Fast Instrument Learning with Faster Rates

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Tác giả: Ziyu Wang, Yuhao Zhou, Jun Zhu

Ngôn ngữ: eng

Ký hiệu phân loại: 155.4131 Child psychology

Thông tin xuất bản: 2022

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 195193

Comment: NeurIPS camera ready. Code available at https://github.com/meta-inf/filWe investigate nonlinear instrumental variable (IV) regression given high-dimensional instruments. We propose a simple algorithm which combines kernelized IV methods and an arbitrary, adaptive regression algorithm, accessed as a black box. Our algorithm enjoys faster-rate convergence and adapts to the dimensionality of informative latent features, while avoiding an expensive minimax optimization procedure, which has been necessary to establish similar guarantees. It further brings the benefit of flexible machine learning models to quasi-Bayesian uncertainty quantification, likelihood-based model selection, and model averaging. Simulation studies demonstrate the competitive performance of our method.
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