MestimThis vignette serves as a short introduction to computing the variance-covariance matrix of a multidimensional parameter using M-estimation and the empirical sandwich variance.
Denoting \(F\) a probability distribution, a \(p\)-dimensional M-estimator of \(\psi\)-type \(T\) solves the vector equation \[\int_\mathcal{Z}\psi\big(z, T(F)\big)dF(z)=\boldsymbol{0}.\] In practice, this means that the estimator \(T\) has an unbiased estimating function \(\psi(z,\theta)=\{\psi_1(z,\theta), \ldots, \psi_p(z,\theta)\}^T\) with solution \(\hat{\theta}~(p\times 1)\) solving in \(\theta\) the \((p\times 1)\) set of “stacked” estimating equations given by \[ \sum_{i=1}^{n}\psi(Z_i,\theta)=\boldsymbol{0}.\] For a \(\psi\)-type M-estimator \(T\) with estimate \(\hat{\theta}\), under suitable regularity conditions for \(\psi\), the central limit theorem and Slutsky’s theorem yield \[\sqrt{n}\big(\hat{\theta}-T(F)\big)\xrightarrow{\mathcal{D}}\mathcal{N}\big(0, \Sigma)\] where \[\Sigma=\Bigg[\mathbb{E}\bigg\{\frac{\partial \psi\big(Z,T(F)\big) }{\partial\theta^T}\bigg\}\Bigg]^{-1}\mathbb{E}\Big\{ \psi\big(Z,T(F)\big) \psi^T\big(Z,T(F)\big)\Big\}\Bigg[\mathbb{E}\bigg\{\frac{\partial \psi\big(Z,T(F)\big) }{\partial\theta^T}\bigg\}\Bigg]^{-T}.\] This implies that the \(p\)-dimensional M-estimator \(\hat{\theta}\) is an asymptotically normal, \(\sqrt{n}\)-consistent, estimator for \(T(F)\). See Boos and Stefanski (2013) for a full introduction to M-estimation.
Mestim doesProvided with observed data \((Z_i)_{1≤i≤n}\), a \(p\)-dimensional vector of estimates \(\hat{\theta}\) and a \((p\times 1)\) unbiased estimating function \(\psi\), the Mestim package computes the sandwich formula \[\hat{\Sigma}=\Bigg[n^{-1}\sum_{i=1}^n\bigg\{\frac{\partial \psi\big(Z_i,\hat{\theta}\big) }{\partial\theta^T}\bigg\}\Bigg]^{-1}
n^{-1}\sum_{i=1}^n\Big\{ \psi\big(Z_i,\hat{\theta}\big) \psi^T\big(Z_i,\hat{\theta}\big)\Big\}
\Bigg[n^{-1}\sum_{i=1}^n\bigg\{\frac{\partial \psi\big(Z_i,\hat{\theta}\big) }{\partial\theta^T}\bigg\}\Bigg]^{-T}.\] The estimated asymptotic variance-covariance matrix of \(\hat{\theta}\) is \(n^{-1} \hat{\Sigma}\), and so, we have \[\hat{\theta} \mathrel{\dot\sim} \mathcal{N}\big(0, n^{-1} \hat{\Sigma}).\] Under the hood, Mestim algorithmically computes the Jacobian matrix of \(\psi\); derivatives and outer products in \(\hat{\Sigma}\) are then computed in parallel. To compute the asymptotic variance-covariance matrix, the analyst thus only need to provide a list detailing the “stacked” estimating functions in \(\psi\). Below, we give examples of growing complexity to illustrate how Mestim can leverage the flexibility of M-estimation theory to calculate asymptotic standard errors (and confidence intervals) for parameter estimates \(\hat{\theta}\).
Let’s try to compute the asymptotic standard errors of estimated parameters in a logistic regression model. This simple example serves to get familiar with Mestim commands.
