---
title: The Art of Influence
subtitle: A Practical Guide to Working with Influence Functions
author: Klaus Kähler Holst
date: "`r Sys.Date()`"
format:
  html:
    toc: true
    html-math-method: mathjax
    fig-format: 'svg'
execute:
  echo: true
  warning: false
  collapse: true
  comment: "#>"
vignette: >
  %\VignetteIndexEntry{The Art of Influence}
  %\VignetteEngine{quarto::html}
  %\VignetteEncoding{UTF-8}
bibliography: ref.bib
---

```{r  setup,include=FALSE }
library("lava")
knitr::opts_chunk$set(
  collapse = TRUE,
  cache = TRUE,
  comment = "#>",
  dev = "svg",
  fig.ext = "svg"
  )
has_mets <- lava:::versioncheck('mets', 1)
has_geepack <- lava:::versioncheck('geepack', 1)
```

\newcommand{\arctanh}{\operatorname{arctanh}}
\newcommand{\indep}{\!\perp\!\!\!\!\perp\!}
\newcommand{\pr}{\mathbb{P}}
\newcommand{\E}{\mathbb{E}}
\newcommand{\var}{\mathbb{V}\!\text{ar}}
\newcommand{\cov}{\mathbb{C}\!\text{ov}}
\newcommand{\cor}{\mathbb{C}\!\text{or}}
\newcommand{\IC}{\operatorname{IC}}
\newcommand{\one}{\mathbf{1}}
<!-- \newcommand{\Dto}{\rightsquigarrow} -->
\newcommand{\Dto}{\overset{\mathcal{D}}{\longrightarrow}}
\newcommand{\bm}[1]{\mathbf{#1}}
\newcommand{\Pz}{P_{0}}
\newcommand{\op}{o_{P}}

# Influence functions

Estimators that have parametric convergence rates can often be fully
characterized by their *influence function* (IF), also referred to as an influence
curve [@bickel_effic_adapt_estim_semip_model; @vaart_1998_asymp]. The IF allows for the direct estimation of properties of the estimator, including its asymptotic variance. Moreover,
estimates of the IF enable the simple combination and transformation of
estimators into new ones.
This vignette describes how to estimate and manipulate IFs using the R-package
`lava` [@holst_budtzjorgensen_2013].


Formally, let $Z_1,\ldots,Z_n$ be iid $k$-dimensional stochastic variables, $Z_i=(Y_{i},A_{i},W_{i})\sim \Pz$, and $\widehat{\theta}$ a
consistent estimator for the parameter $\theta\in\mathbb{R}^p$. When
$\widehat{\theta}$ is a *regular and asymptotic linear* (RAL) estimator, it has
a unique iid decomposition
\begin{align*} \sqrt{n}(\widehat{\theta}-\theta) =
\frac{1}{\sqrt{n}}\sum_{i=1}^n \IC(Z_i; \Pz) + \op(1),
\end{align*}
where the
function $\IC$ is the unique *Influence Function* s.t. $\mathbb{E}\{\IC(Z_{i};
\Pz)\}=0$ and $\var\{\IC(Z_{i}; \Pz)\}<\infty$ [@tsiatis2006semiparametric;
@vaart_1998_asymp]. The influence
function thus fully characterizes the asymptotic behaviour of the estimator and by the central limit
theorem it follows that the estimator converges weakly to a Gaussian distribution
$$
\sqrt{n}(\widehat{\theta}-\theta) \Dto
\mathcal{N}(0, \var\{\IC(Z; \Pz)\}),
$$
where the empirical variance of the plugin estimator, $\pr_{n}\IC(Z;
\widehat{P})^{\otimes 2} = \frac{1}{n}\sum_{i=1}^n \IC(Z_{i};
\widehat{P})\IC(Z_{i};
\widehat{P})^{\top}$ can be used to obtain a consistent estimate of the
asymptotic variance. Note, in practice the estimate $\widehat{P}$ used in
the plugin-estimate, needs only to capture the parts of the distribution of
$Z$ that is necessary to evaluate the IF. In some cases this nuisance
parameter can be estimated using flexible machine learning components and in
other (parametric) cases be derived directly from $\widehat{\theta}$.

The IFs are easily derived for the parameters of many parametric statistical
models as illustrated in the [next example sections](#example-generalized-linear-model). More generally, the IF can
also be derived for a smooth target parameter $\Psi:
\mathcal{P}\to\mathbb{R}$ where $\mathcal{P}$ is a family of probability
distributions forming the statistical model, which often can be left completely
non-parametric.
Formally, the parameter must be *pathwise differentiable* see [@vaart_1998_asymp]
in the sense that there exists a bounded linear functional  $\dot\Psi\colon
L_{2}(P_{0})\to\mathbb{R}$ such that
$[\Psi(P_{t}) - \Psi(P_{0})]t^{-1} \to \dot\Psi(P_{0})(g)$
as $t\to 0$ for any parametric submodel $P_t$
with score model $g(z)= \partial/(\partial t) \log (p_t)(z)|_{t=0}$.  Riesz's
representation theorem then tells us that the directional derivative has a
unique representer, $\phi_{P_{0}}$ lying in the closure of the submodel score
space (the *tangent space*), s.t.
\begin{align*}
    \dot\Psi(P_0)(g) = \langle\phi_{P_0}, g\rangle =
    \int \phi_{P_0}(z)g(z)\,dP_0(z)
\end{align*}
The unique representer is exactly the IF which can be found by solving the above
integral equation.
For more details on how to derive influence
functions, we refer to [@targetedlearning_2011; @hines2022].

As an example we might be interested in the target parameter $\Psi(P) =
\E_P(Z)$ which can be shown to have the unique (and thereby efficient)
influence function $Z\mapsto Z-\E_P(Z)$ under the non-parametric model.
Another target parameter could be $\Psi_{a}(P) = \E_{P}[\E_{P}(Y\mid A=a, W)]$ which is often
a key interest in causal inference and which has the IF
\begin{align*}
\IC(Y,A,W; P) = \frac{\one(A=a)}{\pr(A=a\mid W)}(Y-\E_{P}[Y\mid A=a,W]) + \E_{P}[Y\mid
A=a,W] - \Psi_{a}(P)
\end{align*}
See section on [average treatment effects](#average-treatment-effects).

