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Nearly Minimax Rates for Functional Estimation Under Rough Random Design

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Abstract

We establish nearly minimax bounds for missing-at-random means, treatment effects, and expected conditional covariances under rough random design. For two nuisance functions with average Hölder smoothness ss in dimension dd, the minimax root-mean-square error is n−2s/d+o(1)n^{-2s/d+o(1)} when s<d/4s<d/4 and of order n−1/2n^{-1/2} when s≥d/4s\ge d/4. The first rate confirms the rough-design exponent suggested by higher-order influence function theory. In the generic model with an unknown bounded density weight, our upper and lower bounds differ by only polylogarithmic factors and identify a leading correction e−κlog⁡ne^{-\kappa\sqrt{\log n}} when s<d/4s<d/4, with κ\kappa explicit in terms of s/ds/d and the weight bounds. For the expected conditional covariance, the same exponent and the same constant κ\kappa were obtained independently and concurrently by S. Park (arXiv:2610.05006). For models with separately bounded density and propensity, we identify the same polynomial exponent and the explicit leading correction, with an o(log⁡n)o(\sqrt{\log n}) remainder in the logarithm of the risk.

Authors’ Note

This paper was written by the authors with the assistance of large language models, which were used to suggest mathematical arguments, draft and revise exposition, and write code for computational verification. We have taken care to supervise this writing to ensure that the proofs meet a minimum standard of readability and that previous literature is appropriately cited. However, the resulting document remains lacking in exposition and overall coherence. We are nonetheless releasing this manuscript on Hexagon to disseminate the result as quickly as possible, because we believe it may be of interest to the statistics community. We welcome suggestions concerning mathematical corrections, omitted citations, and attribution of ideas.

P.L. was partially supported by NSF grant DMS-2450004.

Introduction

Background

Missing-data means, average treatment effects, and expected conditional covariances under random design are averages over the covariate distribution of functions of regressions given the covariates. Their estimation rates depend on what is known about both the regressions and the covariate distribution. In missing-response problems, Robins and Ritov [50] showed that attainable rates depend on what is known about the nuisance functions. We study rough design, in which the covariate density is unknown and subject only to fixed upper and lower bounds, while the regressions are assumed smooth. We show that below the root-nn threshold, rough design reduces the minimax polynomial exponent from 4s/(4s+d)4s/(4s+d) for a known or sufficiently smooth density to 2s/d2s/d, where ss is the average smoothness of the two nuisance functions and dd is the covariate dimension. The threshold s=d/4s=d/4 itself is unchanged.

For a missing-data mean, let α\alpha and β\beta be the Hölder smoothness indices of the inverse observation probability and of the outcome regression. For the average product of two conditional means, which underlies the expected conditional covariance, let them be the indices of the two means. Let s=(α+β)/2s=(\alpha+\beta)/2. Estimators of these parameters impose assumptions on a density weight gg, which is the covariate density or its product with the observation probability, depending on the parameter. When gg is known or belongs to a Hölder class of smoothness γ>0\gamma>0 such that γ/(2γ+d)>{max⁡(α,β)/d}(d−4s)/(d+4s)\gamma/(2\gamma+d)>\{\max(\alpha,\beta)/d\}(d-4s)/(d+4s), higher-order influence function (HOIF) estimators attain root-mean-square error of order

n−1/2∨n−4s/(4s+d),(1)n^{-1/2}\vee n^{-4s/(4s+d)}, \tag*{(1)}

where x∨y=max⁡(x,y)x\vee y=\max(x,y). This condition and the upper bound are from [52 Section 3.1], the corrected version of [53], which treats the missing-data mean there and indicates the extension to other doubly robust functionals in [52 Section 11.3]. Below the threshold, the rate (1.1) cannot be improved even when gg is known, as shown in [49]; see [52 Section 3.1]. Rates of this form are classical for quadratic functionals of a density [5, 6]. For the average product of two conditional means, McGrath and Mukherjee [44 Corollaries 1 and 16] obtain this rate for a uniform or sufficiently smooth known density, and below s=d/4s=d/4 their results also cover an unknown density that is sufficiently smooth.

