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Empirical Gateaux Derivatives for Causal Inference Michael I. Jordan

Neural Information Processing Systems

We study a constructive algorithm that approximates Gateaux derivatives for statistical functionals by finite differencing, with a focus on functionals that arise in causal inference. We study the setting where probability distributions are not known a priori but need to be estimated from data. These estimated distributions lead to empirical Gateaux derivatives, and we study the relationships between empirical, numerical, and analytical Gateaux derivatives.