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Targeted Maximum Likelihood Estimation for Prediction Calibration

Author

Listed:
  • Brooks Jordan

    (University of California - Berkeley)

  • van der Laan Mark J.

    (University of California - Berkeley)

  • Go Alan S.

    (Kaiser Permanente Division of Research)

Abstract

Estimators of the conditional expectation, i.e., prediction, function involve a global bias-variance trade off. In some cases, an estimator that yields unbiased estimates of the conditional expectation for a particular partitioning of the data may be desirable. Such estimators are calibrated with respect to the partitioning. We identify the conditional expectation given a particular partitioning as a smooth parameter of the distribution of the data, where the partitioning may be defined on the covariate space or on the prediction space of the estimator. We propose a targeted maximum likelihood estimation (TMLE) procedure that updates an initial prediction estimator such that the updated estimator yields an unbiased and efficient estimator of this smooth parameter in the nonparametric statistical model. When the partitioning is defined on the prediction space of the estimator, our TMLE involves enforcing an implicit constraint on the estimator itself. We show that our resulting estimator of the smooth parameter is equal to the empirical estimator, which is also known to be unbiased and efficient in the nonparametric statistical model. We derive the TMLE for single time-point prediction and also time-dependent prediction in a counting process framework.

Suggested Citation

  • Brooks Jordan & van der Laan Mark J. & Go Alan S., 2012. "Targeted Maximum Likelihood Estimation for Prediction Calibration," The International Journal of Biostatistics, De Gruyter, vol. 8(1), pages 1-35, October.
    • Handle: RePEc:bpj:ijbist:v:8:y:2012:i:1:n:30
    DOI: 10.1515/1557-4679.1385
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    References listed on IDEAS

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    1. van der Laan Mark J. & Gruber Susan, 2010. "Collaborative Double Robust Targeted Maximum Likelihood Estimation," The International Journal of Biostatistics, De Gruyter, vol. 6(1), pages 1-71, May.
    2. van der Laan Mark J. & Dudoit Sandrine & Keles Sunduz, 2004. "Asymptotic Optimality of Likelihood-Based Cross-Validation," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 3(1), pages 1-25, March.
    3. Porter Kristin E. & Gruber Susan & van der Laan Mark J. & Sekhon Jasjeet S., 2011. "The Relative Performance of Targeted Maximum Likelihood Estimators," The International Journal of Biostatistics, De Gruyter, vol. 7(1), pages 1-34, August.
    4. Stitelman Ori M & Wester C. William & De Gruttola Victor & van der Laan Mark J., 2011. "Targeted Maximum Likelihood Estimation of Effect Modification Parameters in Survival Analysis," The International Journal of Biostatistics, De Gruyter, vol. 7(1), pages 1-34, March.
    5. van der Laan Mark J., 2008. "Estimation Based on Case-Control Designs with Known Prevalence Probability," The International Journal of Biostatistics, De Gruyter, vol. 4(1), pages 1-57, September.
    6. van der Laan Mark J. & Rubin Daniel, 2006. "Targeted Maximum Likelihood Learning," The International Journal of Biostatistics, De Gruyter, vol. 2(1), pages 1-40, December.
    7. Tuglus Catherine & van der Laan Mark J., 2011. "Repeated Measures Semiparametric Regression Using Targeted Maximum Likelihood Methodology with Application to Transcription Factor Activity Discovery," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 10(1), pages 1-31, January.
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