Debiased Machine Learning without Sample-Splitting for Stable EstimatorsDownload PDF

Published: 31 Oct 2022, Last Modified: 15 Jan 2023NeurIPS 2022 AcceptReaders: Everyone
Keywords: Double Machine Learning, Stability, Causal Inference, Treatment Effects, Debiased Machine Learning
TL;DR: We prove asymptotic normality for a target parameter of interest, of debiased machine learning semi-parametric estimators without sample splitting, when the machine learning estimators used for the nuisance functions are leave-one-out stable.
Abstract: Estimation and inference on causal parameters is typically reduced to a generalized method of moments problem, which involves auxiliary functions that correspond to solutions to a regression or classification problem. Recent line of work on debiased machine learning shows how one can use generic machine learning estimators for these auxiliary problems, while maintaining asymptotic normality and root-$n$ consistency of the target parameter of interest, while only requiring mean-squared-error guarantees from the auxiliary estimation algorithms. The literature typically requires that these auxiliary problems are fitted on a separate sample or in a cross-fitting manner. We show that when these auxiliary estimation algorithms satisfy natural leave-one-out stability properties, then sample splitting is not required. This allows for sample re-use, which can be beneficial in moderately sized sample regimes. For instance, we show that the stability properties that we propose are satisfied for ensemble bagged estimators, built via sub-sampling without replacement, a popular technique in machine learning practice.
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