Here we use \[X_1 \sim \mathcal{N}(0,1)\] \[X_2 \sim \mathcal{N}(0,3)\] \[Y|X \sim \mathcal{B}\Big(\text{expit}(\beta_1^{0}X_1+\beta_2^{0}X_2)\Big)\] with \(\beta_1^{0}=4\), \(\beta_2^{0}=6\).
NB: We use superscript \(^{0}\) to denote true values of the parameters.
gen_lr_dat <- function(n, seed=123)
{
set.seed(seed)
X_1 <- rnorm(n, sd = 1); X_2 <- rnorm(n, sd = 3) # generate x_1 and x_2
true_betas <- c(4,5) # generate true parameters
X <- model.matrix(~-1+X_1+X_2) # build the design matrix
Y <- rbinom(n, 1, 1/(1 + exp(-X %*% true_betas)) ) # generate Y from X and true_betas
dat <- data.frame(X_1=X_1, X_2=X_2, Y=Y) # build a simulated dataset
return(dat)
}dat <- gen_lr_dat(5000)
head(dat)## X_1 X_2 Y
## 1 -0.56047565 -1.482522 0
## 2 -0.23017749 3.382780 1
## 3 1.55870831 -3.440849 0
## 4 0.07050839 4.443056 1
## 5 0.12928774 2.748574 1
## 6 1.71506499 1.005393 1Let’s fit a logistic regression model and put the estimated parameters in a list.
mod <- glm(Y~-1 + X_1 + X_2, data=dat, family = "binomial")
thetas_hat <- list(thetas_1=coef(mod)[1], thetas_2=coef(mod)[2])Recall that the estimated parameters \(\hat{\theta}=(\hat{\theta}_1, \hat{\theta}_2)^T\) from this logistic regression model jointly solve \[\sum_{i=1}^{n}\bigg(\Big[1+\exp\big\{-{(\theta_1X_{1,i}+\theta_2X_{2,i})\big\}\Big]^{-1}}-Y_i\bigg)X_{1,i} =0\] and \[\sum_{i=1}^{n}\bigg(\Big[1+\exp\big\{-{(\theta_1X_{1,i}+\theta_2X_{2,i})\big\}\Big]^{-1}}-Y_i\bigg)X_{2,i} =0.\] Therefore, we can identify \[\psi_1(Z_i,\theta_1)=\bigg(\Big[1+\exp\big\{-{(\theta_1X_{1,i}+\theta_2X_{2,i})\big\}\Big]^{-1}}-Y_i\bigg)X_{1,i}\] and \[\psi_2(Z_i,\theta_1)=\bigg(\Big[1+\exp\big\{-{(\theta_1X_{1,i}+\theta_2X_{2,i})\big\}\Big]^{-1}}-Y_i\bigg)X_{2,i}.\] With that in mind, let’s build a list for the unbiased estimating function \(\psi(z,\theta)=\Big(\psi_1(z,\theta_1), \psi_2(z,\theta_2)\Big)^T\).
psi_1 <- expression( ((1/(1+exp(-(thetas_1 * X_1 + thetas_2 * X_2)))) - Y) * X_1 )
psi_2 <- expression( ((1/(1+exp(-(thetas_1 * X_1 + thetas_2 * X_2)))) - Y) * X_2 )
psi <- list(psi_1, psi_2)NB: parameters’ names (here thetas_1 and thetas_2) must be consistent with the previous list.
We are finally ready to pass these arguments to the get_vcov function form the Mestim package.
library(Mestim)
res <- get_vcov(data=dat, thetas=thetas_hat, M=psi)You can obtain the variance-covariance matrix from a get_vcov result as follows
res$vcov## thetas_1 thetas_2
## thetas_1 0.05239025 0.05366863
## thetas_2 0.05366863 0.06795271get_vcov is similar to that of glm.
vcov(mod)## X_1 X_2
## X_1 0.05698408 0.06143937
## X_2 0.06143937 0.07963092res$vcov.
Asymptotic standard errors are square root of the diagonal elements from the estimated variance-covariance matrix. These are stored in the se attribute.
res$se## thetas_1 thetas_2
## 0.2288892 0.2606774Let’s generate synthetic observational data with treatment allocation \(A\), continuous outcome \(Y\) and a single confounder \(X\) such that \(Z=(X,A,Y)^T\).
