py-why / py-why/EconML

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

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