Augmented minimax linear estimation
نویسندگان
چکیده
Many statistical estimands can expressed as continuous linear functionals of a conditional expectation function. This includes the average treatment effect under unconfoundedness and generalizations for continuous-valued personalized treatments. In this paper, we discuss general approach to estimating such quantities: begin with simple plug-in estimator based on an estimate function, then correct by subtracting minimax its error. We show that our method is semiparametrically efficient weak conditions observe promising performance both real simulated data.
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ژورنال
عنوان ژورنال: Annals of Statistics
سال: 2021
ISSN: ['0090-5364', '2168-8966']
DOI: https://doi.org/10.1214/21-aos2080