Universal sieve-based strategies for efficient estimation using machine learning tools

DOI10.3150/20-BEJ1309zbMATH Open1476.62067arXiv2003.01856MaRDI QIDQ1983607FDOQ1983607

Authors: Hongxiang Qiu, Alex Luedtke, Marco Carone 

Publication date: 10 September 2021

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Suppose that we wish to estimate a finite-dimensional summary of one or more function-valued features of an underlying data-generating mechanism under a nonparametric model. One approach to estimation is by plugging in flexible estimates of these features. Unfortunately, in general, such estimators may not be asymptotically efficient, which often makes these estimators difficult to use as a basis for inference. Though there are several existing methods to construct asymptotically efficient plug-in estimators, each such method either can only be derived using knowledge of efficiency theory or is only valid under stringent smoothness assumptions. Among existing methods, sieve estimators stand out as particularly convenient because efficiency theory is not required in their construction, their tuning parameters can be selected data adaptively, and they are universal in the sense that the same fits lead to efficient plug-in estimators for a rich class of estimands. Inspired by these desirable properties, we propose two novel universal approaches for estimating function-valued features that can be analyzed using sieve estimation theory. Compared to traditional sieve estimators, these approaches are valid under more general conditions on the smoothness of the function-valued features by utilizing flexible estimates that can be obtained, for example, using machine learning.

Full work available at URL: https://arxiv.org/abs/2003.01856

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zbMATH Keywords

asymptotic efficiencynonparametric inferencesieve estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Learning and adaptive systems in artificial intelligence (68T05) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of sieve methods (11N36)

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Cited In (2)

• Exploring the impact of post-training rounding in regression models.
• Sequential estimation of generalized linear model coefficients

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