气候变化领域集成服务门户(CCPortal): Confidence intervals for policy evaluation in adaptive experiments

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DOI	10.1073/pnas.2014602118
	Confidence intervals for policy evaluation in adaptive experiments
	Hadad V.; Hirshberg D.A.; Zhan R.; Wager S.; Athey S.
发表日期	2021
ISSN	00278424
卷号	118 期号:15
英文摘要	Adaptive experimental designs can dramatically improve efficiency in randomized trials. But with adaptively collected data, common estimators based on sample means and inverse propensity-weighted means can be biased or heavy-tailed. This poses statistical challenges, in particular when the experimenter would like to test hypotheses about parameters that were not targeted by the data-collection mechanism. In this paper, we present a class of test statistics that can handle these challenges. Our approach is to adaptively reweight the terms of an augmented inverse propensity-weighting estimator to control the contribution of each term to the estimator's variance. This scheme reduces overall variance and yields an asymptotically normal test statistic. We validate the accuracy of the resulting estimates and their CIs in numerical experiments and show that our methods compare favorably to existing alternatives in terms of mean squared error, coverage, and CI size. © 2021 National Academy of Sciences. All rights reserved.
英文关键词	Adaptive experimentation; Central limit theorem; Frequentist inference; Multiarmed bandits; Policy evaluation
语种	英语
scopus关键词	article; human
来源期刊	Proceedings of the National Academy of Sciences of the United States of America
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/179867
作者单位	Stanford Graduate School of Business, Stanford University, Stanford, CA 94305, United States; Institute for Computational and Mathematical Engineering, Stanford University, Stanford, CA 94305, United States
推荐引用方式 GB/T 7714	Hadad V.,Hirshberg D.A.,Zhan R.,et al. Confidence intervals for policy evaluation in adaptive experiments[J],2021,118(15).
APA	Hadad V.,Hirshberg D.A.,Zhan R.,Wager S.,&Athey S..(2021).Confidence intervals for policy evaluation in adaptive experiments.Proceedings of the National Academy of Sciences of the United States of America,118(15).
MLA	Hadad V.,et al."Confidence intervals for policy evaluation in adaptive experiments".Proceedings of the National Academy of Sciences of the United States of America 118.15(2021).