# Working with influence functions with `lava::estimate`

The main functions for working with influence functions are

- `estimate` which prepares a model object and estimates the IF and
  corresponding robust standard errors. Can also be used to transform model
  parameters by application of the Delta Theorem.
- `merge`  method for combining estimates via their estimated IFs
- `IC`, `coef`, `vcov` methods to extract the estimated IF, coefficients, and
  asymptotic covariance matrix
- `subset` for extracting subset of parameters and IFs
- `transform` method for transforming parameter estimates
- `labels` for renaming parameters

The `estimate` function is the primary tool for obtaining parameter estimates
and related information. It returns an object of the class type `estimate`,
which is a general container for holding information about estimated parameters.
The estimate function takes as input either a model object (the first argument
`x`), or a parameter vector and corresponding influence function (IF) matrix
specified using the `coef` and `IC` arguments. If the primary goal is to apply the
delta method or test linear hypotheses, it is also possible to provide the
asymptotic variance estimate via the `vcov` argument, without specifying the IC
matrix.

```{r estimate.syntax, eval=FALSE}
estimate(x=, ...)
estimate(coef=, IC=, ...)
estimate(coef=, vcov=, ...)
```

A typical call could look like
```{r estimate.examples, eval=FALSE}
merge(subset(estimate(x), 1), estimate(coef=p, IC=ic, id=id)) |>
  transform(function(x) c(exp(x), exp(x[1]))) |> # parameter transformation
  labels(c("a", "b")) # rename parameters
```

Direct calculations are also possible, if `a` and `b` are estimate objects we can
obtain new transformed parameter estimates with the syntax
```{r estimate.direct, eval=FALSE}
c(exp(b)^0.5, exp(b * a) / (1 + exp(-b)))
```
with the necessary derivatives exactly calculated automatically.
We refer to section
[IF building blocks](#if-building-blocks-transformations-and-the-delta-theorem) for more details.


# Examples

To illustrate the methods we consider data arising from the model $Y_{ij} \sim
Bernoulli\{\operatorname{expit}(X_{ij} + A_{i} + W_{i})\}, A_{i} \sim
Bernoulli\{\operatorname{expit}(W_{i})\}$
with independent covariates
$X_{ij}\sim\mathcal{N}(0,1), W_{i}\sim\mathcal{N}(0,1)$.
```{r sim_model}
m <- lvm() |>
  regression(y1 ~ x1 + a + w) |>
  regression(y2 ~ x2 + a + w) |>
  regression(y3 ~ x3 + a + w) |>
  regression(y4 ~ x4 + a + w) |>
  regression(a ~ w) |>
  distribution(~ y1 + y2 + y3 + y4 + a, value = dist_bernoulli()) |>
  distribution(~id, value = dist_seq(integer = TRUE))
```

We simulate from the model where $Y_3$ is only observed for half of the subjects
```{r simulate}
n <- 1e3
dw <- sim(m, n, seed = 1) |>
  transform(y3 = y3 * ifelse(id > n / 2, NA, 1))
Print(dw)
## Data in long format
dl <- reshape(dw,
        varying = list(paste0("y",1:4),
                       paste0("x",1:4)),
        v.names=c("y", "x"), direction="long") |>
  na.omit()
dl <- dl[order(dl$id), ]
## dl <- mets::fast.reshape(dw, varying = c("y", "x")) |> na.omit()
Print(dl)
```

## Example: population mean

Here we first consider the problem of estimating the IF of the mean. For a
general transformation $f: \mathbb{R}^k\to\mathbb{R}^p$ we have that
$$
\sqrt{n}\{\mathbb{P}_{n}f(X) - \E[f(X)]\} = \frac{1}{\sqrt{n}}\sum_{i=1}^{n}
\{f(X_{i}) - \E[f(X)]\}
$$
<!-- $$
<!-- \sqrt{n}\{\mathbb{P}_{n}f(X) - \pr(Y_{1}=1)\} = \frac{1}{\sqrt{n}}\sum_{i=1}^{n} -->
<!-- \one(Y_{1i}=1) - \pr(Y_{1}=1) -->
<!-- $$  -->
and hence for the problem of estimating the proportion of the binary outcome
$Y_1$, the IF is given by $\one(Y_{1}=1) - \pr(Y_{1}=1)$.

To estimate this parameter and its IF we will use the `estimate` function
```{r inp1}
inp <- as.matrix(dw[, c("y1", "y2")])
e <- estimate(inp[, 1, drop = FALSE], type="mean")
class(e)
e
```
The reported standard errors from the `estimate` method
are the robust standard errors obtained from the IF.
The variance estimate and the parameters can be extracted with the `vcov`
and `coef` methods.
The IF itself can be extracted with the `IC` (or  `influence`) method:
```{r ic1}
IC(e) |> Print()
```

It is also possible to simultaneously estimate the proportions of each of the two
binary outcomes
```{r inp2}
estimate(inp)
```
or alternatively the input can be a model object, here a `mlm` object:
```{r mlm}
e <- lm(cbind(y1, y2) ~ 1, data = dw) |>
  estimate()
IC(e) |> head()
```

Different methods are available for inspecting an `estimate`  object
```{r estimatemethods}
summary(e)
## extract parameter coefficients
coef(e)
## ## Asymptotic (robust) variance estimate
vcov(e)
## Matrix with estimates and confidence limits
summary(e, level = 0.99) |> parameter()
## Influence curve
IC(e) |> head()
## Join estimates
ee <- merge(e, e)
ee
## Forest plots
plot(ee, null=0.5, digits=2)
```

<!-- The IF for both the empirical mean and variance can also be estimated directly with the `IC` method: -->
<!-- ```{r} -->
<!-- with(dw, IC(y1)) |> head() -->
<!-- ## point estimates stores in the attributes -->
<!-- with(dw, IC(y1)) |> attributes() -->
<!-- ``` -->


## Example: generalized linear model

For a $Z$-estimator defined by the score equation $E[U(Z; \theta)] = 0$, the
IF is given by \begin{align*} IC(Z; \theta) =
-\E\Big\{\frac{\partial}{\partial\theta^\top}U(\theta; Z)\Big\}^{-1}U(Z; \theta)
\end{align*}
In particular, for a maximum likelihood estimator the score, $U$, is given by the partial derivative of
the log-likelihood function.

As an example, we can obtain the estimates with robust standard errors for a
logistic regression model:
```{r glm}
g <- glm(y1 ~ a + x1, data = dw, family = binomial)
estimate(g)
```
We can compare that to the usual (non-robust) standard errors by supplying
the model-based covariance matrix explicitly:
```{r glm.std}
estimate(g, vcov = vcov(g))
# estimate(g, vcov = TRUE) alternative syntax to obtain model-based SEs
```

The IF can be extracted from the `estimate` object or directly from the
model object
```{r ifglm}
IC(g) |> head()
```


The same estimates can be obtained with a
*cumulative link regression* model which also generalizes to
ordinal outcomes. Here we consider the proportional odds model given by
\begin{align*}
\log\left(\frac{\pr(Y\leq j\mid x)}{1-\pr(Y\leq j\mid x)}\right) = \operatorname{expit}(\alpha_{j} - \beta^{t}), \quad j=1,\ldots,J-1
\end{align*}
```{r ordreg}
ordreg(y1 ~ a + x1, dw, family=binomial(logit)) |> estimate()
```

Note that the `sandwich::estfun` function from the `sandwich` library
[@r_sandwich] can also be used to estimate the IF
for different parametric models, but does not provide the tools for combining
and transforming these.

