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What is Learnable in Valiant's Theory of the Learnable? Learning Perturbations to Extrapolate Your LLM Byzantine-Robust Distributed Sparse Learning Revisited The Sample Complexity of Multiple Change Point Identification under Bandit Feedback A proximal gradient algorithm for composite log-concave sampling Model-based Bootstrap of Controlled Markov Chains Approximation of Maximally Monotone Operators : A Graph Convergence Perspective Posterior Contraction Rates for Sparse Kolmogorov-Arnold Networks in Anisotropic Besov Spaces MIST: Reliable Streaming Decision Trees for Online Class-Incremental Learning via McDiarmid Bound A Spectral Framework for Closed-Form Relative Density Estimation Fast Rates for Offline Contextual Bandits with Forward-KL Regularization under Single-Policy Concentrability Higher-Order Equilibrium Tracking for EM-Compressible Online Estimation Scaling Limits of Long-Context Transformers A Note on Non-Negative $L_1$-Approximating Polynomials Susceptibilities and Patterning: A Primer on Linear Response in Bayesian Learning Linear Response Estimators for Singular Statistical Models Statistical inference with belief functions: A survey Robust stochastic first order methods in heavy-tailed noise via medoid mini-batch gradient sampling Every Feedforward Neural Network Definable in an o-Minimal Structure Has Finite Sample Complexity Adaptive auditing of AI systems with anytime-valid guarantees Locally Near Optimal Piecewise Linear Regression in High Dimensions via Difference of Max-Affine Functions Risk-Controlled Post-Processing of Decision Policies Covariate Balancing and Riesz Regression Should Be Guided by the Neyman Orthogonal Score in Debiased Machine Learning A Unified Pair-GRPO Family: From Implicit to Explicit Preference Constraints for Stable and General RL Alignment Time-Inhomogeneous Preconditioned Langevin Dynamics A Fine-Grained Understanding of Uniform Convergence for Halfspaces CITE: Anytime-Valid Statistical Inference in LLM Self-Consistency Ratio-based Loss Functions Optimal Confidence Band for Kernel Gradient Flow Estimator A renormalization-group inspired lattice-based framework for piecewise generalized linear models
Optimal Nuisance Function Tuning for Estimating a Doubly ...
Sean McGrath, Debarghya Mukherjee, Rajarshi Mukherjee, Zixiao Jo · 2025-09-30 · via math.ST updates on arXiv.org

In this paper, we explore the asymptotically optimal tuning parameter choice in ridge regression for estimating nuisance functions of a statistical functional that has recently gained prominence in conditional independence testing and causal inference. Given a sample of size $n$, we study estimators of the Expected Conditional Covariance (ECC) between variables $Y$ and $A$ given a high-dimensional covariate $X \in \mathbb{R}^p$. Under linear regression models for $Y$ and $A$ on $X$ and the proportional asymptotic regime $p/n \to c \in (0, \infty)$, we evaluate three existing ECC estimators and two sample splitting strategies for estimating the required nuisance functions. Since no consistent estimator of the nuisance functions exists in the proportional asymptotic regime without imposing further structure on the problem, we first derive debiased versions of the ECC estimators that utilize the ridge regression nuisance function estimators. We show that our bias correction strategy yields $\sqrt{n}$-consistent estimators of the ECC across different sample splitting strategies and estimator choices. We then derive the asymptotic variances of these debiased estimators to illustrate the nuanced interplay between the sample splitting strategy, estimator choice, and tuning parameters of the nuisance function estimators for optimally estimating the ECC. Our analysis reveals that prediction-optimal tuning parameters (i.e., those that optimally estimate the nuisance functions) may not lead to the lowest asymptotic variance of the ECC estimator -- thereby demonstrating the need to be careful in selecting tuning parameters based on the final goal of inference. Finally, we verify our theoretical results through extensive numerical experiments.