Bootstrap consistency for general double/debiased machine learning estimators
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866913045147549696 |
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| author | Lin, Ziming Han, Fang |
| author_facet | Lin, Ziming Han, Fang |
| contents | Double/debiased machine learning (DML) provides a general framework for inference with high-dimensional or otherwise complex nuisance parameters by combining Neyman-orthogonal scores with cross-fitting, thereby circumventing classical Donsker-type conditions in many modern machine-learning settings. Despite its strong empirical performance, bootstrap inference for DML estimators has received little theoretical justification. This is particularly noteworthy since bootstrap methods are suggested ad used for inference on DML estimators, even though bootstrap procedures can fail for estimators that are root-$n$ consistent and asymptotically normal. This paper fills this gap by establishing bootstrap validity for DML estimators under general exchangeably weighted resampling schemes, with Efron's bootstrap as a special case. Under exactly the same conditions required for the validity of DML itself, we prove that the bootstrap law converges conditionally weakly to the sampling law of the original estimator. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_17239 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Bootstrap consistency for general double/debiased machine learning estimators Lin, Ziming Han, Fang Statistics Theory Econometrics Double/debiased machine learning (DML) provides a general framework for inference with high-dimensional or otherwise complex nuisance parameters by combining Neyman-orthogonal scores with cross-fitting, thereby circumventing classical Donsker-type conditions in many modern machine-learning settings. Despite its strong empirical performance, bootstrap inference for DML estimators has received little theoretical justification. This is particularly noteworthy since bootstrap methods are suggested ad used for inference on DML estimators, even though bootstrap procedures can fail for estimators that are root-$n$ consistent and asymptotically normal. This paper fills this gap by establishing bootstrap validity for DML estimators under general exchangeably weighted resampling schemes, with Efron's bootstrap as a special case. Under exactly the same conditions required for the validity of DML itself, we prove that the bootstrap law converges conditionally weakly to the sampling law of the original estimator. |
| title | Bootstrap consistency for general double/debiased machine learning estimators |
| topic | Statistics Theory Econometrics |
| url | https://arxiv.org/abs/2604.17239 |