## Example: right-censored outcomes

To illustrate the methods on survival data we will use the Mayo Clinic Primary
Biliary Cholangitis Data [@therneau00surv]

```{r mets}
library("survival")
data(pbc, package="survival")
```

The Cox proportional hazards model can be fitted with the `mets::phreg` method
which can estimate the IF for both the partial likelihood parameters and the
baseline hazard. Here we fit a survival model with right-censored event times
```{r phreg, eval=has_mets }
fit.phreg <- mets::phreg(Surv(time, status > 0) ~ age + sex, data = pbc)
fit.phreg
IC(fit.phreg) |> head()
```

The IF for the baseline cumulative hazard at a specific time point
\begin{align*}
\Lambda_0(t) = \int_0^t \lambda_0(u)\,du,
\end{align*}
where $\lambda_0(t)$ is the baseline hazard, can be estimated in similar way:
```{r phreg-baseline, eval=has_mets }
baseline <- function(object, time, ...) {
  ic <- mets::IC(object, baseline = TRUE, time = time, ...)
  est <- mets::predictCumhaz(object$cumhaz, new.time = time)[1, 2]
  estimate(NULL, coef = est, IC = ic, labels = paste0("chaz:", time))
}
tt <- 2000
baseline(fit.phreg, tt)
```

The `estimate` and `IC` methods are also available for parametric survival
models via `survival::survreg`, here a Weibull model:
```{r survreg, eval=has_mets }
survival::survreg(Surv(time, status > 0) ~ age + sex, data = pbc, dist="weibull") |>
  estimate()
```

<!-- glm poisson -->
<!-- ```{r lifetable} -->
<!-- pbc2 <- mets::lifetable(Surv(time, status > 0) ~ sex, data = pbc, breaks = seq(0, 5000, length.out = 10)) -->
<!-- head(pbc2) -->
<!-- glm(events ~ offset(log(atrisk)) + sex + factor(int.end), data = pbc2, family=poisson(log)) -->
<!-- ``` -->


## Example: random effects model / structural equation model

General structural equation models (SEMs) can be estimated with `lava::lvm`.
Here we fit a random effects probit model
$$
\pr(Y_{ij} = 1 \mid U_{i}, W_{ij})=\Phi(\mu_{j} + \beta_{j} W_{ij} + U_{i}), \quad U_{i}\sim\mathcal{N}(0,\sigma_{u}^{2}),\quad j=1,2
$$
to the simulated dataset
```{r semfit, eval=has_mets }
sem <- lvm(y1 + y2 ~ 1 * u + w) |>
  latent(~ u) |>
  ordinal(K=2, ~ y1 + y2)
semfit <- estimate(sem, data = dw)

## Robust standard errors
estimate(semfit)
```

## Example: quantile

Let $\beta$ denote the $\tau$th quantile of $X$, with IF
\begin{align*}
\IC(x; \Pz) = \{\tau - \one(x\leq \beta)\}f_{0}(\beta)^{-1}
\end{align*}

where $f_{0}$ is the density function of $X$.

To calculate the variance estimate, an estimate of the density is thus needed which can be
obtained by a kernel estimate. Alternatively,
the resampling method of [@zenglin2008] can be applied.
Here we use a kernel smoother (additional arguments to the `estimate` function
are parsed on to `stats::density.default`) to estimate the quantiles and IF for
the 25%, 50%, and 75% quantiles of $W$ and $X_1$
```{r quantiles}
eq <- estimate(dw[, c("w", "x1")], type = "quantile", probs = c(0.25, 0.5, 0.75))
eq
IC(eq) |> head()
```

# Combining influence functions

A key benefit of working with the IFs of estimators is that this allows
for transforming or combining different estimates while easily deriving
the resulting IF and thereby asymptotic distribution of the new estimator.

:::: {#lem-joint-if}
Let $\widehat{\theta}_{1}, \ldots, \widehat{\theta}_{M}$ be $M$
different estimators with decompositions
\begin{align*}
\sqrt{n}(\widehat{\theta}_{m}-\theta_{m}) = \frac{1}{\sqrt{n}}\sum_{i=1}^{n}
\IC_m(Z_i; \Pz) + \op(1)
\end{align*}
based on iid data $Z_1,\ldots,Z_n$. Then
the joint estimate $\widehat{\theta} =
(\widehat{\theta}_{1}^{\top},\ldots,\widehat{\theta}_{M}^{\top})^\top$
of
${\theta} = ({\theta}_{1}^{\top},\ldots,{\theta}_{M}^{\top})^\top$ has influence
function given by
\begin{align*}
\overline{\IC}(Z_i; \Pz) = [\IC_{1}(Z_i; \Pz)^\top,\ldots,\IC_{M}(Z_i; \Pz)^\top]^{\top}.
\end{align*}
\flushright$\blacksquare$
::::
This follows immediately from [@vaart_1998_asymp, Theorem 18.10[vi]], and thus
\begin{align*}
\sqrt{n}(\widehat{\theta}-\theta) &= \frac{1}{\sqrt{n}}\sum_{i=1}^{n}
\underbrace{[\IC_{1}(Z_i; \Pz)^\top,\ldots,\IC_{M}(Z_i; \Pz)^\top]^{\top}}_{\overline{\IC}(Z_i; \Pz)} + \op(1) \\
&\Dto \mathcal{N}(0,\Sigma)
\end{align*}
by the CLT, and under regularity conditions
$\mathbb{P}_{n}\overline{\IC}(Z_i; \widehat{P})^{\otimes 2} \overset{P}{\longrightarrow}\Sigma$
as $n\to\infty$.



To illustrate this we consider two marginal logistic regression models fitted
separately for $Y_1$ and $Y_2$ and combine the estimates and IFs using the
`merge` method
```{r glmmarg}
g1 <- glm(y1 ~ a, family=binomial, data=dw)
g2 <- glm(y2 ~ a, family=binomial, data=dw)
e <- merge(g1, g2)
summary(e)
```
As we have access to the joint asymptotic distribution we can for example test
for whether the odds-ratio is the same for the two responses:

```{r hypo1}
summary(estimate(e), contrast=cbind(0,1,0,-1), null=0)
```
More details can be found in the Section on [hypothesis testing](#linear-contrasts-and-hypothesis-testing).

