Toward computerized efficient estimation in infinite-dimensional models

TL;DR

This paper introduces a numerical method to approximate the efficient influence function, aiming to automate and simplify efficient estimation in complex semiparametric and nonparametric models, making advanced statistical inference more accessible.

Contribution

It proposes a general numerical procedure to approximate the efficient influence function, extending previous nonparametric methods to arbitrary models, supporting automated efficient estimation.

Findings

The method is supported by theoretical results.

Illustrated with two practical examples.

Facilitates automation of efficient estimation.

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.