# Statistical Learning with a Nuisance Component (Extended Abstract)

# Statistical Learning with a Nuisance Component (Extended Abstract)

## Dylan J. Foster, Vasilis Syrgkanis

Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence

Sister Conferences Best Papers. Pages 4726-4729.
https://doi.org/10.24963/ijcai.2020/654

We provide excess risk guarantees for statistical learning in a setting where the population risk with respect to which we evaluate a target parameter depends on an unknown parameter that must be estimated from data (a "nuisance parameter"). We analyze a two-stage sample splitting meta-algorithm that takes as input two arbitrary estimation algorithms: one for the target parameter and one for the nuisance parameter. We show that if the population risk satisfies a condition called Neyman orthogonality, the impact of the nuisance estimation error on the excess risk bound achieved by the meta-algorithm is of second order. Our theorem is agnostic to the particular algorithms used for the target and nuisance and only makes an assumption on their individual performance. This enables the use of a plethora of existing results from statistical learning and machine learning literature to give new guarantees for learning with a nuisance component. Moreover, by focusing on excess risk rather than parameter estimation, we can give guarantees under weaker assumptions than in previous works and accommodate the case where the target parameter belongs to a complex nonparametric class. We characterize conditions on the metric entropy such that oracle rates---rates of the same order as if we knew the nuisance parameter---are achieved. We also analyze the rates achieved by specific estimation algorithms such as variance-penalized empirical risk minimization, neural network estimation and sparse high-dimensional linear model estimation. We highlight the applicability of our results in four settings of central importance in the literature: 1) heterogeneous treatment effect estimation, 2) offline policy optimization, 3) domain adaptation, and 4) learning with missing data.

Keywords:

Machine Learning: Learning Theory