Nonparametric inverse‐probability‐weighted estimators based on the highly adaptive lasso

Ashkan Ertefaie, Nima S. Hejazi and Mark J. van der Laan

Biometrics, 2023, vol. 79, issue 2, 1029-1041

Abstract: Inverse‐probability‐weighted estimators are the oldest and potentially most commonly used class of procedures for the estimation of causal effects. By adjusting for selection biases via a weighting mechanism, these procedures estimate an effect of interest by constructing a pseudopopulation in which selection biases are eliminated. Despite their ease of use, these estimators require the correct specification of a model for the weighting mechanism, are known to be inefficient, and suffer from the curse of dimensionality. We propose a class of nonparametric inverse‐probability‐weighted estimators in which the weighting mechanism is estimated via undersmoothing of the highly adaptive lasso, a nonparametric regression function proven to converge at nearly n−1/3$ n^{-1/3}$‐rate to the true weighting mechanism. We demonstrate that our estimators are asymptotically linear with variance converging to the nonparametric efficiency bound. Unlike doubly robust estimators, our procedures require neither derivation of the efficient influence function nor specification of the conditional outcome model. Our theoretical developments have broad implications for the construction of efficient inverse‐probability‐weighted estimators in large statistical models and a variety of problem settings. We assess the practical performance of our estimators in simulation studies and demonstrate use of our proposed methodology with data from a large‐scale epidemiologic study.

Date: 2023
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