Doubly robust nearest neighbors in factor models
An improved variant of nearest neighbors (NN) for estimation with missing data in latent factor models that provides a (near-)quadratic improvement in the non-asymptotic error and admits a significantly narrower asymptotic confidence interval when compared to both unit-unit or time-time NN.
Raaz Dwivedi, Katherine Tian, Sabina Tomkins et al.
· arXiv.org · 11 citations