2020/02/13 by Masahiro Kato, Takuya Ishihara, Kato, Masahiro +5 · 6 citations
Decision Sciences · Mathematics · #Advanced Causal Inference Techniques #Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Optimal Experimental Design Methods #Statistical Methods in Clinical Trials
paper · pdf · doi:10.48550/arxiv.2002.05308
openalex publication_date 2020/02/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study how to efficiently estimate average treatment effects (ATEs) using adaptive experiments. In adaptive experiments, experimenters sequentially assign treatments to experimental units while updating treatment assignment probabilities based on past data. We start by defining the efficient treatment-assignment probability, which minimizes the semiparametric efficiency bound for ATE estimation. Our proposed experimental design estimates and uses the efficient treatment-assignment probability to assign treatments. At the end of the proposed design, the experimenter estimates the ATE using a newly proposed Adaptive Augmented Inverse Probability Weighting (A2IPW) estimator. We show that the asymptotic variance of the A2IPW estimator using data from the proposed design achieves the minimized semiparametric efficiency bound. We also analyze the estimator's finite-sample properties and develop nonparametric and nonasymptotic confidence intervals that are valid at any round of the proposed design. These anytime valid confidence intervals allow us to conduct rate-optimal sequential hypothesis testing, allowing for early stopping and reducing necessary sample size.