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Author:

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

Indexed by:

SSCI EI Scopus SCIE

Abstract:

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.

Keyword:

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

Author Community:

  • [ 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

Reprint Author's Address:

  • 李高荣

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

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Source :

COMPUTATIONAL STATISTICS & DATA ANALYSIS

ISSN: 0167-9473

Year: 2019

Volume: 134

Page: 17-35

1 . 8 0 0

JCR@2022

ESI Discipline: MATHEMATICS;

ESI HC Threshold:54

JCR Journal Grade:4

Cited Count:

WoS CC Cited Count: 11

SCOPUS Cited Count: 14

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 6

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