## Estimators computed on different subsets

Let $O_1 = (Z_1, R_1), \ldots, O_N = (Z_N, R_N)$ be iid data from some
distribution $O = (Z, R) \sim P_0$. We let $Q_0 := P_0(\cdot \mid R=1)$ denote the
conditional distribution, with $P(R=1) = p > 0$, and let $S = \{i\mid R_i=1\}$,
$n = \lvert S\rvert$, and $\widehat{p} = n/N$.

We assume that the *conditional* target parameter $\theta = T(Q_0)$ is pathwise differentiable in $Q_0$, in the sense that
we have a regular and asymptotic linear estimator $\widehat{\theta} = T_m(O_1, \ldots, O_m)$
based on iid data $O_1,\ldots,O_m \sim Q_0$,
such that for any $\eta>0$
\begin{align*}
g(m, \eta) = Q\Big(
\big\lVert
  \underbrace{
  \sqrt{m}\left\{ T_m(O_1, \ldots, O_m) - \theta -
  \frac{1}{m}\sum_{i=1}^m
    \IC(O_i; Q_0)
  \right\}
  }_{V_m}
\big\rVert > \eta
\Big) \longrightarrow 0 \text{ as } m\to\infty.
\end{align*}

:::: {#lem-conditional}
The estimator $\widehat{\theta}$ has influence function
$\widetilde{\IC}(O; Q_0) = \frac{R}{p}\IC(O; Q_0)$, i.e.
\begin{align*}
\sqrt{N}(\widehat{\theta} - \theta) =
\frac{1}{p}\frac{1}{\sqrt{N}}\sum_{i=1}^N
R_i \IC(O_i; Q_0) + o_{P_0}(1).
\end{align*}
::::

::: {.proof}
We can write
\begin{align*}
\sqrt{N}(\widehat{\theta}-\theta) = \frac{1}{\widehat{p}}\frac{1}{\sqrt{N}}
\sum_{i=1}^N R_i \IC(O_i; Q_0) +
\underbrace{\sqrt{N}\left(
\widehat{\theta}-\theta-\frac{1}{n}\sum_{i\in S}\IC(O_i; Q_0)
\right)}_{W_N = \sqrt{N/n}V_n}.
\end{align*}

We need to show that the term $W_N=o_{P_0}(1)$.
Let $E_N = \{n > Np/2\}$, it then follows that
\begin{align*}
P(\lVert W_N \rVert > \epsilon) \leq P(E_N^\complement)
+ P(\{\lVert W_N \rVert > \epsilon\}\cap E_N) \\
\leq
P(E_N^\complement)
+ \sup_{n>Np/2} Q(\lVert V_n \rVert > \epsilon/c)
\end{align*}
where we have used that on the set $E_N$ we have $\sqrt{N/n}< \sqrt{2/p} = c$.
The supremum term converges to zero as $N\to\infty$ due to the assumption that
$\widehat{\theta}$ is RAL in $Q_0$.

Applying Hoeffding's Inequality to the iid Bernoulli random variables $1-R_i,
i=1,\ldots,N$, we get that
\begin{align*}
P(N-n - N(1-p) \geq t) \leq \exp(-2t^2/N),
\end{align*}
and with $t = Np/2$, we have that $P(n<N\p/2)\leq\exp(-N/(2p^2))\to 0$ as
$N\to\infty$, and it follows that the first term $P(E_N^\complement)$ also
converges to zero.

As $\widehat{p}\to p$ a.s. by the strong LLN, it follows from continuity at
$p>0$ that $\widehat{p}^{-1}-p^{-1} = o_{P_0}(1)$, and hence by Slutsky's lemma
\begin{align*}
\sqrt{N}(\widehat{\theta}-\theta) &= \frac{1}{\sqrt{N}}\sum_{i=1}^N
\frac{R_i}{p}\IC(O_i; Q_0) +
(\frac{1}{\widehat{p}}-\frac{1}{p})
\frac{1}{\sqrt{N}}\sum_{i=1}^N R_i\IC(O_i; Q_0) +
o_{P_0}(1) \\
&= \frac{1}{\sqrt{N}}\sum_{i=1}^N
\frac{R_i}{p}\IC(O_i; Q_0) + o_{P_0}(1).
\end{align*}
\flushright$\blacksquare$
:::


Based on the above Lemma we can therefore combine estimators that are estimated
on different datasets. Let the observed data be
$(Z_{11}, R_{11}), (Z_{21}, R_{21}), \ldots, (Z_{1N}, R_{1N}),
(Z_{2N}, R_{2N})$ with estimators
$\widehat{\theta}_1$ and
$\widehat{\theta}_2$ for the conditional parameters $\theta_1$ and
$\theta_2$ based on data where $R_{1i}=1$ and $R_{2j}=1$, respectively, and let the
corresponding IFs be
$IC_{1}(\cdot; \Pz)$ and $IC_{2}(\cdot;\Pz)$. It then follows that
the joint parameter estimate has influence function corresponding to an inverse probability
weighting with the empirical plugin estimate of the proportions
$P(R_{1}=1)$, and $P(R_{2}=1)$
\begin{align*}
\sqrt{N}\left\{
\begin{pmatrix}
\widehat{\theta}_1 \\
\widehat{\theta}_2
\end{pmatrix}
-
\begin{pmatrix}
\vphantom{\widehat{\theta}_1}\theta_1 \\
\vphantom{\widehat{\theta}_1}\theta_2
\end{pmatrix}
\right\}
=
\frac{1}{\sqrt{N}}\sum_{i=1}^N
\begin{pmatrix}
IC_1(Z_{1i}; \Pz)\frac{R_{1i}N}{R_{1\bullet}} \\
IC_2(Z_{2i}; \Pz)\frac{R_{2i}N}{R_{2\bullet}}
\end{pmatrix}
+ \op(1)
\end{align*}

with $R_{k\bullet} = \sum_{i=1}^{N}R_{ki}.$ Returning to the example, we can
combine the marginal estimates of two model objects that have been estimated
from different datasets (as the outcome $Y_3$ is only available in half of the
data) with the `merge` function

```{r glmmargmis}
g2 <- glm(y2 ~ 1, family = binomial, data = dw)
summary(g2)
dwc <- na.omit(dw)
g3 <- glm(y3 ~ 1, family = binomial, data = dwc)
summary(g3)

e2 <- estimate(g2, id = dw$id)
e3 <- estimate(g3, id = "id", data=dwc)

ecomb <- merge(e2, e3)
IC(ecomb) |> Print()
vcov(ecomb)
## Same marginals as
list(vcov(e2), vcov(e3))
```

