Robust learning for optimal treatment decision with NP-dimensionality

Chengchun Shi, Rui Song and Wenbin Lu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: In order to identify important variables that are involved in making optimal treatment decision, Lu, Zhang and Zeng (2013) proposed a penalized least squared regression framework for a fixed number of predictors, which is robust against the misspecification of the conditional mean model. Two problems arise: (i) in a world of explosively big data, effective methods are needed to handle ultra-high dimensional data set, for example, with the dimension of predictors is of the non-polynomial (NP) order of the sample size; (ii) both the propensity score and conditional mean models need to be estimated from data under NP dimensionality. In this paper, we propose a robust procedure for estimating the optimal treatment regime under NP dimensionality. In both steps, penalized regressions are employed with the non-concave penalty function, where the conditional mean model of the response given predictors may be misspecified. The asymptotic properties, such as weak oracle properties, selection consistency and oracle distributions, of the proposed estimators are investigated. In addition, we study the limiting distribution of the estimated value function for the obtained optimal treatment regime. The empirical performance of the proposed estimation method is evaluated by simulations and an application to a depression dataset from the STAR*D study.

Keywords: non-concave penalized likelihood; optimal treatment strategy; oracle property; variable selection (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016-10-13
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in Electronic Journal of Statistics, 13, October, 2016, 10(2), pp. 2894 - 2921. ISSN: 1935-7524

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