Cheap subsampling bootstrap confidence intervals with applications to longitudinal causal inference

Abstract

The bootstrap is widely used to construct confidence intervals but may perform poorly for some estimators. We consider semiparametric estimators that use cross-validation to estimate nuisance pa- rameters and can be computationally expensive in large datasets. We illustrate potential problems with bootstrapping with replacement when cross-validation is used and extend the cheap bootstrap confidence interval to subsampling without replacement for asymptotically linear estimators. We establish asymp- totically valid coverage with few bootstrap replications when the subsample size is chosen appropriately as a function of the sample size. Empirical experiments demonstrate computational advantages over resampling with replacement and explore the impact of subsample size, sample size, cross-validation and the number of bootstrap repetitions on the performance of the confidence interval. We apply the method to data from the LEADER trial to construct confidence intervals for a longitudinal targeted minimum loss-based estimator.