De-Biased Machine Learning of Global and Local Parameters Using Regularized Riesz Representers

DOI10.1093/ECTJ/UTAC002MaRDI QIDQ6298171arXivFDO

Authors Victor Chernozhukov, Whitney Newey, Rahul Singh

Publication date 23 February 2018

Published in arXiv

Full work available at URL https://doi.org/10.1093/ECTJ/UTAC002

Mathematics Subject Classification ID

Statistics (62-XX)

arXiv classification

econ.EMmath.STstat.MLstat.TH

Abstract: We provide adaptive inference methods, based on $el{l}_1$ regularization, for regular (semi-parametric) and non-regular (nonparametric) linear functionals of the conditional expectation function. Examples of regular functionals include average treatment effects, policy effects, and derivatives. Examples of non-regular functionals include average treatment effects, policy effects, and derivatives conditional on a covariate subvector fixed at a point. We construct a Neyman orthogonal equation for the target parameter that is approximately invariant to small perturbations of the nuisance parameters. To achieve this property, we include the Riesz representer for the functional as an additional nuisance parameter. Our analysis yields weak ``double sparsity robustness: either the approximation to the regression or the approximation to the representer can be ``completely dense as long as the other is sufficiently ``sparse. Our main results are non-asymptotic and imply asymptotic uniform validity over large classes of models, translating into honest confidence bands for both global and local parameters.

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