论文标题

推断弱识别功能的强烈识别功能

Inference on Strongly Identified Functionals of Weakly Identified Functions

论文作者

Bennett, Andrew, Kallus, Nathan, Mao, Xiaojie, Newey, Whitney, Syrgkanis, Vasilis, Uehara, Masatoshi

论文摘要

在各种应用中,包括非参数仪器变量(NPIV)分析,在未衡量的混杂下发生的近端因果推理以及带有阴影变量的随机数据缺失,我们对连续线性函数的推理感兴趣(例如,nuiisance函数的平均因果效应)(例如,nuiisance ratcorion nuiisance ratcorion nuiSance ratcorions(例如,npiv realsivers)定义的定义。这些令人讨厌的功能通常被薄弱地识别,因为条件力矩限制可能会严重不良,并且可以接受多种解决方案。有时通过强烈的条件来解决这可以解决,这意味着该函数可以估计以对功能的推论的速率估算。在本文中,我们研究了一个新的条件,即使没有滋扰功能,该功能也可以得到强烈识别。也就是说,该功能适合于$ \ sqrt {n} $ - rates的渐近估计。该条件暗示了存在偏见的滋扰函数,我们建议对主要和证明滋扰函数的受惩罚的最小估计量。提出的滋扰估计器可以适应灵活的功能类别,重要的是,无论滋扰的可识别性如何,它们都可以收敛到由惩罚确定的固定限制。我们使用受惩罚的滋扰估计量形成了感兴趣功能的依据估计量,并证明其在通用高级条件下的渐近正态性,该条件提供了渐近有效的置信区间。我们还在一种新型的部分线性近端因果推理问题和部分线性仪器变量回归问题中说明了我们的方法。

In a variety of applications, including nonparametric instrumental variable (NPIV) analysis, proximal causal inference under unmeasured confounding, and missing-not-at-random data with shadow variables, we are interested in inference on a continuous linear functional (e.g., average causal effects) of nuisance function (e.g., NPIV regression) defined by conditional moment restrictions. These nuisance functions are generally weakly identified, in that the conditional moment restrictions can be severely ill-posed as well as admit multiple solutions. This is sometimes resolved by imposing strong conditions that imply the function can be estimated at rates that make inference on the functional possible. In this paper, we study a novel condition for the functional to be strongly identified even when the nuisance function is not; that is, the functional is amenable to asymptotically-normal estimation at $\sqrt{n}$-rates. The condition implies the existence of debiasing nuisance functions, and we propose penalized minimax estimators for both the primary and debiasing nuisance functions. The proposed nuisance estimators can accommodate flexible function classes, and importantly they can converge to fixed limits determined by the penalization regardless of the identifiability of the nuisances. We use the penalized nuisance estimators to form a debiased estimator for the functional of interest and prove its asymptotic normality under generic high-level conditions, which provide for asymptotically valid confidence intervals. We also illustrate our method in a novel partially linear proximal causal inference problem and a partially linear instrumental variable regression problem.

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