Automatic Debiased Machine Learning for Smooth Functionals of Nonparametric M-Estimands

• URL: http://arxiv.org/abs/2501.11868v1
• Date: Tue, 21 Jan 2025 03:50:51 GMT
• Title: Automatic Debiased Machine Learning for Smooth Functionals of Nonparametric M-Estimands
• Authors: Lars van der Laan, Aurelien Bibaut, Nathan Kallus, Alex Luedtke,
• Abstract summary: We propose a unified framework for automatic debiased machine learning (autoDML) to perform inference on smooth functionals of infinite-dimensional M-estimands. We introduce three autoDML estimators based on one-step estimation, targeted minimum loss-based estimation, and the method of sieves. For data-driven model selection, we derive a novel decomposition of model approximation error for smooth functionals of M-estimands.
• Score: 34.30497962430375
• License:
• Abstract: We propose a unified framework for automatic debiased machine learning (autoDML) to perform inference on smooth functionals of infinite-dimensional M-estimands, defined as population risk minimizers over Hilbert spaces. By automating debiased estimation and inference procedures in causal inference and semiparametric statistics, our framework enables practitioners to construct valid estimators for complex parameters without requiring specialized expertise. The framework supports Neyman-orthogonal loss functions with unknown nuisance parameters requiring data-driven estimation, as well as vector-valued M-estimands involving simultaneous loss minimization across multiple Hilbert space models. We formalize the class of parameters efficiently estimable by autoDML as a novel class of nonparametric projection parameters, defined via orthogonal minimum loss objectives. We introduce three autoDML estimators based on one-step estimation, targeted minimum loss-based estimation, and the method of sieves. For data-driven model selection, we derive a novel decomposition of model approximation error for smooth functionals of M-estimands and propose adaptive debiased machine learning estimators that are superefficient and adaptive to the functional form of the M-estimand. Finally, we illustrate the flexibility of our framework by constructing autoDML estimators for the long-term survival under a beta-geometric model.

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