Here we use \[X \sim \mathcal{N}(0,1)\] \[A|X \sim \mathcal{B}\Big(\text{expit}(2X)\Big)\] \[\epsilon \sim \mathcal{N}(0,20)\] \[Y|X,\epsilon = \gamma_1^{0} X + \gamma_2^{0} A + \gamma_3^{0} AX + \epsilon\] with \(\gamma_1^{0}=4\), \(\gamma_2^{0}=3\), and \(\gamma_3^{0}=2\).
NB: We use superscript \(^{0}\) to denote true values of the parameters.
gen_obs_dat <- function(n, seed=123)
{
set.seed(seed)
X <- rnorm(n) # generate X
A <- rbinom(n, 1, 1/(1 + exp(- 2 * X)) ) # generate treatment allocation A
X_mat <- model.matrix(~ -1 + X + A + A:X) # build the design matrix
true_gammas <- c(4,3,2)
epsi <- rnorm(n,0,20) # generate gaussian noise
Y <- (X_mat %*% true_gammas) + epsi # generate observed outcomes
dat <- data.frame(X=X, A=A, Y=Y) # build a simulated dataset
return(dat)
}dat <- gen_obs_dat(5000)
head(dat)## X A Y
## 1 -0.56047565 0 4.758148
## 2 -0.23017749 0 15.368124
## 3 1.55870831 1 2.018927
## 4 0.07050839 1 -50.422238
## 5 0.12928774 1 -18.163366
## 6 1.71506499 1 -11.819112In this example, the goal is to calculate standard errors for the outcome regression average causal effect estimator \[\hat{\delta}=n^{-1}\sum_{i=1}^n\mathbb{\hat{E}}(Y|X=X_i, A=1)-\mathbb{\hat{E}}(Y|X=X_i, A=0).\]
For \(\mathbb{E}(Y|X, A)\), let’s specify the regression model \(m(X, A;\boldsymbol{\gamma})=\gamma_1X + \gamma_2A + \gamma_3AX\) and store the estimated parameters.
m <- lm(Y~ -1 + X + A + A:X, data = dat)
gamma_1_hat <- coef(m)[1]
gamma_2_hat <- coef(m)[2]
gamma_3_hat <- coef(m)[3]Recall that the estimated parameters \(\hat{\boldsymbol{\gamma}}=(\hat{\gamma}_1,\hat{\gamma}_2,\hat{\gamma}_3)^T\) from this linear regression model jointly solve \[\sum_{i=1}^n (Y_i-\gamma_1X_i - \gamma_2A_i - \gamma_3A_iX_i)X_i=0,\] \[\sum_{i=1}^n (Y_i-\gamma_1X_i - \gamma_2A_i - \gamma_3A_iX_i)A_i=0,\] \[\sum_{i=1}^n (Y_i-\gamma_1X_i - \gamma_2A_i - \gamma_3A_iX_i)A_iX_i=0.\] Disregarding the summation sign, we can straightforwardly identify the three first elements of the estimating function \(\psi(z,\theta)\). Before building a list detailing the function \(\psi\), we need to identify the estimating function of our main parameter of interest \(\delta.\) To do so, recall that we can estimate \(\delta\) as \[\hat{\delta}=n^{-1}\sum_{i=1}^nm(X_i,1;\hat{\boldsymbol{\gamma}})-m(X_i,0;\hat{\boldsymbol{\gamma}}) \\ =n^{-1}\sum_{i=1}^n\{\hat{\gamma}_1+ \hat{\gamma}_2 \times 1 +\hat{\gamma}_3 \times 1 \times X_i\} - \{\hat{\gamma}_1+ \hat{\gamma}_2 \times 0 +\hat{\gamma}_3 \times 0 \times X_i\} \\ =n^{-1}\sum_{i=1}^n \hat{\gamma}_2 +\hat{\gamma}_3 X_i. \] Let’s first compute it.
