A Python Library For Empirical Calibration

27 Jun 2019  ·  Xiaojing Wang, Jingang Miao, Yunting Sun ·

Dealing with biased data samples is a common task across many statistical fields. In survey sampling, bias often occurs due to the unrepresentative samples. In causal studies with observational data, the treated vs untreated group assignment is often correlated with covariates, i.e., not random. Empirical calibration is a generic weighting method that presents a unified view on correcting or reducing the data biases for the tasks mentioned above. We provide a Python library EC to compute the empirical calibration weights. The problem is formulated as a convex optimization and solved efficiently in the dual form. Compared to existing software, EC is both more efficient and robust. EC also accommodates different optimization objectives, supports weight clipping, and allows inexact calibration which improves the usability. We demonstrate its usage across various experiments with both simulated and real-world data.

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