A note on the variance of doubly-robust G-estimators

E. E. M. Moodie

Biometrika, 2009, vol. 96, issue 4, 998-1004

Abstract: A recursive variance calculation is derived for doubly-robust G-estimators for dynamic treatment regimes in a multi-interval setting. Treatment decision parameters are not assumed to be shared across treatment intervals; this independence of parameters permits sequential estimation of the G-estimators' variance when G-estimation is performed in a sequential fashion. The recursive variance calculation is both natural and computationally feasible. This development can easily be adapted to other complex estimating procedures that require nuisance parameter estimation. Copyright 2009, Oxford University Press.

Date: 2009
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