delta_hat <- mean(gamma_2_hat + gamma_3_hat*dat$X)Note that rearranging the last equality we have \[\sum_{i=1}^n \hat{\gamma}_2 +\hat{\gamma}_3 X_i - \hat{\delta} = 0\] which straightforwardly yields the last element of the estimating function \(\psi(z,\theta)\). Disregarding the summation sign yields the last estimating function which we can now “stack” with the previous ones. Let’s now build a list detailing the full function \(\psi(z,\theta)\).
psi_1 <- expression( (Y - gamma_1*X - gamma_2*A - gamma_3*A*X) * X )
psi_2 <- expression( (Y - gamma_1*X - gamma_2*A - gamma_3*A*X) * A )
psi_3 <- expression( (Y - gamma_1*X - gamma_2*A - gamma_3*A*X) * A*X )
psi_4 <- expression( gamma_2 + gamma_3 * X - delta )
psi <- list(psi_1, psi_2, psi_3, psi_4)Let’s also store all the estimated parameters \(\hat{\theta}=(\hat{\gamma}_1,\hat{\gamma}_2,\hat{\gamma}_3,\hat{\delta})^T\) in a list.
thetas_hat <- list(gamma_1=gamma_1_hat,
gamma_2=gamma_2_hat,
gamma_3=gamma_3_hat,
delta=delta_hat)Let’s pass the relevant arguments to get_vcov and check results for the variance-covariance matrix.
res <- get_vcov(data=dat, thetas=thetas_hat, M=psi)
res$vcov## gamma_1 gamma_2 gamma_3 delta
## gamma_1 1.686258e-01 -5.116353e-17 -0.1686258 2.291608e-05
## gamma_2 -4.167777e-17 2.510135e-01 -0.1497095 2.509786e-01
## gamma_3 -1.686258e-01 -1.497095e-01 0.4228791 -1.496732e-01
## delta 2.291608e-05 2.509786e-01 -0.1496732 2.512757e-01boot_fun <- function(d, i=1:nrow(d)) {
z<-d[i,]
mod <- lm(Y~ -1 + X + A + A:X, data = z)
gamma_1_hat <- coef(mod)[1]
gamma_2_hat <- coef(mod)[2]
gamma_3_hat <- coef(mod)[3]
delta_hat <- mean(gamma_2_hat*1 + gamma_3_hat*1*z$X)
return( c(gamma_1_hat, gamma_2_hat, gamma_3_hat, delta_hat) )
}
boot_start_time <- Sys.time()
res_boot <- boot::boot(dat, boot_fun, R=999)
boot_end_time <- Sys.time()
paste("Bootstrapping took", round(as.numeric(boot_end_time - boot_start_time), 2), "seconds.")## [1] "Bootstrapping took 3.33 seconds."## [,1] [,2] [,3] [,4]
## [1,] 0.166959339 -0.00255421 -0.1636470 -0.002452947
## [2,] -0.002554210 0.24003558 -0.1433816 0.240057058
## [3,] -0.163647006 -0.14338163 0.4128908 -0.143436074
## [4,] -0.002452947 0.24005706 -0.1434361 0.240449603This is pretty close to the results in res$vcov that we obtained 52.1 times faster with Mestim.
