Monte Carlo Tests
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@vasilismsr is already working on this.
Since Nov 9, 2019.
enhancement
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Description
Add a separate section with monte carlo tests that test the quality of the estimators (not their coding validity). For instance, monte carlo tests on the coverage of the asymptotic normal based inference of LinearDMLCateEstimator or LinearDRLearner. Or coverage of bootstrap intervals in ortho_forest. CATE estimation errors of different methods across different input regimes, etc.
This can also help inform the input regimes where each method works well from a statistical perspective.
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