Parametric-rate inference for one-sided differentiable parameters

DOI10.1080/01621459.2017.1285777MaRDI QIDQ4962444zbMATH OpenOpenAlexWikidataFDO

Authors Alexander R. Luedtke, Mark J. Van der Laan

Publication date 2 November 2018

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

Full work available at URL https://arxiv.org/abs/1605.07657, http://europepmc.org/articles/pmc6075853

zbMATH Keywords

nonregular inferencestabilized one-step estimatorvariable screening

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Abstract: Suppose one has a collection of parameters indexed by a (possibly infinite dimensional) set. Given data generated from some distribution, the objective is to estimate the maximal parameter in this collection evaluated at this distribution. This estimation problem is typically non-regular when the maximizing parameter is non-unique, and as a result standard asymptotic techniques generally fail in this case. We present a technique for developing parametric-rate confidence intervals for the quantity of interest in these non-regular settings. We show that our estimator is asymptotically efficient when the maximizing parameter is unique so that regular estimation is possible. We apply our technique to a recent example from the literature in which one wishes to report the maximal absolute correlation between a prespecified outcome and one of p predictors. The simplicity of our technique enables an analysis of the previously open case where p grows with sample size. Specifically, we only require that log(p) grows slower than the square root of n, where n is the sample size. We show that, unlike earlier approaches, our method scales to massive data sets: the point estimate and confidence intervals can be constructed in O(np) time.

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Cites work

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Cited in

(6)

• One-sided inference about functionals of a density
• A Sequential Significance Test for Treatment by Covariate Interactions
• Statistical Inference for High-Dimensional Models via Recursive Online-Score Estimation
• Testing the Effects of High-Dimensional Covariates via Aggregating Cumulative Covariances
• Efficient estimation of the maximal association between multiple predictors and a survival outcome
• Kernel-based marginal testing for covariate effects in high-dimensional settings

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