Optimal Nuisance Function Tuning for Estimating a Doubly Robust Functional under Proportional Asymptotics
比例渐近下双重稳健泛函估计的最优干扰函数调参
In this paper, we explore the asymptotically optimal tuning parameter choice in ridge regression for estimating nuisance functions of a statistical functional that has recently gained prominence in conditional independence testing and causal inference. Given a sample of size $n$, we study estimators of the Expected Conditional Covariance (ECC) between variables $Y$ and $A$ given a high-dimensional covariate $X \in \mathbb{R}^p$. Under linear regression models for $Y$ and $A$…