Note, it is also possible to directly specify the id-variables in the `merge` call:
```{r merge}
merge(e2, e3, id = list(dw$id, dwc$id))
```

In the above example the `id` argument defines the identifier that makes it
possible to link the rows in the different IFs that should be glued together.
If omitted then the `id` will automatically be extracted from the model-specific
`IC` method (deriving it from the original data.frame used for estimating the
model). This automatically works with all models and `IC` methods described in this document.
```{r estimatenoid}
estimate(g2) |>
  IC() |> head()
vcov(merge(estimate(g2), estimate(g3)))
merge(estimate(g2), estimate(g3)) |>
  (rownames %++% head %++% IC)()
```

To force that the id variables are not overlapping between the merged model
objects, i.e., assuming that there is complete independence between the
estimates, the argument `id=NULL` can be used
```{r merge_idnull}
merge(g1, g2, id = NULL) |> (Print %++% IC)()
merge(g1, g2, id = NULL) |> vcov()
```

## Renaming and subsetting parameters

To only keep a subset of the parameters the `keep` argument can be used.
```{r mergekeep}
merge(g1, g2, keep = c("(Intercept)", "(Intercept).1"))
```
The argument can be given either as character vector or a vector of indices:
```{r merge2}
merge(g1, g2, keep=c(1, 3))
```
or as a vector of perl-style regular expressions
```{r merge3}
merge(g1, g2, keep = "cept", regex = TRUE)
merge(g1, g2, keep = c("\\)$", "^a$"), regex = TRUE, ignore.case = TRUE)
```

When merging estimates unique parameter names are created. It is also possible
to rename the parameters with the `labels` argument
```{r merge4}
merge(g1, g2, labels = c("a", "b", "c")) |> estimate(keep = c("a", "c"))
merge(g1, g2,
      labels = c("a", "b", "c"),
      keep = c("a", "c")
)
estimate(g1, labels=c("a", "b"))
```

Finally, the `subset` argument can be used to subset the parameters and IFs
before the actual merging is being done
```{r merge5}
merge(g1, g2, subset="(Intercept)")
```

## Clustered data (non-iid case)

Let $Z_i = (Z_{i1},\ldots,Z_{iN_{i}})$ and assume that
$(Z_{i}, N_{i}) \sim P$, $i=1,\ldots,n$ are iid and $N_i\indep
Z_{ij}$. The variables $Z_{i1},\ldots,Z_{iN_{i}}$ we assume are exchangeable
but not necessarily independent. Define $N = \sum_{i=1}^{n} N_i$, and
assume that a parameter estimate, $\widehat{\theta}\in\mathbb{R}^p$ has the decomposition
$$
\sqrt{N}(\widehat{\theta}-\theta) =
\frac{1}{\sqrt{N}}
\sum_{i=1}^{n} \sum_{k=1}^{N_{i}} IC(Z_{ik}; \Pz) + \op(1).
$$
It then follows that
$$
\sqrt{n}(\widehat{\theta}-\theta) =
\frac{1}{\sqrt{n}}
\sum_{i=1}^{n} \widetilde{\IC}(Z_{i}; \Pz) + \op(1)
$$
with $\widetilde{\IC}(Z_{i}; \Pz)
= \sum_{k=1}^{N_{i}} \frac{n}{N}IC(Z_{ik}; \Pz)$, $i=1,\ldots,n$ which are iid
an therefore admits the usual CLT to derive the asymptotic variance of $\widehat{\theta}$.
Turning back to the example data, we can estimate the marginal model
```{r cluster1}
g0 <- glm(y ~ a + w + x, data = dl, family = binomial())
```
The asymptotic variance estimate ignoring that the observations are not
independent is not consistent. Instead we can calculate the cluster robust
standard errors from the above iid decomposition
```{r cluster2}
estimate(g0, id=dl$id)
```
We can confirm that this situation is equivalent to the variance estimates we
obtain from a GEE marginal model with working independence correlation structure [@r_geepack]
```{r geepack, eval=has_geepack }
gee0 <- geepack::geeglm(y ~ a + w + x, data = dl, id = dl$id, family=binomial)
summary(gee0)
```

## Computational aspects

Working with large and potentially multiple different IFs can be memory-intensive. A
remedy is to use the idea of aggregating the IFs by introducing a random
coarser grouping variable. Following the same arguments as in the previous
section, the aggregated IF will still be iid and allows us to estimate the
asymptotic variance. Obviously, the same grouping must be used across estimates
when combining IFs.
```{r aggregate}
set.seed(1)
y <- cbind(rnorm(1e5))
N <- 2e2 ## Number of aggregated groups, the number of observations in the new IF
id <- foldr(nrow(y), N, list=FALSE)
Print(cbind(table(id)))

## Aggregated IF
e <- estimate(y, id = id)
object.size(e)
e
```

# IF building blocks: transformations and the delta theorem

Let $\phi\colon \mathbb{R}^p\to\mathbb{R}^m$ be differentiable at $\theta$
and assume that $\widehat{\theta}_n$ is RAL estimator with IF given by
$\IC(\cdot; \Pz)$ such that
\begin{align*}
\sqrt{n}(\widehat{\theta}_n - \theta) =
\frac{1}{\sqrt{n}}\sum_{i=1}^n \IC(Z_i; \Pz) + \op(1),
\end{align*}
then by the delta method [@vaart_1998_asymp Theorem 3.1]
\begin{align*}
\sqrt{n}\{\phi(\widehat{\theta}_n) - \phi(\theta)\}  =
\frac{1}{\sqrt{n}}\sum_{i=1}^n \nabla\phi(\theta)\IC(Z_i; \Pz) + \op(1),
\end{align*}

where $\phi\colon \theta\mapsto
(\phi_{1}(\theta),\ldots,\phi_{m}(\theta))^\top$ and $\nabla$ is the partial
derivative operator
\begin{align*}
\nabla\phi(\theta) =
\begin{pmatrix}
\tfrac{\partial}{\partial\theta_1}\phi_1(\theta) & \cdots &
\tfrac{\partial}{\partial\theta_p}\phi_1(\theta) \\
\vdots & \ddots & \vdots \\
\tfrac{\partial}{\partial\theta_1}\phi_m(\theta) & \cdots &
\tfrac{\partial}{\partial\theta_p}\phi_m(\theta) \\
\end{pmatrix}.
\end{align*}

Together with the ability to derive the joint IF from marginal IFs, this
provides us with a powerful tool for constructing new estimates using the IFs as
the fundamental building blocks.

