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arXiv · 1809.09953

Deep Neural Networks for Estimation and Inference

Abstract

We study deep neural networks and their use in semiparametric inference. We establish novel rates of convergence for deep feedforward neural nets. Our new rates are sufficiently fast (in some cases minimax optimal) to allow us to establish valid second-step inference after first-step estimation with deep learning, a result also new to the literature. Our estimation rates and semiparametric inference results handle the current standard architecture: fully connected feedforward neural networks (multi-layer perceptrons), with the now-common rectified linear unit activation function and a depth explicitly diverging with the sample size. We discuss other architectures as well, including fixed-width, very deep networks. We establish nonasymptotic bounds for these deep nets for a general class of nonparametric regression-type loss functions, which includes as special cases least squares, logistic regression, and other generalized linear models. We then apply our theory to develop semiparametric inference, focusing on causal parameters for concreteness, such as treatment effects, expected welfare, and decomposition effects. Inference in many other semiparametric contexts can be readily obtained. We demonstrate the effectiveness of deep learning with a Monte Carlo analysis and an empirical application to direct mail marketing.

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BibTeXRIS

Max H. Farrell, Tengyuan Liang, Sanjog Misra. 2018-09-26. Deep Neural Networks for Estimation and Inference. https://doi.org/10.3982/ecta16901

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