Robust learning for optimal treatment decision with NP-dimensionality

DOI10.1214/16-EJS1178MaRDI QIDQ330449zbMATH OpenWikidataFDO

Authors Chengchun Shi, Rui Song, Wenbin Lu

Publication date 26 October 2016

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.04378, https://projecteuclid.org/euclid.ejs/1476368559

zbMATH Keywords

nonconcave penalized likelihoodoptimal treatment strategyoracle propertyvariable selection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric robustness (62G35) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: In order to identify important variables that are involved in making optimal treatment decision, Lu et al. (2013) proposed a penalized least squared regression framework for a fixed number of predictors, which is robust against the misspecification of the conditional mean model. Two problems arise: (i) in a world of explosively big data, effective methods are needed to handle ultra-high dimensional data set, for example, with the dimension of predictors is of the non-polynomial (NP) order of the sample size; (ii) both the propensity score and conditional mean models need to be estimated from data under NP dimensionality. In this paper, we propose a two-step estimation procedure for deriving the optimal treatment regime under NP dimensionality. In both steps, penalized regressions are employed with the non-concave penalty function, where the conditional mean model of the response given predictors may be misspecified. The asymptotic properties, such as weak oracle properties, selection consistency and oracle distributions, of the proposed estimators are investigated. In addition, we study the limiting distribution of the estimated value function for the obtained optimal treatment regime. The empirical performance of the proposed estimation method is evaluated by simulations and an application to a depression dataset from the STAR*D study.

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