To apply the delta method the transformation of the parameters function must be
supplied to the `estimate` method (argument `f`)
```{r delta1}
estimate(g1, sum)
estimate(g1, function(p) list(a = sum(p))) # named list
## Multiple parameters
estimate(g1, function(x) c(x, x[1] + exp(x[2]), inv = 1 / x[2]))
estimate(g1, exp)
```
The gradient can be provided as the attribute `grad` and otherwise numerical differentiation is applied.


An often more convenient syntax is to directly transform the `estimate` objects
via standard mathematical R operations. An advantage of this is also that the
necessary derivatives are automatically calculated exactly.
To illustrate this consider the following simple example where we consider two
`estimate` objects each with a single parameter estimate
```{r estimate_calculus_models}
set.seed(1)
a <- estimate(coef=c("a"=0.5), IC=scale(rnorm(10)), id=1:10)
b <- estimate(coef=c("b"=0.8), IC=scale(rnorm(10)), id=1:10)
```

Parameter transformation can now be calculated directly as in the following examples
```{r estimate_calc_ex}
a * b
(3 * cos(a) / sqrt(b) + 1) / a
e <- c(a,b) # merge
c(sum=sum(e), sum2=a+b,
  prod=prod(e), prod2=a*b) # sum and prod function 
e %*% e # inner prod.
c(1, 2) %*% e
c(pow = a^b) # power-function, rename parameter
a^c(0.5, 2)
c(e["a"] * e["b"] / a, e["b"])
```

For the `%*%` operator we can also use a general contrast matrix
(see also Section on [Linear contrasts](#linear-contrasts-and-hypothesis-testing))
```{r estimate-contrast}
B <- rbind(c(1,-1), c(1,0), c(0,1))
B %*% e
B %*% e == c(1,1,0)
```


The following transformations are implemented

- trigonometric functions: `cos`, `sin`, `tan`
- inverse trigonometric functions: `acos`, `asin`, `atan`
- hyperbolic functions: `cosh`, `sinh`, `tanh`
- inverse hyperbolic functions: `acosh`, `asinh`, `atanh`
- other mathematical functions: `log`, `log1p`, `exp`, `expm1`, `sqrt`
- mathematical operators: `+`, `-`, `*`, `/`, `^`,
 `prod`, `sum`, `%*%`

and any compositions of these functions, which also means we can immediately
 apply most existing user-defined functions. To give an example consider the `logit` function
```{r}
lava::logit
logit(b)
expit(c(a,b))
```

In the above example we also demonstrated the use of the subset operator `[]`
and the merge method `c()`. These are basically equivalent to the `subset` and
`merge` methods. There is also a `transform` method for constructing parameter
transformations above, and the `labels` function for renaming parameters.
Together we can combine these methods via the pipe operator to create readable
code:
```{r estimate-pipe}
merge(a, b) |>  # merges the two `estimate` objects
  transform(prod) |> # calculates product of parameter estimates
  subset(1) |> # nothing happens here as the result was already 1-dim.
  labels("prod") # rename parameter
```

Finally, the `with` function can be used to reference parameter names
```{r estimate-with}
e <- c("e1"=a, "e2"=b)
with(e, c(est = e1*e2))
```


## Example: Pearson correlation
As a simple toy example consider the problem of estimating the covariance of two
variables $X_1$ and $X_2$
\begin{align*}
\widehat{\cov}(X_1,X_2) = \mathbb{P}_n(X_1-\mathbb{P}_n X_1)(X_2-\mathbb{P}_n X_2).
\end{align*}
It is easily verified that the IF of the sample estimate of $(\E X_{1}, \E
X_{2}, \E\{X_{1}X_{2}\})^\top$
is $\IC(X1,X2; \Pz) = (X_{1}-\E X_{1}, X_{2}-\E X_{2},
X_{1}X_{2}-\E\{X_{1}X_{2}\})^\top$. By the delta theorem with $\phi(x,y,z) =
z-xy$ we have  $\nabla\phi(x,y,z) = (-y, -x, 1)$ and thus the IF for the
sample covariance estimate becomes
\begin{align*}
\IC_{x_1, x_2}(X_1, X_2; \Pz) = (X_1 - \E X_1)(X_2 - \E X_2) - \cov(X_1,X_2)
\end{align*}

We can implement this directly using the `estimate` function via the `IC`
argument which allows us to provide a user-specificed IF and with the point
estimate given by the `coef` argument
```{r cov}
Cov <- function(x, y, ...) {
  est <- mean(x * y)-mean(x)*mean(y)
    estimate(
      coef = est,
      IC = (x - mean(x)) * (y - mean(y)) - est,
      ...
    )
}
with(dw, Cov(x1, x2))
```

As an illustration we could also derive this estimate from simpler building
blocks of $\E X_{1}$, $\E X_{2}$, and $\E(X_{1}X_{2})$.
```{r cov2}
est <- lm(cbind(x1, x2, x1 * x2) ~ 1, data = dw) |>
  estimate(labels = c("E1", "E2", "E12"))
est

est["E12"] - est["E2"]*est["E1"]
# transform(e1, function(x) c(x, cov=with(as.list(x), E12 - E2* E1))) # Same result
```
The variance estimates can be estimated in the same way and combined to estimate the correlation
```{r rho}
v12 <- with(dw, Cov(x1, x2, id = id))
v1  <- with(dw, Cov(x1, x1, id = id))
v2  <- with(dw, Cov(x2, x2, id = id))

rho <- c(rho = v12 / sqrt(v1 * v2))
rho
```

by using a variance stabilizing transformation, Fishers
$z$-transform [@lehmann2023_testing],
$z = \arctanh(\widehat{\rho}) =
\frac{1}{2}\log\left(\frac{1+\widehat{\rho}}{1-\widehat{\rho}}\right)$,
confidence limits with general better coverage can be obtained
```{r tanh}
estimate(atanh(rho)) |>
  summary(transform = tanh)
```
The confidence limits are calculated on the $\arctanh$-scale and transformed
back to the original correlation scale via the `transform` argument of the `summary` method.
In this case, where the estimates are far away from the boundary of the parameter space, the variance
stabilizing transform does almost not have any impact, and the confidence limits
agrees with the original symmetric confidence limits.

## Linear contrasts and hypothesis testing

An important special case of parameter transformations are linear
transformations. A particular interest may be formulated around testing
null-hypotheses of the form
\begin{align*}
H_0\colon\quad \bm{B}\theta = \bm{b}_0
\end{align*}

where $\bm{B}\in\mathbb{R}^{m\times p}$ is a matrix of estimable contrasts and
$\bm{b}_0\in\mathbb{R}^{m}$.