The rough-design question arises in the HOIF literature [36, 48, 49, 52]. Immediately after their equation (1.3), Robins et al. [48, p. 338] conjecture that the rate given there is minimax, up to logarithmic factors, when the nuisance functions are equally smooth and the density smoothness γ\gamma is too small for their condition (1.2), which for equal indices is the condition stated before (1.1). They note that, as γ→0\gamma\to0, this rate tends to n−2s/dlog⁡nn^{-2s/d}\log n, which agrees up to the logarithmic factor with the minimax rate n−2s/dn^{-2s/d} for a constant conditional variance under an equally spaced fixed design [9, 71]. This limit suggests that the exponent under rough design is 2s/d2s/d.

Robins et al. [52, Section 3.1] also state that heuristic arguments indicate a rate slower than (1.1) for smaller γ\gamma. Kennedy, Balakrishnan, and Wasserman [26, Section 4] describe the minimax problem with an unknown density as open. They suggest that the rate with an unknown covariate density might interpolate between the known-density rate and the fixed-design rate n−2s/dn^{-2s/d}, which would suggest agreement between rough random design and fixed design at the nonsmooth extreme. For a counterfactual mean, Liu, Mukherjee, and Robins [38, Section 4] describe an empirical HOIF estimator, based on [37], that attains n−2s/dn^{-2s/d} up to logarithmic factors without complexity assumptions on the covariate density. McClean et al. [43, Section 4.2 and Theorem 1] construct an estimator of the expected conditional covariance with a convergence rate in probability of n−2s/dn^{-2s/d}, up to a polylogarithmic factor, when s<d/4s < d/4, and they leave open whether this rate is minimax under rough design.

Main results

Our main result, Theorem 2.3, gives minimax bounds in a nonparametric model in which the weight gg is unknown and satisfies only fixed bounds 0<g−≤g≤g+<∞0 < g_{-} \le g \le g_{+} < \infty with g−<g+g_{-} < g_{+}. It covers a class of doubly robust functionals [48 Section 3.1] that includes missing-data means and expected conditional covariances (Section 2.1). Under interior and nondegeneracy conditions stated in Section 2.2, the minimax root-mean-square error rnr_n satisfies

log⁡rn={−2sdlog⁡n−2d2s(d−4s)log⁡nlog⁡g++g−g+−g−+O(log⁡log⁡n),s<d/4,−12log⁡n+O(1),s≥d/4.(2)\log r_n = \begin{cases} -\frac{2s}{d}\log n-\frac{2}{d}\sqrt{2s(d-4s)\log n\log\frac{\sqrt{g_{+}}+\sqrt{g_{-}}}{\sqrt{g_{+}}-\sqrt{g_{-}}}}+O(\log\log n), & s<d/4,\\ -\frac{1}{2}\log n+O(1), & s\ge d/4. \end{cases} \tag*{(2)}

Below s=d/4s=d/4, (1.2) identifies the leading correction to the polynomial rate, a factor e−κlog⁡ne^{-\kappa\sqrt{\log n}} with the explicit constant κ\kappa of (2.9). In this regime the upper and lower bounds differ by a polylogarithmic factor, which is (log⁡n)1/4(\log n)^{1/4} when both smoothness indices are at most one (Remark 2.4). The lower bounds hold even on the subclass in which the functions w,a,bw,a,b of (2.2) stay within an arbitrary fixed distance of constant baseline values (§ 3.2). In particular, they apply directly to models with additional overlap or range restrictions. They also persist if the density must be C∞C^{\infty}, as long as the model imposes no fixed bound on its derivatives (Remark 2.5). Section 3 applies the theorem to the targets in Table 3.1.

