Generalized Riesz Regression: A Unified Framework for Debiased Machine Learning with Riesz Representer Fitting under Bregman Divergence

Masahiro Kato

Papers from arXiv.org

Abstract: Estimating the Riesz representer is central to debiased machine learning, yet the generator and representer model determine which regression directions their first-order conditions protect. We introduce generalized Riesz regression, which minimizes a Bregman divergence made observable by the Riesz identity. Squared and Kullback--Leibler-type choices recover Riesz regression, tailored loss minimization, and density-ratio objectives. For any twice-differentiable generator and differentiable representer model, the first-order conditions impose empirical Riesz equations in model-dependent tangent directions. Compatibility aligns those directions with regressors chosen in advance. These equations give sharp control of the systematic Neyman error and an orthogonal-score identity under exact balance. We derive convergence rates for sparse models linear in dual coordinates, reproducing kernel Hilbert space models, and neural networks, with generator curvature entering the sparse rate. We establish asymptotic normality under Donsker conditions or nuisance estimation via cross-fitting. Applications include treatment effects, average marginal effects, and covariate shift.

Date: 2026-01, Revised 2026-08
New Economics Papers: this item is included in nep-cmp and nep-ecm
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