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dml-rs (Python)

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Fast double / debiased machine learning for causal inference, implemented in Rust and validated against DoubleML.

pip install dml-rs
import dml_rs
from sklearn.ensemble import RandomForestRegressor, RandomForestClassifier

# Partially linear regression with any scikit-learn learners
plr = dml_rs.PLR(ml_l=RandomForestRegressor(), ml_m=RandomForestRegressor(), n_folds=5, n_rep=3)
plr.fit(X, y, d)
print(plr.summary)

# Built-in Rust learners run the whole cross-fitting in parallel without the GIL
plr = dml_rs.PLR(ml_l=dml_rs.Lasso(alpha=0.01), ml_m=dml_rs.Lasso(alpha=0.01)).fit(X, y, d)

# Average treatment effect of a binary treatment
irm = dml_rs.IRM(ml_g=RandomForestRegressor(), ml_m=RandomForestClassifier(), score="ATE").fit(X, y, d)

# Joint inference over several treatments
plr.bootstrap(method="normal", n_boot=1000)
plr.confint(joint=True)
plr.p_adjust("romano-wolf")

See the repository for details.

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