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作者:

Yue, Lili (Yue, Lili.) | Li, Gaorong (Li, Gaorong.) (学者:李高荣) | Lian, Heng (Lian, Heng.) | Wan, Xiang (Wan, Xiang.)

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摘要:

Randomized experiment is an important tool for studying the Average Treatment Effect (ATE). This paper considers the regression adjustment estimation of the Sample Average Treatment Effect (SATE) in high-dimensional case, where the multicollinearity problem is often encountered and needs to be properly handled. Many existing regression adjustment methods fail to achieve satisfactory performances. To solve this issue, an Elastic-net adjusted estimator for SATE is proposed under the Rubin causal model of randomized experiments with multicollinearity in high dimensions. The asymptotic properties of the proposed SATE estimator are shown under some regularity conditions, and the asymptotic variance is proved to be not greater than that of the unadjusted estimator. Furthermore, Neyman-type conservative estimators for the asymptotic variance are proposed, which yields tighter confidence intervals than both the unadjusted and the Lasso-based adjusted estimators. Some simulation studies are carried out to show that the Elastic-net adjusted method is better in addressing collinearity problem than the existing methods. The advantages of our proposed method are also shown in analyzing the dataset of HER2 breast cancer patients. (C) 2018 Elsevier B.V. All rights reserved.

关键词:

Average Treatment Effect Causal inference Elastic-net High-dimensional data Randomized experiments Rubin causal model

作者机构:

  • [ 1 ] [Yue, Lili]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 2 ] [Yue, Lili]Beijing Univ Technol, Beijing Inst Sci & Engn Comp, Beijing 100124, Peoples R China
  • [ 3 ] [Li, Gaorong]Beijing Univ Technol, Beijing Inst Sci & Engn Comp, Beijing 100124, Peoples R China
  • [ 4 ] [Lian, Heng]City Univ Hong Kong, Dept Math, Hong Kong, Peoples R China
  • [ 5 ] [Wan, Xiang]Shenzhen Res Inst Big Data, Shenzhen 518172, Peoples R China

通讯作者信息:

  • 李高荣

    [Li, Gaorong]Beijing Univ Technol, Beijing Inst Sci & Engn Comp, Beijing 100124, Peoples R China

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来源 :

COMPUTATIONAL STATISTICS & DATA ANALYSIS

ISSN: 0167-9473

年份: 2019

卷: 134

页码: 17-35

1 . 8 0 0

JCR@2022

ESI学科: MATHEMATICS;

ESI高被引阀值:25

JCR分区:4

被引次数:

WoS核心集被引频次: 10

SCOPUS被引频次: 13

ESI高被引论文在榜: 0 展开所有

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中文被引频次:

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