论文标题

基于通用筛子的策略,用于使用机器学习工具有效估算

Universal sieve-based strategies for efficient estimation using machine learning tools

论文作者

Qiu, Hongxiang, Luedtke, Alex, Carone, Marco

论文摘要

假设我们希望估算一个或多个在非参数模型下的基础数据生成机制的一个或多个函数可值得的特征的有限维摘要。一种估计方法是插入这些功能的灵活估计。不幸的是,通常,此类估计器可能不是渐近的效率,这通常会使这些估计器难以用作推理的基础。尽管有几种现有的方法可以构建渐近插件估计器,但每种方法都只能使用效率理论知识来得出,或者只能在严格的平滑度假设下有效。在现有方法中,筛估计器在构造中不需要效率理论特别方便,因此可以自适应地选择数据,并且它们是普遍的,因为相同的拟合导致了丰富的估算类别的有效插入式估计器。受这些理想属性的启发,我们提出了两种新型的通用方法,用于估计功能值值,可以使用筛子估计理论分析,这些方法可以分析。与传统的筛估计器相比,这些方法在更一般的条件下是有效的,可以通过利用可以使用机器学习的灵活估计值来获得功能值功能的平滑度。

Suppose that we wish to estimate a finite-dimensional summary of one or more function-valued features of an underlying data-generating mechanism under a nonparametric model. One approach to estimation is by plugging in flexible estimates of these features. Unfortunately, in general, such estimators may not be asymptotically efficient, which often makes these estimators difficult to use as a basis for inference. Though there are several existing methods to construct asymptotically efficient plug-in estimators, each such method either can only be derived using knowledge of efficiency theory or is only valid under stringent smoothness assumptions. Among existing methods, sieve estimators stand out as particularly convenient because efficiency theory is not required in their construction, their tuning parameters can be selected data adaptively, and they are universal in the sense that the same fits lead to efficient plug-in estimators for a rich class of estimands. Inspired by these desirable properties, we propose two novel universal approaches for estimating function-valued features that can be analyzed using sieve estimation theory. Compared to traditional sieve estimators, these approaches are valid under more general conditions on the smoothness of the function-valued features by utilizing flexible estimates that can be obtained, for example, using machine learning.

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