Let’s generate synthetic observational data for dynamic clinical decisions. We note \(S_t\) the observed state at time \(t\), \(A_t\) the binary action taken at time \(t\), and \(Y\) the terminal outcome for the sequence where higher values indicate worse disease symptoms. For illustrative purpose, we consider only \(T=2\) decision points so that we have data \(Z=(S_1,A_1,S_2,A_2,Y)^T.\)
The data are generated via the following hidden Markov process, where we only get to observe \(S_t\), which is a noisy version of the underlying state \(X_t\): \[X_1 \sim \mathcal{N}(0,0.1)\] \[X_{t+1}|X_t, A_t \sim \mathbf{1}_{X_t>0} \mathcal{N}(1.1X_t - 0.5A_t, 0.05) + \mathbf{1}_{X_t<0}X_t\] \[S_t|X_t \sim \mathcal{N}(X_t,0.1)\] \[A_1|S_1 \sim \mathcal{B}\Big(\text{expit}(-0.1+\log S_t)\Big)\] \[A_2|S_2,A_1 \sim \mathcal{B}\Big(\text{expit}(0.1+\log S_t + 3A_1)\Big)\]
\[Y|X_3,A_2,A_1 \sim \text{exp}\Bigg(\mathcal{N}\Big(X_3 + \lambda(A_2+A_1),0.1\Big)\Bigg).\] We consider that receiving treatment actions has a side effect penalty of \(\lambda=0.1\).
gen_dtr_dat <- function(n, seed=456)
{
set.seed(seed)
expit <- function(x) 1/(1+exp(-x))
X_1 <- rnorm(n, sd=.1)
S_1 <- exp(rnorm(n, mean = X_1, sd = .1))
A_1 <- rbinom(n, size = 1, prob = expit(-.1+log(S_1)))
X_2 <- (X_1>0) * rnorm(n, mean = 1.1*X_1 - .5 * A_1, sd=.05) + (X_1<0) * X_1
S_2 <- exp(rnorm(n, mean = X_2, sd = .1))
A_2 <- rbinom(n, size = 1, prob = expit(.1+log(S_2)+3*A_1))
X_3 <- (X_2>0) * rnorm(n, mean = 1.1*X_2 - .5 * A_2, sd=.05) + (X_2<0) * X_2
Y <- exp(rnorm(n, mean = X_3 + .1*(A_1 + A_2), sd = .1)) #0.1 penalty for treating
dat <- data.frame(S_1=S_1, A_1=A_1, S_2=S_2, A_2=A_2, Y)
return(dat)
}dat <- gen_dtr_dat(5000)
head(dat)## S_1 A_1 S_2 A_2 Y
## 1 0.8402181 1 0.9292966 1 1.046362
## 2 1.0033476 0 1.0623962 0 1.024897
## 3 1.0889107 0 1.0687287 0 1.152630
## 4 0.8716224 1 0.8938716 1 1.069209
## 5 0.9743708 1 0.9324451 1 1.189594
## 6 1.0222173 1 0.9174528 1 1.195341Given any treatment action regime \(d=\{d_1,\ldots, d_T\}^T\), an estimator for \(\mathbb{E}_{Z\sim d}(Y)\) is \[\begin{equation} \hat{\mathcal{V}}_{IPW}(d)=n^{-1}\sum_{i=1}^nY_i\prod_{t=1}^T\frac{\mathbf{1}\big({d_t(H_{t,i})=A_{t,i}}\big)}{\hat{e}_t(H_{t,i})^{d_t(H_{t,i})}\big\{1-\hat{e}_t(H_{t,i})\big\}^{1-d_t(H_{t,i})} } \quad \quad (1) \end{equation}\]
where we use the history notation \(H_t=(S_{t},A_{t-1},S_{t-1}, \ldots,S_{1})^T\) and write the relevant generalization of the propensity score as \(e_t(H_t)=\mathbb{E}(A_{t}|H_t)\) for clarity.
