AI & ML
Identification of Latent Group Effects under Conditional Calibration
arXiv stat.CO0 views
arXiv:2604.08798v3 Announce Type: replace-cross Abstract: We study identification of a structural group effect when the group indicator $G\in\{0,1\}$ is unobserved but the analyst observes a calibrated probability score $p$ satisfying $E[G\mid p,X]=p$. Under a constant-coefficient structural mean model, the latent-group coefficient $\tau$ is point-identified by a closed-form ratio of observable moments whose denominator is the residual score variance $V^{*}=E[(p-E[p\mid X])^2]$. Identification fails exactly when the score is a deterministic function of $X$; we construct an explicit continuum of observationally equivalent models showing the failure is genuine. The marginal latent mean gap decomposes as $\tau$ plus a compositional term that is itself identified in closed form, and we characterise when the two coincide. The oracle estimator is $\sqrt{n}$-consistent and asymptotically normal with a closed-form sandwich variance. Under calibration error bounded by $\delta$, the bias obeys a sharp bound proportional to $\delta/V^{*}$, and hard-threshold classification attenuates the estimated gap. Monte Carlo experiments confirm the theory, including the variance-weighted estimand under heterogeneous effects.
Source:https://arxiv.org/abs/2604.08798PreviousRobust Twoblock Simultaneous Dimension Reduction and Multivariate RegressionNextManifold Sampling via Entropy Maximization
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