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Biometrika Advance Access originally published online on October 1, 2009
Biometrika 2009 96(4):998-1004; doi:10.1093/biomet/asp043
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© 2009 Biometrika Trust

Miscellanea

A note on the variance of doubly-robust G-estimators

E. E. M. Moodie

Department of Epidemiology, Biostatistics, & Occupational Health, McGill University, 1020 Pine Ave W., Montreal, Quebec, Canada H3A 1A2 erica.moodie{at}mcgill.ca

Received for publication 1 April 2008. Revision received 1 January 2009.
  Abstract

A recursive variance calculation is derived for doubly-robust G-estimators for dynamic treatment regimes in a multi-interval setting. Treatment decision parameters are not assumed to be shared across treatment intervals; this independence of parameters permits sequential estimation of the G-estimators’ variance when G-estimation is performed in a sequential fashion. The recursive variance calculation is both natural and computationally feasible. This development can easily be adapted to other complex estimating procedures that require nuisance parameter estimation.

Key Words: Dynamic treatment regime • G-estimation • Sequential estimation • Structural nested mean model


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