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Adversarial Estimation of Riesz Representers
Victor Chernozhukov · Whitney Newey · Rahul Singh · Vasilis Syrgkanis

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in New Frontiers in Adversarial Machine Learning »

We provide an adversarial approach to estimating Riesz representers of linear functionals within arbitrary function spaces. We prove oracle inequalities based on the localized Rademacher complexity of the function space used to approximate the Riesz representer and the approximation error. These inequalities imply fast finite sample mean-squared-error rates for many function spaces of interest, such as high-dimensional sparse linear functions, neural networks and reproducing kernel Hilbert spaces. Our approach offers a new way of estimating Riesz representers with a plethora of recently introduced machine learning techniques. We show how our estimator can be used in the context of de-biasing structural/causal parameters in semi-parametric models, and for automated orthogonalization of moment equations.

Author Information

Victor Chernozhukov (MIT)
Whitney Newey (MIT)
Rahul Singh (MIT)
Vasilis Syrgkanis (Microsoft Research)

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