Optimal use of a black-box learner in semiparametric estimation

2026-07-23

AI Summary

This work proposes a novel estimator for semiparametric partially linear models with unknown structural forms, leveraging adversarial conditional moment calibration to locally edit debiasing weights for inference samples. The approach effectively mitigates model misspecification arising from disturbances and confounding variables by discarding the suboptimal error terms inherent in double machine learning. Without imposing additional assumptions, it achieves an unimprovable convergence rate and establishes a general TAME framework. By integrating black-box regression, transductive weight editing, and semiparametric inference, the resulting estimator attains the optimal error bound of $1/\sqrt{n} + \delta_{a,\mu}\cdot\delta_{a,\pi} + (\delta_s)^2$, significantly outperforming existing methods in settings with imbalanced disturbance complexity.

Abstract

Consider the partial linear model $Y = μ_0(X) + β_0 \cdot T + \varepsilon$ and $T = π_0(X) + u$ in the structure-agnostic setting, where we are blind to the structure $μ_0$ and $π_0$ and estimate the nuisances by a black-box hypothesis class. The learnability of the class is characterized by the estimation error $δ_s$ in the absence of model misspecification and its $L_2$ mis-specification error $δ_{a, μ}$ and $δ_{a, π}$ for $μ_0$ and $π_0$, respectively. We propose a novel estimator of the target linear coefficient $θ_0 = β_0$ with error rate \[ \frac{1}{\sqrt{n}} + δ_{a, μ} \cdot δ_{a, π} + [δ_s]^2. \] A matching lower bound is also established, implying that this rate is unimprovable. Compared with the product rate yielded by double machine learning (DML), our estimator removes the suboptimal term $\max(δ_{a, μ}, δ_{a, π})\cdot δ_s$ at no extra cost or assumption. Building on the underlying insights, which are neither tailored to the one-learner setting nor the partial linear model, we propose Transductive Adversarial Moment-calibrated Editing (TAME), which locally edits debiasing weights induced by black-box regression estimates on the inference sample through adversarial conditional moment calibration. TAME can be combined with any initial black-box estimates and can strictly improve on DML guarantees when the nuisance difficulties are imbalanced. We discuss how to fully exploit the advantages introduced by TAME, including the gains from using two learners, the resulting under-smoothing principle for model selection, and extensions to other linear functional estimation problems.

Problem

• semiparametric estimation
• black-box learner
• nuisance estimation
• model misspecification
• double machine learning

Innovation

• semiparametric estimation
• double machine learning
• black-box learner
• adversarial moment calibration
• TAME