Cross-Fitting and Fast Remainder Rates for Semiparametric Estimation
半参数估计中的交叉拟合与快速余项收敛率
There are many interesting and widely used estimators of a functional with finite semiparametric variance bound that depend on nonparametric estimators of nuisance functions. We use cross-fitting (i.e. sample splitting) to construct novel estimators with fast remainder rates. We give cross-fit doubly robust estimators that use separate subsamples to estimate different nuisance functions. We obtain general, precise results for regression spline estimation of average linear…