Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10524506 | Journal of Multivariate Analysis | 2005 | 20 Pages |
Abstract
Our goal is to estimate the regression parameter β of the regression model T=Zâ¤Î²+ε. The curse of dimensionality implies no globally efficient nonparametric estimator with good practical performance at moderate sample sizes exists. We present an estimator of the parameter β that attains the semiparametric efficiency bound if we correctly specify (a) a model for the monitoring mechanism and (b) a lower-dimensional model for the conditional distribution of T given the covariates. In addition, our estimator is robust to model misspecification. If only (a) is correctly specified, the estimator remains consistent and asymptotically normal. We conclude with a simulation experiment and a data analysis.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Chris Andrews, Mark van der Laan, James Robins,