Toward Computerized Efficient Estimation in Infinite-Dimensional Models

DOI10.1080/01621459.2018.1482752zbMATH Open1428.62128arXiv1608.08717OpenAlexW2963771649WikidataQ94672006 ScholiaQ94672006MaRDI QIDQ5242467FDOQ5242467

Mark J. Van der Laan, Alexander R. Luedtke, Marco Carone

Publication date: 12 November 2019

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

Abstract: Despite the risk of misspecification they are tied to, parametric models continue to be used in statistical practice because they are accessible to all. In particular, efficient estimation procedures in parametric models are simple to describe and implement. Unfortunately, the same cannot be said of semiparametric and nonparametric models. While the latter often reflect the level of available scientific knowledge more appropriately, performing efficient inference in these models is generally challenging. The efficient influence function is a key analytic object from which the construction of asymptotically efficient estimators can potentially be streamlined. However, the theoretical derivation of the efficient influence function requires specialized knowledge and is often a difficult task, even for experts. In this paper, we propose and discuss a numerical procedure for approximating the efficient influence function. The approach generalizes the simple nonparametric procedures described recently by Frangakis et al. (2015) and Luedtke et al. (2015) to arbitrary models. We present theoretical results to support our proposal, and also illustrate the method in the context of two examples. The proposed approach is an important step toward automating efficient estimation in general statistical models, thereby rendering the use of realistic models in statistical analyses much more accessible.

Full work available at URL: https://arxiv.org/abs/1608.08717

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zbMATH Keywords

asymptotic efficiencynonparametric and semiparametric modelspathwise differentiabilityefficient influence functioncanonical gradient

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

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Cited In (5)

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• Locally Robust Semiparametric Estimation
• Deductive derivation and Turing-computerization of semiparametric efficient estimation
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