TargetClassssIIν\nuLower bound from
MAR meanMη\mathcal{M}_{\eta}α+β2\frac{\alpha+\beta}{2}[η,η−1][\eta,\eta^{-1}]qα+qβq_{\alpha}+q_{\beta}Theorem 2.3(b)
ATE, ATT, ATUTη\mathcal{T}_{\eta}α+β∗2\frac{\alpha+\beta_*}{2}[η,η−1][\eta,\eta^{-1}]qα+qβ∗q_{\alpha}+q_{\beta_*}MAR family, kernel
MAR meanMsep\mathcal{M}^{\mathrm{sep}}α+β2\frac{\alpha+\beta}{2}[p−,p+][p_-,p_+]qα+qβq_{\alpha}+q_{\beta}MAR family
ATE, ATT, ATUTsep\mathcal{T}^{\mathrm{sep}}α+β∗2\frac{\alpha+\beta_*}{2}[p−,p+][p_-,p_+]qα+qβ∗q_{\alpha}+q_{\beta_*}MAR family, kernel
E[Cov⁡(U,V∣X)], E[mUmV]\mathbb{E}[\operatorname{Cov}(U,V\mid X)],\ \mathbb{E}[m_Um_V]Pbil(α,β)\mathcal{P}_{\mathrm{bil}}(\alpha,\beta)α+β2\frac{\alpha+\beta}{2}[p−,p+][p_-,p_+]qα+qβq_{\alpha}+q_{\beta}Theorem 2.3(b)
E[Var⁡(Y∣X)], E[f2]\mathbb{E}[\operatorname{Var}(Y\mid X)],\ \mathbb{E}[f^2]Pquad(s)\mathcal{P}_{\mathrm{quad}}(s)ss[p−,p+][p_-,p_+]2qs2q_sTheorem 2.3(b)
Var⁡(f(X))\operatorname{Var}(f(X))Pquad(s)\mathcal{P}_{\mathrm{quad}}(s)ss[p−,p+][p_-,p_+]2qs2q_sRademacher family
R2R^2Pquad(s;vmin⁡)\mathcal{P}_{\mathrm{quad}}(s;v_{\min})ss[p−,p+][p_-,p_+]2qs2q_sRademacher family
E[f2],Var⁡(f(X))\mathbb{E}[f^2],\operatorname{Var}(f(X)) in a trialPtrial(s)\mathcal{P}_{\mathrm{trial}}(s)ss[p−,p+][p_-,p_+]2qs2q_skernel from Pquad(s)\mathcal{P}_{\mathrm{quad}}(s)
Wald ratioIη,cW\mathcal{I}_{\eta,c_W}α+β2\frac{\alpha+\beta}{2}[η,η−1][\eta,\eta^{-1}]qα+qβq_{\alpha}+q_{\beta}ATE, kernel
Average conditional Wald ratioJη\mathcal{J}_{\eta}α+β2\frac{\alpha+\beta}{2}[η,η−1][\eta,\eta^{-1}]qα+qβq_{\alpha}+q_{\beta}MAR mean, kernel
Overlap-weighted effectPOW(α,β)\mathcal{P}_{\mathrm{OW}}(\alpha,\beta)min⁡{α+β2,α}\min\{\frac{\alpha+\beta}{2},\alpha\}[p−,p+][p_-,p_+]qα+qmin⁡(α,β)q_{\alpha}+q_{\min(\alpha,\beta)}two families

Table 3.1. The applications in Corollary 3.2. Here β∗=min⁡(β0,β1)\beta_*=\min(\beta_0,\beta_1) for the ATE, β0\beta_0 for the ATT, and β1\beta_1 for the ATU. The last column names the source of the lower bound: Theorem 2.3(b), or the families of laws and the Markov kernels constructed in Appendices B to D.

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Anthropic Claude Opus 5.5, Anthropic Claude Fable 5.1, Anthropic Claude Fable 5, OpenAI ChatGPT 6.1, OpenAI ChatGPT 6, OpenAI ChatGPT 5.6 · View statement →

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