Method-of-Moments Inference for GLMs and Doubly Robust Functionals under Proportional Asymptotics
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866918010242990080 |
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| author | Chen, Xingyu Liu, Lin Mukherjee, Rajarshi |
| author_facet | Chen, Xingyu Liu, Lin Mukherjee, Rajarshi |
| contents | In this paper, we consider the estimation of regression coefficients and signal-to-noise (SNR) ratio in high-dimensional Generalized Linear Models (GLMs), and explore their implications in inferring popular estimands such as average treatment effects in high-dimensional observational studies. Under the ``proportional asymptotic'' regime and Gaussian covariates with known (population) covariance $Σ$, we derive Consistent and Asymptotically Normal (CAN) estimators of our targets of inference through a Method-of-Moments type of estimators that bypasses estimation of high dimensional nuisance functions and hyperparameter tuning altogether. Additionally, under non-Gaussian covariates, we demonstrate universality of our results under certain additional assumptions on the regression coefficients and $Σ$. We also demonstrate that knowing $Σ$ is not essential to our proposed methodology when the sample covariance matrix estimator is invertible. Finally, we complement our theoretical results with numerical experiments and comparisons with existing literature. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_06103 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Method-of-Moments Inference for GLMs and Doubly Robust Functionals under Proportional Asymptotics Chen, Xingyu Liu, Lin Mukherjee, Rajarshi Statistics Theory Econometrics Methodology Machine Learning In this paper, we consider the estimation of regression coefficients and signal-to-noise (SNR) ratio in high-dimensional Generalized Linear Models (GLMs), and explore their implications in inferring popular estimands such as average treatment effects in high-dimensional observational studies. Under the ``proportional asymptotic'' regime and Gaussian covariates with known (population) covariance $Σ$, we derive Consistent and Asymptotically Normal (CAN) estimators of our targets of inference through a Method-of-Moments type of estimators that bypasses estimation of high dimensional nuisance functions and hyperparameter tuning altogether. Additionally, under non-Gaussian covariates, we demonstrate universality of our results under certain additional assumptions on the regression coefficients and $Σ$. We also demonstrate that knowing $Σ$ is not essential to our proposed methodology when the sample covariance matrix estimator is invertible. Finally, we complement our theoretical results with numerical experiments and comparisons with existing literature. |
| title | Method-of-Moments Inference for GLMs and Doubly Robust Functionals under Proportional Asymptotics |
| topic | Statistics Theory Econometrics Methodology Machine Learning |
| url | https://arxiv.org/abs/2408.06103 |