Cross-Fitting and Fast Remainder Rates for Semiparametric Estimation

Understand

There are many interesting and widely used estimators of a functional with finite semiparametric variance bound that depend on nonparametric estimators of nuisance functions.

• We use cross-fitting (i.e.
• sample splitting) to construct novel estimators with fast remainder rates.
• We give cross-fit doubly robust estimators that use separate subsamples to estimate different nuisance functions.