One-step estimator Created 2026-09-28 Updated 2026-11-05
A one-step estimator starts with an initial estimator and applies one correction derived from an estimated influence function:The correction aims to remove the leading discrepancy between the initial answer and the desired parameter. For the mean, use . Then the corrected answer is exactly the sample mean, whatever initial value was chosen.
For a smooth estimating equation with empirical average and nonsingular Jacobian matrix , one Newton method step is . Its correction has the same form with . An asymptotic linear representation follows only when the initial error, derivative approximation and remaining terms are sufficiently controlled. The formula alone is not a general guarantee of improved accuracy.
Past exam of the mathematics course of the University of Cambridge 2023 iii Paper 221 2 iii Solution 2026-09-28
Estimate the propensity score and the untreated outcome regression , preferably with cross-fitting when flexible methods are used, and setWith , the resulting one-step estimator of the ATT isEquivalently,This is an augmented inverse-probability-weighted estimator; it is consistent when either the propensity model or the untreated outcome model is correct, subject to the usual regularity and positivity conditions.