In this example we consider the regime \(\tilde{d}(Z)=\{\tilde{d}_1(H_1)=\mathbf{1}_{S_1>1},\tilde{d}_2(H_2)=\mathbf{1}_{S_2>1}\}^T\). The goal is to calculate standard errors for \(\hat{\mathcal{V}}_{IPW}(\tilde{d})\). As \(T=2\), we need specify models for \(e_1(H_1)\) and \(e_2(H_2)\). Let’s specify the parametric regression models \[e_1(H_1;\boldsymbol{\delta})=\text{expit}\big(\delta_1+\delta_2\log S_1)\] and \[e_2(H_2;\boldsymbol{\phi})=\text{expit}\big(\phi_1+\phi_2\log S_2 +\phi_3A_1).\] We fit and store the estimated parameters as follows.
e_1 <- glm(A_1~I(log(S_1)), data=dat, family = "binomial")
delta_1_hat <- coef(e_1)[1]
delta_2_hat <- coef(e_1)[2]
e_2 <- glm(A_2~I(log(S_2)) + A_1 , data=dat, family = "binomial")
phi_1_hat <- coef(e_2)[1]
phi_2_hat <- coef(e_2)[2]
phi_3_hat <- coef(e_2)[3]As in example 1, recall that for \(e_1\) the estimated parameters \(\hat{\boldsymbol{\delta}}=(\hat{\delta}_1, \hat{\delta}_2)^T\) jointly solve \[\sum_{i=1}^{n}\Big[1+\exp\big\{-{(\delta_1+\delta_2 \log S_{1,i})\big\}\Big]^{-1}}-A_{1,i} =0,\] \[\sum_{i=1}^{n}\bigg(\Big[1+\exp\big\{-{(\delta_1+\delta_2 \log S_{1,i})\big\}\Big]^{-1}}-A_{1,i}\bigg) \log S_{1,i}=0.\] Similarly for \(e_2\) the estimated parameters \(\hat{\boldsymbol{\phi}}=(\hat{\phi}_1, \hat{\phi}_2, \hat{\phi}_3)^T\) jointly solve \[\sum_{i=1}^{n}\Big[1+\exp\big\{-{(\phi_1+\phi_2 \log S_{2,i}+\phi_3 A_{1,i})\big\}\Big]^{-1}}-A_{2,i} =0,\] \[\sum_{i=1}^{n}\bigg(\Big[1+\exp\big\{-{(\phi_1+\phi_2 \log S_{2,i}+\phi_3 A_{1,i})\big\}\Big]^{-1}}-A_{2,i}\bigg) \log S_{2,i}=0,\] \[\sum_{i=1}^{n}\bigg(\Big[1+\exp\big\{-{(\phi_1+\phi_2 \log S_{2,i}+\phi_3 A_{1,i})\big\}\Big]^{-1}}-A_{2,i}\bigg) A_{1,i}=0.\]
Disregarding the summation sign, we can straightforwardly identify the five first elements of the estimating function \(\psi(z,\theta)\). Let’s store them before building our final list for \(\psi\).
Note that for programming convenience, we recommend to store all relevant variable transformations as columns in the original dataframe.
dat$log_S_1 <- log(dat$S_1) ; dat$log_S_2 <- log(dat$S_2) # For ease of programming
psi_1 <- expression( ((1/(1+exp(-(delta_1 + delta_2 * log_S_1)))) - A_1) * 1 )
psi_2 <- expression( ((1/(1+exp(-(delta_1 + delta_2 * log_S_1)))) - A_1) * log_S_1)
psi_3 <- expression( ((1/(1+exp(-(phi_1 + phi_2 * log_S_2 + phi_3 * A_1)))) - A_2) * 1 )
psi_4 <- expression( ((1/(1+exp(-(phi_1 + phi_2 * log_S_2 + phi_3 * A_1)))) - A_2) * log_S_2)
