Repeated Cross-fitting

In AIPW: Augmented Inverse Probability Weighting

knitr::opts_chunk$set(
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Contents:

• Repeated Crossfitting
  • Create an AIPW object
  • Decorate with Repeated
• More Repeatations vs More K-split?

Repeated Cross-fitting

The purpose of repeated cross-fitting is to reduce the variability of estimate based on a specific split of data by summarizing estimates using different splits as suggested by Chernozhukov (2018).

Create an AIPW object

library(AIPW)
library(SuperLearner)
library(ggplot2)
set.seed(123)
data("eager_sim_obs")
cov = c("eligibility","loss_num","age", "time_try_pregnant","BMI","meanAP")

AIPW_SL <- AIPW$new(Y= eager_sim_obs$sim_Y,
                    A= eager_sim_obs$sim_A,
                    W= subset(eager_sim_obs,select=cov), 
                    Q.SL.library = c("SL.glm"),
                    g.SL.library = c("SL.glm"),
                    k_split = 2,
                    verbose=TRUE)$
  fit()$
  summary()

Decorate with Repeated class

# Create a new object from the previous AIPW_SL (Repeated class is an extension of the AIPW class)
repeated_aipw_sl <- Repeated$new(aipw_obj = AIPW_SL)
# Fit repetitively
repeated_aipw_sl$repfit(num_reps = 30, stratified = F)
# Summarise the median estimate, median SE, and the SE of median estimate adjusting for `num_reps` repetitions
repeated_aipw_sl$summary_median()

# Check the distributions of estiamtes from `num_reps` repetitions
s <- repeated_aipw_sl$repeated_estimates
ggplot2::ggplot(ggplot2::aes(x=Estimate),data = s) + ggplot2::geom_histogram(bins = 10) + ggplot2::facet_grid(~Estimand, scales = "free")
ggplot2::ggplot(ggplot2::aes(x=SE),data = s) + ggplot2::geom_histogram(bins = 10) + ggplot2::facet_grid(~Estimand, scales = "free")

More num_reps vs More k-split?

There are several considerations:

1. Computational resources
2. Sample size
3. Complexity of the SuperLearner algorithms

References:

Chernozhukov V, Chetverikov V, Demirer M, et al (2018). Double/debiased machine learning for treatment and structural parameters. The Econometrics Journal.

AIPW documentation built on April 12, 2025, 1:27 a.m.