Double cross-fit doubly robust estimators: Beyond series regression
Abstract Double cross-fit doubly robust (DCDR) estimators, which train nuisance function estimators on separate samples, are effective new estimators for causal functionals. We establish several novel theoretical results for them, building on recent work. We provide a structure-agnostic error analysis, which holds with generic nuisance functions and estimators. Then, we propose n-consistent DCDR estimators with undersmoothed local polynomial regression and k-Nearest…