psi_5 <- expression( ((1/(1+exp(-(phi_1 + phi_2 * log_S_2 + phi_3 * A_1)))) - A_2) * A_1)To obtain the last element of \(\psi\), we need to do algebraic manipulations. Denoting \(\mathcal{C}_{\tilde{d}, i}=\prod_{t=1}^2\mathbf{1}\big({\tilde{d}_t(H_{t,i})=A_{t,i}}\big)\) for simplicity, after substitution for \(\hat{e}_1(H_1;\boldsymbol{\hat{\delta}})\) and \(\hat{e}_2(H_2;\boldsymbol{\hat{\phi}})\), equation \((1)\) yields \[\begin{equation} \hat{\mathcal{V}}_{IPW}(\tilde{d})=\\ n^{-1}\sum_{i=1}^nY_i\mathcal{C}_{\tilde{d}, i} \frac{\Big[1+\exp\big\{-(\delta_1+\delta_2 \log S_{1,i})\big\}\Big]^{\tilde{d}_1(S_{1,i})} \Big[1+\exp\big\{-(\phi_1+\phi_2 \log S_{2,i}+\phi_3 A_{1,i})\big\}\Big]^{\tilde{d}_2(S_{2,i})}} {\bigg(1-\Big[1+\exp\big\{-(\delta_1+\delta_2 \log S_{1,i})\big\}\Big]^{-1}\bigg)^{1-\tilde{d}_1(S_{1,i})}\bigg(1-\Big[1+\exp\big\{-(\phi_1+\phi_2 \log S_{2,i}+\phi_3 A_{1,i})\big\}\Big]^{-1}\bigg)^{1-\tilde{d}_2(S_{2,i})}}. \end{equation}\]
Rearrangements of the equation above yield \[\begin{equation} \sum_{i=1}^nY_i\mathcal{C}_{\tilde{d}, i} \frac{\Big[1+\exp\big\{-(\delta_1+\delta_2 \log S_{1,i})\big\}\Big]^{\tilde{d}_1(S_{1,i})} \Big[1+\exp\big\{-(\phi_1+\phi_2 \log S_{2,i}+\phi_3 A_{1,i})\big\}\Big]^{\tilde{d}_2(S_{2,i})}} {\bigg(1-\Big[1+\exp\big\{-(\delta_1+\delta_2 \log S_{1,i})\big\}\Big]^{-1}\bigg)^{1-\tilde{d}_1(S_{1,i})}\bigg(1-\Big[1+\exp\big\{-(\phi_1+\phi_2 \log S_{2,i}+\phi_3 A_{1,i})\big\}\Big]^{-1}\bigg)^{1-\tilde{d}_2(S_{2,i})}} \\ -\hat{\mathcal{V}}_{IPW}(\tilde{d})=0. \end{equation}\] We can now straightforwardly identify and store the last elements of the estimating function \(\psi\).
# The regime we are interested in
dat$d_1 <- dat$S_1>1
dat$d_2 <- dat$S_2>1
# For ease of programming
dat$C_d <- with(dat, d_1==A_1 & d_2==A_2)
# Store the last element of psi
psi_6 <- expression( Y * C_d *
( (1+exp(-(delta_1 + delta_2 * log_S_1)))^d_1 * # numerator
(1+exp(-(phi_1 + phi_2 * log_S_2 + phi_3 * A_1)))^d_2 )
/ ( (1-(1+exp(-(delta_1 + delta_2 * log_S_1)))^(-1))^(1-d_1) * # denominator
(1-(1+exp(-(phi_1 + phi_2 * log_S_2 + phi_3 * A_1)))^(-1))^(1-d_2) )
- V
)Let’s now build a list detailing the full function \(\psi(z,\theta)\).
psi <- list(psi_1, psi_2, psi_3, psi_4, psi_5, psi_6)Now, let’s compute \(\hat{\mathcal{V}}_{IPW}(\tilde{d})\) and stack it in a list of all the estimated parameters \(\hat{\theta}=\Big(\hat{\delta}_1,\hat{\delta}_2,\hat{\phi}_1,\hat{\phi}_2,\hat{\phi}_3, \hat{\mathcal{V}}_{IPW}(\tilde{d})\Big)^T\).
For simplicity in computing \(\hat{\mathcal{V}}_{IPW}(\tilde{d})\), we recommend to use a slightly modified version of psi_6 as follows.
