Doubly Robust Counterfactual Classification

01/15/2023

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by   Kwangho Kim, et al.

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We study counterfactual classification as a new tool for decision-making under hypothetical (contrary to fact) scenarios. We propose a doubly-robust nonparametric estimator for a general counterfactual classifier, where we can incorporate flexible constraints by casting the classification problem as a nonlinear mathematical program involving counterfactuals. We go on to analyze the rates of convergence of the estimator and provide a closed-form expression for its asymptotic distribution. Our analysis shows that the proposed estimator is robust against nuisance model misspecification, and can attain fast √(n) rates with tractable inference even when using nonparametric machine learning approaches. We study the empirical performance of our methods by simulation and apply them for recidivism risk prediction.