Nonparametric Estimation of Conditional Expectation with Auxiliary Information and Dimension Reduction

DOI10.1080/01621459.2020.1713793MaRDI QIDQ6040694zbMATH OpenOpenAlexFDO

Authors Bingying Xie, Jun Shao

Publication date 22 May 2023

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.03353, https://figshare.com/articles/journal_contribution/Nonparametric_Estimation_of_Conditional_Expectation_With_Auxiliary_Information_and_Dimension_Reduction/11811657

zbMATH Keywords

auxiliary informationconvergence ratekernel estimationsufficient dimension reductiontwo-step regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: Nonparametric estimation of the conditional expectation $E(Y|U)$ of an outcome $Y$ given a covariate vector $U$ is of primary importance in many statistical applications such as prediction and personalized medicine. In some problems, there is an additional auxiliary variable $Z$ in the training dataset used to construct estimators, but $Z$ is not available for future prediction or selecting patient treatment in personalized medicine. For example, in the training dataset longitudinal outcomes are observed, but only the last outcome $Y$ is concerned in the future prediction or analysis. The longitudinal outcomes other than the last point is then the variable $Z$ that is observed and related with both $Y$ and $U$. Previous work on how to make use of $Z$ in the estimation of $E(Y|U)$ mainly focused on using $Z$ in the construction of a linear function of $U$ to reduce covariate dimension for better estimation. Using $E(Y|U)=EE(Y|U,Z)|U$, we propose a two-step estimation of inner and outer expectations, respectively, with sufficient dimension reduction for kernel estimation in both steps. The information from $Z$ is utilized not only in dimension reduction, but also directly in the estimation. Because of the existence of different ways for dimension reduction, we construct two estimators that may improve the estimator without using $Z$. The improvements are shown in the convergence rate of estimators as the sample size increases to infinity as well as in the finite sample simulation performance. A real data analysis about the selection of mammography intervention is presented for illustration.

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(2)

• Incorporating extra information in nonparametric smoothing
• Large-scale survival analysis with a cure fraction

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