Stabilized Higher-Order Influence Functions: Statistical Theory of a Class of Bilinear Forms

Abstract

Higher-order influence functions, introduced in a series of articles (Robins et al., 2008, 2009a; van der Vaart, 2014; Robins et al., 2016, 2023; Liu et al., 2017), are a unified framework for constructing rate-optimal point estimates of a class of statistical functionals under various complexity-reducing assumptions on the posited statistical model that generates the observed data. Although higher-order (influence functions) estimators are theoretically appealing, they have very limited practical uptake compared to their first-order counterparts. The original higher-order estimators proposed in Robins et al. (2008) and Robins et al. (2017) involve nonparametric density estimation of multi-dimensional covariates, a highly nontrivial statistical and computational problem on its own. The density estimator is, in turn, used in the evaluation of the inverse population Gram matrix $\hat{I}\text{c◯}$ of a set of $k$-dimensional basis transformations of covariates. There, $k$ is allowed to be as large as $o(n^2)$. To partially address this potential shortcoming, Liu et al. (2017) restrict $k$ to $o(n)$ and instead estimate $\hat{I}\text{c◯}$ directly using the inverse sample Gram matrix estimator, but computed from an independent sample often obtained by sample-splitting. Liu et al. (2017) refer to this alternative estimator as the empirical higher-order estimator. Although the empirical higher-order estimator bypasses density estimation, it suffers from numerical instability due to inverting a large-dimensional sample Gram matrix. In this article, for a class of bilinear forms/functionals that often appear in substantive fields, we propose a new stabilized higher-order estimator without sample splitting, which exhibits more stable finite-sample performance compared to the empirical higher-order estimator. We also prove that this new class of higher-order estimators enjoys similar statistical guarantees.

This paper improves and supersedes a previous draft by the second and last authors: arXiv:2302.08097