A decorrelation method for general regression adjustment in randomized experiments
Fangzhou SuWenlong MouPeng DingMartin J. Wainwright
Fangzhou SuWenlong MouPeng DingMartin J. Wainwright
Nov 2023
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摘要原文
We study regression adjustment with general function class approximations for estimating the average treatment effect in the design-based setting. Standard regression adjustment involves bias due to sample re-use, and this bias leads to behavior that is sub-optimal in the sample size, and/or imposes restrictive assumptions. Our main contribution is to introduce a novel decorrelation-based approach that circumvents these issues. We prove guarantees, both asymptotic and non-asymptotic, relative to the oracle functions that are targeted by a given regression adjustment procedure. We illustrate our method by applying it to various high-dimensional and non-parametric problems, exhibiting improved sample complexity and weakened assumptions relative to known approaches.