# Just delete "- V" from in the previous expression
# add _hat as appropriate
ipw_estimator <- expression( Y * C_d *
( (1+exp(-(delta_1_hat + delta_2_hat * log_S_1)))^d_1 * # numerator
(1+exp(-(phi_1_hat + phi_2_hat * log_S_2 + phi_3_hat * A_1)))^d_2 )
/ ( (1-(1+exp(-(delta_1_hat + delta_2_hat * log_S_1)))^(-1))^(1-d_1) * # denominator
(1-(1+exp(-(phi_1_hat + phi_2_hat * log_S_2 + phi_3_hat * A_1)))^(-1))^(1-d_2) )
)
# Compute individual contribution and take the average
V_hat <- with(dat, mean(eval(ipw_estimator))) # Other ways to compute this quantity are OK too.
thetas_hat <- list(delta_1=delta_1_hat,
delta_2=delta_2_hat,
phi_1=phi_1_hat,
phi_2=phi_2_hat,
phi_3=phi_3_hat,
V=V_hat)Let’s pass the relevant arguments to get_vcov and check results for the standard errors.
res <- get_vcov(data=dat, thetas=thetas_hat, M=psi)
res$se## delta_1 delta_2 phi_1 phi_2 phi_3 V
## 0.02836275 0.19963843 0.03921097 0.22778301 0.12032851 0.03641272boot_fun <- function(d, i=1:nrow(d)) {
z<-d[i,]
e_1 <- glm(A_1~I(log(S_1)), data=z, family = "binomial")
e_2 <- glm(A_2~I(log(S_2)) + A_1 , data=z, family = "binomial")
delta_1_hat <- coef(e_1)[1]
delta_2_hat <- coef(e_1)[2]
phi_1_hat <- coef(e_2)[1]
phi_2_hat <- coef(e_2)[2]
phi_3_hat <- coef(e_2)[3]
ipw_estimator <- expression( z$Y * z$C_d *
( (1+exp(-(delta_1_hat + delta_2_hat * z$log_S_1)))^z$d_1 * # numerator
(1+exp(-(phi_1_hat + phi_2_hat * z$log_S_2 + phi_3_hat * z$A_1)))^z$d_2 )
/ ( (1-(1+exp(-(delta_1_hat + delta_2_hat * z$log_S_1)))^(-1))^(1-z$d_1) * # denominator
(1-(1+exp(-(phi_1_hat + phi_2_hat * z$log_S_2 + phi_3_hat * z$A_1)))^(-1))^(1-z$d_2) )
)
V_hat <- mean(eval(ipw_estimator))
return( c(delta_1_hat, delta_2_hat, phi_1_hat, phi_2_hat, phi_3_hat, V_hat) )
}
boot_start_time <- Sys.time()
res_boot <- boot::boot(dat, boot_fun, R=999)
boot_end_time <- Sys.time()
paste("Bootstrapping took", round(as.numeric(boot_end_time - boot_start_time), 2), "seconds.")## [1] "Bootstrapping took 18.06 seconds."##
## ORDINARY NONPARAMETRIC BOOTSTRAP
##
##
## Call:
## boot::boot(data = dat, statistic = boot_fun, R = 999)
##
##
## Bootstrap Statistics :
## original bias std. error
## t1* -0.10641382 -0.0002500751 0.02843059
## t2* 0.65733524 0.0080253525 0.20518095
## t3* 0.07486354 0.0005029474 0.03972660
## t4* 1.22872312 -0.0066237516 0.23196144
## t5* 3.12746280 0.0087706975 0.12208167
## t6* 0.83983316 0.0021767814 0.03644645This is pretty close to the results in res$se that we obtained 206.7 times faster with Mestim.
Boos, D. D. and Stefanski, L. (2013). Essential Statistical Inference. Springer, New York. https://doi.org/10.1007/978-1-4614-4818-1.
Tsiatis, A. A., Davidian, M., Holloway, S. T. & Laber, E. B. (2019), Dynamic Treatment Regimes: Statistical Methods for Precision Medicine, CRC Press. https://doi.org/10.1201/9780429192692.