As an example consider marginal models for the binary response variables
  $Y_1, Y_2, Y_3, Y_4$
```{r estglmmerge}
g <- lapply(
  list(y1 ~ a, y2 ~ a, y3 ~ a), #, y4 ~ a+x4),
  function(f) glm(f, family = binomial, data = dw)
)
gg <- Reduce(merge, g)
gg
```

A linear transformation can be specified via the `f` as a matrix argument
instead of function object
```{r contrast1}
B <- cbind(0,1, 0,-1, 0,0)
estimate(gg, B)
```

The $\bm{b}_0$ vector (default assumed to be zero) can be specified via the `null` argument
```{r estcontrast1}
summary(estimate(gg, B), null=1)
```

For testing multiple hypotheses we use that
$(\bm{B}\widehat{\theta}-\bm{b}_0)^{\top}
(\bm{B}\widehat{\Sigma}\bm{B}^{\top})^{-1}
(\bm{B}\widehat{\theta}-\bm{b}_0) \sim
 \chi^2_{\operatorname{rank}(B)}$ under the null hypothesis where
 $\widehat{\Sigma}$ is the estimated variance of $\theta$ (i.e.,
`vcov(gg)`)
```{r estcontrast2}
B <- rbind(cbind(0,1, 0,-1, 0,0),
           cbind(0,1, 0,0, 0,-1))
estimate(gg, B)
```

Such linear statistics can also be specified directly as expressions of the parameter names
```{r}
estimate(gg, a + a.1, 2*a - a.2, a) |> summary(null=c(2,1,1))
```

We refer to the function `lava::contr`  and `lava::parsedesign` for defining contrast matrices.
```{r contr}
contr(list(1, c(1, 2), c(1, 4)), n = 5)
```
A particular useful contrast is the following for considering all pairwise
comparisons of different exposure estimates:

```{r pairwise_diff}
pairwise_diff(3)
summary(estimate(gg, pairwise_diff(3), use=c(2,4,6)), null=c(1,1,1))
```

When conducting multiple tests each at a nominal-level of $\alpha$ the overall
type I error is not controlled at $\alpha$-level.
The influence function also allows for adjusting for multiple comparisons.
Let $Z_{1},\ldots,Z_{p}$ denote $Z$-statistics from $p$ distinct two-sided
hypothesis tests which we will assume is asymptotically distributed under the
null hypothesis as a zero-mean Gaussian distribution with correlation matrix
$R.$ Let $ Z_{max} = \max_{i=1,\ldots,p} |Z_i|$ then the family-wise error
rate (FWER) under the null can be approximated by
$$
P(Z_{max} > z) =
1-\int_{-z}^{z} \cdots \int_{-z}^{z} \phi_{R}(x_{1},\ldots,x_{p})
\,dx_{1}\cdots\,dx_{p}
$$
where $\phi_{R}$ is the multivariate normal density
function with mean 0 and variance given by the correlation matrix $R$. The
adjusted $p$-values can then be calculated as
$$
P(Z_{max} >
\Phi^{-1}(1-p/2))
$$
where $\Phi$ is the standard Gaussian CDF. As described in
in [@RitzPipper_multcomp] the joint distribution of $Z_{1},\ldots,Z_{p}$
can be estimated from the IFs. This is implemented in the `alpha_zmax` method

```{r pcorrect, eval=has_mets }
gg0 <- estimate(gg, use="^a", regex=TRUE)
alpha_zmax(gg0, null=rep(.8, 3))
```

While this always yields a more powerful test compared to Bonferroni
adjustments, another powerful closed-testing procedure [@marcus1976], can be generally
obtained by considering all intersection hypotheses.

![*Figure: closed testing via Wald tests of all intersections hypotheses.*](../man/figures/closedtesting.svg){width=60%}

To reject the $H_{1}$ at
an correct $\alpha$-level we should test all intersection hypotheses involving
$H_{1}$ and check if there all are rejected at the $\alpha$-level. The
adjusted $p$-values can here be obtained as the maximum $p$-value across all
the composite hypothesis tests. Unfortunately, this only works for relatively
few comparisons as the number of tests grows exponentially.

```{r closedtesting, eval=has_mets}
summary(closed_testing(gg0, test = test_wald, null=rep(.8, 3)))
```


## Averaging

Some parameters of interest are expressed as averages over functions of the
observed data and estimated parameters of a model. The asymptotic distribution
can in some of these cases also be derived from the influence function.
Let $Z_{1},\ldots,Z_{n}$ be iid observations, $Z_{1}\sim \Pz$ and let  $X_{i}\subset Z_{i}$.

:::: {#lem-averaging}

Assume that $\widehat{\theta}$ is RAL estimator of $\theta\in\Omega\subset \mathbb{R}^{p}$
$$\sqrt{n}(\widehat{\theta}-\theta) = \frac{1}{\sqrt{n}}\sum_{i=1}^{n}\phi(Z_{i}; \Pz) + \op(1).
$$
Let $f:\mathcal{X}\times\Omega\to\mathbb{R}$ be continuous differentiable in $\theta$
$$\sqrt{n}\{f(X; \widehat{\theta})-f(X; \theta)\} =
\frac{1}{\sqrt{n}}\nabla_{\theta}f(X;\theta)\sum_{i=1}^{n}\phi(Z_{i}; \Pz) + \op(1).
$$

Let $\Psi = \Pz f(X;\theta)$ and $\widehat{\Psi} = P_{n} f(X;\widehat{\theta})$.
$\Pz$ and $P_{n}$ are here denoting the integrals wrt. $X$. Then the influence
function for $\widehat{\Psi}$ is given by
\begin{align*}
IC(Z; \Pz) = f(X;\theta)-\Psi + [\Pz\nabla_{\theta}f(X;\theta)]\phi(Z).
\end{align*}

::::

::: {.proof}

It is easily verified that
\begin{align*}
\widehat{\Psi}-\Psi &= (P_{n}-\Pz)(f(X; \theta)-\Psi) + P[f(X;\widehat{\theta})-f(X;\theta)] \\
&\quad + (P_{n}-\Pz)[f(X;\widehat{\theta})-f(X;\theta)]
\end{align*}

From Lemma 19.24 [@vaart_1998_asymp] it follows that for the last term
\begin{align*}
\sqrt{n}(P_{n}-\Pz)[f(X;\widehat{\theta})-f(X;\theta)] = \op(1)
\end{align*}
when $f$ for example is Lipschitz and more generally when $f(X;\theta)$ forms a $\Pz$-Donsker class.

