A semiparametric model selection criterion with applications to the marginal structural model

@article{Brookhart2006ASM,
  title={A semiparametric model selection criterion with applications to the marginal structural model},
  author={M. Alan Brookhart and Mark J. van der Laan},
  journal={Computational Statistics & Data Analysis},
  year={2006},
  volume={50},
  pages={475-498}
}
Estimators for the parameter of interest in semiparametric models often depend on a guessed model for the nuisance parameter. The choice of the model for the nuisance parameter can affect both the finite sample bias and efficiency of the resulting estimator of the parameter of interest. In this paper we propose a finite sample criterion based on cross validation that can be used to select a nuisance parameter model from a list of candidate models. We show that expected value of this criterion… CONTINUE READING
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