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Fix CausalForestDML ATE and ATT standard errors for multiple outputs - #1067
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Count non-missing predictions along the sample axis and preserve outcome-treatment ordering when forming doubly robust corrections. Cover masked and missing predictions, fitted-estimator inference, and duplicate-outcome invariance with two, three, and four treatment arms. Keep API docstrings focused on caller-facing behavior and make the finite-data reference calculation's seed dependence explicit. Fixes #1066 Co-authored-by: Copilot App <223556219+Copilot@users.noreply.github.com> Signed-off-by: Keith Battocchi <kebatt@microsoft.com>
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Summary
Fixes #1066.
Fix two errors in CausalForestDML's doubly robust training-data ATE/ATT inference:
axis=0), separately for each outcome-treatment pair and after ATT masking. Previously, pooling counts across outputs or treatment contrasts understated standard errors.einsumwith sample, outcome, and treatment axes.Keep standard-error docstrings focused on the public API. The separately identified multi-output model-selection scoring issue remains out of scope.
Regression coverage
The invariance test exposed the correction-order error. The existing known-ground-truth test uses duplicate outcomes, identical true effects for both non-control treatments, and absolute tolerances that allowed this error to escape; recomputing inference from the estimator's internal corrected predictions also cannot detect incorrect corrections upstream.
Validation
git diff --checkpassed.Local validation uses the repository's last-known-good Cython 3.2.4 build; the original Cython 3.3.0 native-code crash was addressed separately.