One-Step Estimation of Differentiable Hilbert-Valued Parameters

• URL: http://arxiv.org/abs/2303.16711v3
• Date: Wed, 27 Sep 2023 00:07:28 GMT
• Title: One-Step Estimation of Differentiable Hilbert-Valued Parameters
• Authors: Alex Luedtke and Incheoul Chung
• Abstract summary: We present estimators for smooth Hilbert-valued parameters, where smoothness is characterized by a pathwise differentiability condition. These estimators correspond to generalizations of cross-fitted one-step estimators based on Hilbert-valued efficient influence functions.
• Score: 2.0305676256390934
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We present estimators for smooth Hilbert-valued parameters, where smoothness is characterized by a pathwise differentiability condition. When the parameter space is a reproducing kernel Hilbert space, we provide a means to obtain efficient, root-n rate estimators and corresponding confidence sets. These estimators correspond to generalizations of cross-fitted one-step estimators based on Hilbert-valued efficient influence functions. We give theoretical guarantees even when arbitrary estimators of nuisance functions are used, including those based on machine learning techniques. We show that these results naturally extend to Hilbert spaces that lack a reproducing kernel, as long as the parameter has an efficient influence function. However, we also uncover the unfortunate fact that, when there is no reproducing kernel, many interesting parameters fail to have an efficient influence function, even though they are pathwise differentiable. To handle these cases, we propose a regularized one-step estimator and associated confidence sets. We also show that pathwise differentiability, which is a central requirement of our approach, holds in many cases. Specifically, we provide multiple examples of pathwise differentiable parameters and develop corresponding estimators and confidence sets. Among these examples, four are particularly relevant to ongoing research by the causal inference community: the counterfactual density function, dose-response function, conditional average treatment effect function, and counterfactual kernel mean embedding.

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