RieszBoost uses gradient boosting with a data augmentation trick to estimate Riesz representers directly from the Riesz loss, matching or improving on indirect plug-in estimators in simulations.
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RieszBoost: Gradient Boosting for Riesz Regression
RieszBoost uses gradient boosting with a data augmentation trick to estimate Riesz representers directly from the Riesz loss, matching or improving on indirect plug-in estimators in simulations.