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FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES

Published online by Cambridge University Press:  16 March 2023

Anders Bredahl Kock ,
David Preinerstorfer  and
Bezirgen Veliyev
Anders Bredahl Kock
Affiliation:
University of Oxford
David Preinerstorfer
Affiliation:
University of St.Gallen
Bezirgen Veliyev*
Affiliation:
Aarhus University
*
Address correspondence to Bezirgen Veliyev, Department of Economics and Business Economics, Aarhus University, Fuglesangs Alle 4, 8210 Aarhus V, Denmark; e-mail: [email protected]..
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Abstract

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We consider a sequential treatment problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision-maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditional quantile, trimmed mean, or a socioeconomic functional such as an inequality, welfare, or poverty measure. We develop expected regret lower bounds for this problem and construct a near minimax optimal sequential assignment policy.

Type
ARTICLES
Information
Econometric Theory , First View , pp. 1 - 42
Copyright
© The Author(s), 2023. Published by Cambridge University Press

Footnotes

We are grateful to the Editor, a Co-Editor, and three anonymous referees for their valuable comments.

References

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