How to use Bootstrap when refitting final stage?
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Description
Hi all,
So basically, roughly I have:
cate = DMLIV(model_Y_X(), model_T_X(), model_T_XZ(),
dmliv_model_effect(), dmliv_featurizer(),
n_splits= 20)
##### defining some variable in here
cate.fit(Y, T[:,0], XW, Z, store_final=True)
##### choosing the preferred subset of XW to refit the final in here
cate.refit_final(ph_dmliv_model_effect(), dmliv_featurizer())
So first of all. Should I use BootstrapEstimator in both or just when refitting the final stage as I am guessing (since the final estimates are on the refitted final stage). Secondly, when doing:
BootstrapEstimator(cate, n_bootstrap_samples=100).refit_final(ph_dmliv_model_effect(), dmliv_featurizer())
the following error appears: "unsupported operand type(s) for +: 'DMLIV' and 'DMLIV'" after having finished the replicates.
What's going wrong here? Seems like I have to call an attribute of the class DMLIV like fit or refit, but I am not really sure...
Moreover, is the refitting to be done with the training set? That's because I am specifying fold0, fold1, fold00, folld11 of issue #94 in final model, but I don't know how Bootstrap acts. Moreover, by doing:
boot_est=BootstrapEstimator(est,n_bootstrap_samples=100)
te_pred_interval = boot_est.effect_interval(X_test, lower=1, upper=99)
te_pred_interval
the intervals turn out to be equal to the estimates and equal among each other.
Thank you again!
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Research direction
Start by reviewing the DMLIV and BootstrapEstimator usage shown in the issue, including fit, refit_final, effect_interval, and the reference to issue #94. Clarify whether bootstrapping applies during fitting or final-stage refitting, how the reported error arises, how folds and training data are handled, and why the example intervals match the estimates; document the expected usage and results.
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Assessment
- Tech stack
- python
- Domain
- machine-learning
- Issue type
- Documentation
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100