DR_WCLS_LASSO — DR_WCLS_LASSO • MRTpostInfLASSO

Fit a basic doubly robust weighted centered least squares (DR-WCLS) model with variable selection.

Usage

DR_WCLS_LASSO(
  data,
  fold,
  ID,
  time,
  Ht,
  St,
  At,
  prob,
  outcome,
  method_pseu,
  lam = NULL,
  noise_scale = NULL,
  splitrat = 0.8,
  venv,
  beta = NULL,
  level = 0.9,
  core_num = NULL,
  max_tol = 10^{
-3
 },
  varSelect_program = "Python",
  standardize_x = TRUE,
  standardize_y = TRUE
)

Arguments

data: A data frame with one row per decision time (raw data; no pseudo-outcomes).
fold: Number of folds used when estimating nuisance functions for the pseudo-outcome.
ID: Column name of the participant identifier.
time: Column name of the time-in-study (decision point).
Ht: A vector specifying history features.
St: A vector specifying moderator features.
At: Column name of the treatment indicator.
prob: Column name of the design probability \(p_t(A_t=1 \mid H_t)\).
outcome: Column name of the outcome.
method_pseu: ML method used to estimate nuisance functions for the pseudo-outcome. One of "CVLASSO", "RandomForest", "GradientBoosting".
lam: Penalty value for randomized LASSO; if NULL, a default is used. Default is \(\sqrt{2n* logp} \rho sd(y)\) where \(\rho\) is the split rate and \(n\) is the number of rows.
noise_scale: Gaussian noise added to the objective. Default is \(\sqrt{\frac{1-\rho}{\rho}\, n}\,\mathrm{sd}(y)\) where \(\rho\) is the split rate and \(n\) is the number of rows.
splitrat: Data splitting rate \(\rho\); used only if noise_scale or lam is NULL.
beta: True coefficients (for simulation use only).
level: Confidence level (e.g., 0.90 for a 90% interval).
core_num: Number of cores to use for parallel computation when compute pseudo-outcome.
max_tol: Maximum tolerance for the pivot error. Default \(10^{-3}\).
varSelect_program: "Python" (requires a valid virtualenv_path) or "R".
standardize_x: Logical flag for design matrix standardization, prior to the model selection.
standardize_y: Logical flag for outcome standardization, prior to the model selection.
virtualenv_path: Path to a Python virtual environment (for reticulate) when varSelect_program = "Python".

Value

E: Selected variables.
GEE_est: GEE estimates without adjusting for selection events.
lowCI: lower bound of confidence interval.
upperCI: upper bound of confidence interval.
prop_low: the exact quantile for the lower bound of confidence interval.
prop_up: the exact quantile for the upper bound of confidence interval.
p_value: P-values for selected variables.
post_true: condition on the selection events, the true values for parameter \(\beta_E\) if simulation is conducted and true \(\beta\) values are provided; Otherwise, this value will not be present
true_signal: logical value indicating whether the selected parameter is one of the true signals if simulation is conducted and true \(\beta\) values are provided; Otherwise, this value will not be present

Details

The function generates a pseudo-outcome, performs variable selection, then conducts post-selective inference to obtain valid confidence intervals adjusted for data dependent model selection.

Examples

  sim_data = generate_dataset(N = 1000, T = 40, P = 50, sigma_residual = 1.5, sigma_randint = 1.5, main_rand = 3, rho = 0.7,
  beta_logit = c(-1, 1.6 * rep(1/50, 50)), model = ~ state1 + state2 + state3 + state4,
  beta = matrix(c(-1, 1.7, 1.5, -1.3, -1),ncol = 1),
  theta1 = 0.8)
  Ht = unlist(lapply(1:50, FUN = function(X) paste0("state",X)))
  St = unlist(lapply(1:25, FUN = function(X) paste0("state",X)))

  UI_return = DR_WCLS_LASSO(data = sim_data,
  fold = 5, ID = "id",
  time = "decision_point",
  Ht = Ht, St = St, At = "action",
  prob = "prob", outcome = "outcome",
  method_pseu = "CVLASSO", lam = NULL, noise_scale = NULL, splitrat = 0.7,
  varSelect_program = "R", standardize_x = F, standardize_y = F)
#> Loading required package: parallel
#> [1] "remove 0 lines of data due to NA produced for yDR"
#> [1] "The current lambda value is: 386.494777197391"
#> [1] "select predictors: (Intercept)" "select predictors: state1"     
#> [3] "select predictors: state2"      "select predictors: state3"     
#> [5] "select predictors: state4"     
#> [1] FALSE
#>  [1] "state5"  "state6"  "state7"  "state8"  "state9"  "state10" "state11"
#>  [8] "state12" "state13" "state14" "state15" "state16" "state17" "state18"
#> [15] "state19" "state20" "state21" "state22" "state23" "state24" "state25"
#> Loading required package: dplyr
#> 
#> Attaching package: ‘dplyr’
#> The following objects are masked from ‘package:stats’:
#> 
#>     filter, lag
#> The following objects are masked from ‘package:base’:
#> 
#>     intersect, setdiff, setequal, union