Dynamic and heterogeneous treatment effects with abrupt changes

Abstract: From personalised medicine to targeted advertising, it is an inherent task to provide a sequence of decisions with historical covariates and outcome data. This requires understanding of both the dynamics and heterogeneity of treatment effects. In this paper, we are concerned with detecting abrupt changes in the treatment effects in terms of the conditional average treatment effect (CATE) in a sequential fashion. To be more specific, at each time point, we consider a nonparametric model to allow for maximal flexibility and robustness. Along the time, we allow for temporal dependence on historical covariates and noise functions. We provide a kernel-based change point estimator, which is shown to be consistent in terms of its detection delay, under an average run length control. Numerical results are provided to support our theoretical findings.