论文标题
高维DML的有限样本保证
Finite-Sample Guarantees for High-Dimensional DML
论文作者
论文摘要
DECIASED机器学习(DML)提供了一种有吸引力的方法来估计观察环境中的治疗效果,在该环境中,因果参数的识别需要有条件的独立性或不满意的假设,因为它可以灵活地控制大量的协变量。本文提供了新颖的有限样本保证,可保证高维DML的关节推断,从而界定了估计量的有限样本分布与其渐近高斯近似值有多远。这些保证对应用研究人员很有用,因为它们可以提供与名义级别的联合置信度范围覆盖范围的距离。在许多情况下,高维因果参数可能引起人们的关注,例如许多治疗概况的吃量,或者在许多结果上进行治疗的食品。我们还涵盖了无限维度参数,例如对潜在结果的整个边际分布的影响。本文中的有限样本保证补充了DML估计量的一致性和渐近正态性的现有结果,DML估计量是渐近的,或仅处理一维情况。
Debiased machine learning (DML) offers an attractive way to estimate treatment effects in observational settings, where identification of causal parameters requires a conditional independence or unconfoundedness assumption, since it allows to control flexibly for a potentially very large number of covariates. This paper gives novel finite-sample guarantees for joint inference on high-dimensional DML, bounding how far the finite-sample distribution of the estimator is from its asymptotic Gaussian approximation. These guarantees are useful to applied researchers, as they are informative about how far off the coverage of joint confidence bands can be from the nominal level. There are many settings where high-dimensional causal parameters may be of interest, such as the ATE of many treatment profiles, or the ATE of a treatment on many outcomes. We also cover infinite-dimensional parameters, such as impacts on the entire marginal distribution of potential outcomes. The finite-sample guarantees in this paper complement the existing results on consistency and asymptotic normality of DML estimators, which are either asymptotic or treat only the one-dimensional case.