Non-Parametric Inference Adaptive to Intrinsic Dimension.

We consider non-parametric estimation and inference of conditional moment models in high dimensions. We show that even when the dimension $D$ of the conditioning variable is larger than the sample size $n$, estimation and inference is feasible as long as the distribution of the conditioning variable has small intrinsic dimension $d$, as measured by the doubling dimension. Our estimation is based on a sub-sampled ensemble of the $k$-nearest neighbors $Z$-estimator. We show that if the intrinsic dimension of the co-variate distribution is equal to $d$, then the finite sample estimation error of our estimator is of order $n^{-1/(d+2)}$ and our estimate is $n^{1/(d+2)}$-asymptotically normal, irrespective of $D$. We discuss extensions and applications to heterogeneous treatment effect estimation.