|x)$, $\delta_{f,d}(x,m)\coloneqq\widetilde{f}(m|x,d)-f(m|x,d)$ and $\delta_{\mu,d}(x,m)\coloneqq\widetilde{\mu}(x,d,m)-\mu(x,d,m)$ are point-wise estimation errors of the estimated nuisance functions. In defining the above $L_{2}$-estimation errors, we choose to take expectation with respect to (w.r.t.) the law $F(m,x|d=0)$ only for convenience, with no loss of generality by Assumptions iii and v.

To show the cross-fit version of $\widetilde{\phi}(d,d^{\prime})$ is semiparametric efficient for $\phi(d,d^{\prime})$, we shall demonstrate under what conditions $\sqrt{n}(\widetilde{\phi}(d,d^{\prime})-\phi(d,d^{\prime}))\overset{\mathcal{L}}{\rightarrow}\mathcal{N}(0,\mathsf{E}[\mathsf{EIF}_{d,d^{\prime}}^{2}])$ (newey1990semiparametric). The following proposition on the statistical properties of $\widetilde{\phi}(d,d^{\prime})$ is a key step towards this objective.

Although the above result is a direct consequence of the EIF $\psi_{d,d^{\prime}}(O)$, we prove Proposition 1 in Appendix LABEL:app:bias for completeness.

First, we introduce the fully-connected feed-forward neural network with the rectified linear units (ReLU) as the activation function for the hidden layer neurons (FNN-ReLU), which will be used to estimate the nuisance functions. Then, we will introduce an estimation procedure using a $V$-fold cross-fitting with sample-splitting to avoid the Donsker-type empirical-process assumption on the nuisance functions, which, in general, is violated in high-dimensional setup. Finally, we provide the asymptotic statistical properties of the DNN-based estimators of $\tau_{tot}$, $\tau_{\mathsf{NDE}}(d)$ and $\tau_{\mathsf{NIE}}(d)$.

We denote the ReLU activation function as $\sigma(u)\coloneqq\max(u,0)$ for any $u\in\mathbb{R}$. Given vectors $x,b$, we denote $\sigma_{b}(x)\coloneqq\sigma(x-b)$, with $\sigma$ acting on the vector $x-b$ component-wise.

Let $\mathcal{F}_{\mathrm{nn}}$ denote the class of the FNN-ReLU functions

where $\circ$ is the composition operator, $L$ is the number of layers (i.e. depth) of the network, and for $l=1,\cdots,L$, $W^{(l)}$ is a $K_{l+1}\times K_{l}$-dimensional weight matrix with $K_{l}$ being the number of neurons in the $l$-th layer (i.e. width) of the network, with $K_{1}=p$ and $K_{L+1}=1$, and $b^{(l)}$ is a $K_{l}$-dimensional vector. To avoid notation clutter, we concatenate all the network parameters as $\Theta=(W^{(l)},b^{(l)},l=1,\cdots,L)$ and simply take $K_{2}=\cdots=K_{L}=K$. We also assume $\Theta$ to be bounded: $\|\Theta\|_{\infty}\leq B$ for some universal constant $B>0$. We may let the dependence on $L$, $K$, $B$ explicit by writing $\mathcal{F}_{nn}$ as $\mathcal{F}_{\mathrm{nn}}(L,K,B)$.

$\mathsf{DeepMed}$ estimates $\tau_{tot},\tau_{\mathsf{NDE}}(d),\tau_{\mathsf{NIE}}(d)$ by (3), with the nuisance functions $a,f,\mu$ estimated using $\mathcal{F}_{nn}$ with the $V$-fold cross-fitting strategy, summarized in Algorithm 3.1 below; also see farbmacher2022causal. $\mathsf{DeepMed}$ inputs the observed data $\mathcal{D}\equiv\{O_{i}\}_{i=1}^{N}$ and outputs the estimated total effect $\widehat{\tau}_{tot}$, NDE $\widehat{\tau}_{\mathsf{NDE}}(d)$ and NIE $\widehat{\tau}_{\mathsf{NIE}}(d)$, together with their variance estimators $\widehat{\sigma}_{tot}^{2}$, $\widehat{\sigma}^{2}_{\mathsf{NDE}}(d)$ and $\widehat{\sigma}^{2}_{\mathsf{NIE}}(d)$.