Closed kklein closed 3 months ago
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This PR seeks to address @ArseniyZvyagintsevQC 's finding that the current implementation of the S-Learner's estimation of the conditional average outcomes is not quite kosher in the in-sample scenario.
Concretely, having observed $X_i, Y_i, W_i=k$, we currently consider $i$ to be unseen when estimating $\mathbb{E}[Y_i|X_i,W_i=k']$ if $k' \neq k$. Yet, the estimator has seen $Y_i$, which may lead to some leakage.
Checklist
CHANGELOG.rst
entry