Orthogonal / Double Machine Learning: highly imbalanced treatment labels and highly skewed outcome labels?
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Description
Hi! Anyone knows of existing papers or methods, that applies Double ML to highly imbalanced dataset with, for example, a dataset with less than 1% samples being positively treated while the other >99% samples are untreated? Another example would be, a dataset with continuous outcome yet most Y has value being 0 and less than 1% outcome has great-than-zero value of Y?
Traditionally with supervised machine learning problems such as fraud detection, people use many techniques such as downsample/upsample the outcome, etc., to prevent the fitting of a trivial predictive model that predict every sample with the majority class. However this might introduce bias to Double ML's result coefficients in the last stage if we does this upsample / downsample in the first-stage ML models that predict T & Y. Any existing papers that have address this?
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Research direction
Start with the issue's questions about Double ML under highly imbalanced treatment and outcome labels, then review the EconML Python SDK's existing orthogonal machine-learning documentation. Done would require identifying whether established methods or papers address these cases and documenting guidance without introducing bias from first-stage resampling.
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Assessment
- Tech stack
- python
- Domain
- machine-learning
- Issue type
- Documentation
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 15/100