Learning L2 Continuous Regression Functionals via Regularized Riesz Representers

09/14/2018

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by   Victor Chernozhukov, et al.

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Many objects of interest can be expressed as an L2 continuous functional of a regression, including average treatment effects, economic average consumer surplus, expected conditional covariances, and discrete choice parameters that depend on expectations. Debiased machine learning (DML) of these objects requires a learning a Riesz representer (RR). We provide here Lasso and Dantzig learners of the RR and corresponding learners of affine and other nonlinear functionals. We give an asymptotic variance estimator for DML. We allow for a wide variety of regression learners that can converge at relatively slow rates. We give conditions for root-n consistency and asymptotic normality of the functional learner. We give results for non affine functionals in addition to affine functionals.