It therefore follows that
\begin{align*}
\sqrt{n}(\widehat{\Psi}-\Psi) &= \sqrt{n}P_{n}(f(X; \theta)-\Psi) +
\frac{1}{\sqrt{n}}P\nabla_{\theta}f(X;\theta)\sum_{i=1}^{n}\phi(Z_{i}; \Pz) + \op(1) \\
&=
\frac{1}{\sqrt{n}}\sum_{i=1}^{n}\{f(X;\theta)-\Psi\} +
\frac{1}{\sqrt{n}}P\nabla_{\theta}f(X;\theta)\sum_{i=1}^{n}\phi(Z_{i}, \Pz) + \op(1)
\end{align*}
Hence the IF for $\widehat{\Psi}$ becomes
$$
IC(Z; \Pz) = f(X;\theta)-\Psi +
[\Pz\nabla_{\theta}f(X;\theta)]\phi(Z).
$$

\flushright$\blacksquare$
:::

Turning back to the example we can estimate the logistic regression model
$\operatorname{logit}(E\{Y_1 | A,X_1,W\}) = \beta_0 + \beta_a A + \beta_{x_1}
X_1 + \beta_w W$, and from this we want to estimate the target parameter
$$
\theta(P) = \E_{P}[E(Y\mid A=1, X_{1}, W)].
$$
To do this we need first to estimate the model and then define a function that
gives the predicted probability $\pr(Y=1\mid A=1,X_{1},W)$ for any observed
values of $X_1,W$ but with the treatment variable $A$ kept fixed at the
value $1$
```{r estpred}
g <- glm(y1 ~ a + x1 + w, data=dw, family=binomial)
pr <- function(p, data, ...)
  with(data, expit(p[1] + p["a"] + p["x1"]*x1 + p["w"]*w))
pr(coef(g), dw) |> head()
```
The target parameter can now be estimated with the syntax
```{r average}
id <- foldr(NROW(dw), 100, list=FALSE)
ea <- estimate(g, pr, average=TRUE, id=id)
ea
IC(ea) |> head()
```

## Average Treatment Effects

Let the observed data be $Z = (W,A,Y)$, where $W$ are covariates, $A$ a binary treatment
variable, and $Y$ the outcome.
In the following we are interested in estimating the target parameter
$\psi_a(P)
= E_P[Y(a)]$, where $Y(a)$ is the *potential outcome* we would have
observed if treatment $a$ had been administered, possibly contrary to
the actual treatment that was observed, i.e., $Y = Y(A)$. To assess the
treatment effect we can then consider the *average treatment effect*
(ATE) $$E_P[Y(1)]-E_P[Y(0)],$$ or some other contrast of interest
$g(\psi_1(P), \psi_0(P))$. Under the following assumptions

1)  Stable Unit Treatment Values Assumption (the treatment of a specific
    subject is not affecting the potential outcome of other subjects)
2)  Positivity, $P(A=a\mid W)>\epsilon$ for some $\epsilon>0$ and baseline
    covariates $W$
3)  No unmeasured confounders, $Y(a)\indep A|W$


then the target parameter can be identified from the observed data
distribution as $$E(E[Y|W,A=a]) = E(E[Y(a)|W]) = E[Y(a)]$$ or
$$E[Y I(A=a)/P(A=a|W)] = E[Y(a)].$$

This suggests estimators based on outcome regression ($g$-computation)
or inverse probability weighting. More generally, under the above
assumption we can construct a *one-step* estimator from the *Efficient
Influence Function* combining these two
$$ E\left[\frac{I(A=a)}{\Pi_a(W)}(Y-Q(W,A)) + Q(W,a)\right].$$
In practice, this requires plugin estimates of both the outcome model,
$Q(W,A) := E(Y\mid A, W)$, and of the treatment propensity model
$\Pi_a(W) := P(A=a\mid W)$. The corresponding estimator is consistent
even if just one of the two nuisance models is correctly specified.

To illustrate this we manually construct the above estimating equations based on
logistic regressions models for the two nuisance models
```{r ate-nuisancemodels}
qmod <- glm(y1 ~ a * w, family = binomial, data = dw) # E(Y|W,A) := Q(W,A)
amod <- glm(a ~ w, family = binomial, data = dw) # P(A=1|W) = Pi_1(W)
q0 <- predict(qmod, transform(dw, a=0), type="response") # Q(W,0)
q1 <- predict(qmod, transform(dw, a=1), type="response") # Q(W,1)
p1 <- predict(amod, dw, type="response") # P(A=1|W)
e0 <- with(dw, (1-a) / (1-p1) * (y1 - q0) + q0)
e1 <- with(dw, a / p1 * (y1 - q1) + q1)
head(cbind(e0, e1))
```

We can then easily construct estimates of the two expected potential outcomes
and estimate their joint asymptotic distribution
```{r est-potentialoutcomes}
est0 <- estimate(coef=mean(e0), IC=e0-mean(e0)) # E[Y(0)]
est1 <- estimate(coef=mean(e1), IC=e1-mean(e1)) # E[Y(1)]

potential_outcomes <- merge(est0, est1, paired=TRUE, labels=c("y(0)", "y(1)"))
potential_outcomes
head(IC(potential_outcomes))
vcov(potential_outcomes)
```

Finally, we can obtain the Average Treatment Effect (ATE) (risk-difference)
\begin{align*}
E[Y(1)]  - E[Y(0)]
\end{align*}

```{r est-ate}
estimate(potential_outcomes, cbind(-1, 1), labels="ate")
```

Alternatively, we could get the estimate of the treatment effect on the log-odds
scale:
```{r est-ate-or}
est <- with(potential_outcomes, logit(`y(1)`)-logit(`y(0)`))
est
transform(est, labels="OR") |>
  summary(transform = exp)
#logor <- function(p) logit(p[2]) - logit(p[1])
#transform(potential_outcomes, logor, labels="logOR")
#transform(potential_outcomes, logor, labels="OR") |> summary(transform = exp)
```

We refer to the `targeted` package [@r-targeted] for a general implementation
where the nuisance models can be based on machine learning models using
cross-fitting. The above estimation can be obtained with the  `targeted::cate` function in the following way
```{r est-cate}
#| eval: false
amod <- targeted::learner_glm(a ~ w, family=binomial)
qmod <- targeted::learner_glm(y1 ~ a * w, family=binomial)
est <- targeted::cate(qmod, amod, data=dw, second.order = FALSE)
#>             Estimate Std.Err    2.5%  97.5%   P-value
#> E[y1(1)]      0.7050 0.03721 0.63207 0.7779 4.934e-80
#> E[y1(0)]      0.5359 0.03535 0.46666 0.6052 6.290e-52
#> ───────────
#> (Intercept)   0.1691 0.04996 0.07115 0.2670 7.138e-04
```

# SessionInfo

```{r sessionInfo}
sessionInfo()
```

# Bibliography

