Semiparametric Efficient Empirical Higher Order Influence Function Estimators

TL;DR

This paper introduces a new semiparametric efficient higher order influence function estimator for missing data models that does not require smoothness assumptions on the covariate density, improving robustness and applicability.

Contribution

The authors develop a novel HOIF estimator that maintains asymptotic efficiency without smoothness conditions on the covariate density, unlike previous methods.

Findings

Estimator is semiparametric efficient under minimal conditions.

Outperforms previous estimators in finite samples when density g is not smooth.

Remains the only known efficient estimator without smoothness assumptions.

Abstract

Robins et al. (2008, 2017) applied the theory of higher order influence functions (HOIFs) to derive an estimator of the mean $\psi$ of an outcome Y in a missing data model with Y missing at random conditional on a vector X of continuous covariates; their estimator, in contrast to previous estimators, is semiparametric efficient under the minimal conditions of Robins et al. (2009b), together with an additional (non-minimal) smoothness condition on the density g of X, because the Robins et al. (2008, 2017) estimator depends on a nonparametric estimate of g. In this paper, we introduce a new HOIF estimator that has the same asymptotic properties as the original one, but does not impose any smoothness requirement on g. This is important for two reasons. First, one rarely has the knowledge about the properties of g. Second, even when g is smooth, if the dimension of X is even moderate, accurate nonparametric estimation of its density is not feasible at the sample sizes often encountered in applications. In fact, to the best of our knowledge, this new HOIF estimator remains the only semiparametric efficient estimator of $\psi$ under minimal conditions, despite the rapidly growing literature on causal effect estimation. We also show that our estimator can be generalized to the entire class of functionals considered by Robins et al. (2008) which include the average effect of a treatment on a response Y when a vector X suffices to control confounding and the expected conditional variance of a response Y given a vector X. Simulation experiments are also conducted, which demonstrate that our new estimator outperforms those of Robins et al. (2008, 2017) in finite samples, when g is not very smooth.