Qiu Hongxiang, Luedtke Alex, Carone Marco
Department of Biostatistics, University of Washington, Seattle, WA, USA.
Department of Statistics, University of Washington, Seattle, WA, USA.
Bernoulli (Andover). 2021 Nov;27(4):2300-2336. doi: 10.3150/20-BEJ1309. Epub 2021 Aug 24.
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.
假设我们希望在非参数模型下估计潜在数据生成机制的一个或多个函数值特征的有限维汇总。一种估计方法是代入这些特征的灵活估计值。不幸的是,一般来说,这样的估计量可能不是渐近有效的,这通常使得这些估计量难以用作推断的基础。尽管有几种现有的方法来构造渐近有效的代入估计量,但每种这样的方法要么只能利用效率理论的知识推导出来,要么仅在严格的光滑性假设下才有效。在现有方法中,筛估计量特别方便,因为在其构造过程中不需要效率理论,其调优参数可以根据数据自适应选择,并且它们具有通用性,即相同的拟合会为一大类被估计量产生有效的代入估计量。受这些理想特性的启发,我们提出了两种新颖的通用方法来估计函数值特征,这些方法可以使用筛估计理论进行分析。与传统的筛估计量相比,通过利用例如使用机器学习可以获得的灵活估计值,这些方法在函数值特征的光滑性更一般的条件下是有效的。