Causal Feature Selection via Orthogonal Search
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The problem of inferring the direct causal parents of a response variable among a large set of explanatory variables is of high practical importance in many disciplines. Recent work in the field of causal discovery exploits invariance properties of models across different experimental conditions for detecting direct causal links. However, these approaches generally do not scale well with the number of explanatory variables, are difficult to extend to nonlinear relationships, and require data across different experiments. Inspired by Debiased machine learning methods, we study a one-vs.-the-rest feature selection approach to discover the direct causal parent of the response. We propose an algorithm that works for purely observational data, while also offering theoretical guarantees, including the case of partially nonlinear relationships. Requiring only one estimation for each variable, we can apply our approach even to large graphs, demonstrating significant improvements compared to established approaches.
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