Causal Inference and Propensity Score Methods

In the field of machine learning and particularly in supervised learning, correlation is crucial to predict the target variable with the help of the feature variables. Rarely do we think about causation and the actual effect of a single feature variable or covariate on the target or response. Some even go so far as to say that „correlation trumps causation“ like in the book „Big Data: A Revolution That Will Transform How We Live, Work, and Think“ by Viktor Mayer-Schönberger and Kenneth Cukier. Following their reasoning, with Big Data there is no need to think about causation anymore, since nonparametric models will do just fine using correlation alone. For many practical use cases, this point of view may seem acceptable — but surely not for all.