Targeted Highly Adaptive Lasso Minimum Loss Estimation of Target Functions

We propose a Targeted Highly Adaptive Lasso for estimation of non-pathwise differentiable functional parameters such as the dose-response curve (DRC) for continuous exposure.

We assume the target function lies in the $k$-th order smoothness class used to define the $k$-th order Highly Adaptive Lasso (HAL), which can be well approximated by linear spans of $k$-th order spline basis functions.

We construct a projection of the true target function onto a large finite dimensional working model spanned by an initial set of $k$-th order spline basis functions, which defines a pathwise differentiable approximation of the target functional parameter.

A standard TMLE is then applied with a data-adaptive initial fit, replacing the MLE targeting step with a LASSO step over HAL spline basis functions that span the target function.

We prove that the resulting Targeted HAL-MLE is pointwise asymptotically normally distributed and achieves a convergence rate determined solely by the dimension and smoothness of the target function, giving dimension free rates up till $\log n$-factors.

Through a simulation study for the DRC, we show that the Targeted HAL outperforms a HAL plug-in estimator in terms of bias and mean squared error.

Targeted HAL offers a fully data-adaptive approach to inference on functional parameters without requiring sieve specification or parametric assumptions.