Double/debiased machine learning for treatment and structural parameters
We revisit the classic semi‐parametric problem of inference on a low‐dimensional parameter θ0 in the presence of high‐dimensional nuisance parameters η0. We depart from the classical setting by allowing for η0 to be so high‐dimensional that the traditional assumptions (e.g. Donsker properties) that limit complexity of the parameter space for this object break down. To estimate η0, we consider the use of statistical or machine learning (ML) methods, which are particularly…