A new normalized extreme treatment effect estimand is introduced, and doubly robust and inverse propensity weighting estimators with non-asymptotic bounds are derived under multivariate regular variation.
Extremal Quantiles and Value-at-Risk , May 2006
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Estimation of Treatment Effects in Extreme and Unobserved Data
A new normalized extreme treatment effect estimand is introduced, and doubly robust and inverse propensity weighting estimators with non-asymptotic bounds are derived under multivariate regular variation.