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Reliable Selection of Heterogeneous Treatment Effect Esti...
[Submitted on 23 Nov 2025 (v1), last revised 3 Sep 2026 (this ve · 2025-11-23 · via cs.LG updates on arXiv.org

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Abstract:We study the problem of selecting the best heterogeneous treatment effect (HTE) estimator from a collection of candidates in settings where the treatment effect is fundamentally unobserved. We cast estimator selection as a multiple testing problem and introduce a ground-truth-free procedure based on a cross-fitted, exponentially weighted test statistic. A key component of our method is a two-way sample splitting scheme that decouples nuisance estimation from weight learning and ensures the stability required for valid inference. Leveraging a stability-based central limit theorem, we establish asymptotic familywise error rate control under mild regularity conditions. Empirically, our procedure provides reliable error control while substantially reducing false selections compared with commonly used methods across ACIC 2016, IHDP, and Twins benchmarks, demonstrating that our method is feasible and powerful even without ground-truth treatment effects.

Submission history

From: Jiayi Guo [view email]
[v1] Sun, 23 Nov 2025 14:15:50 UTC (934 KB)
[v2] Thu, 3 Sep 2026 00:28:29 UTC (969 KB)