Efficiency Optimality without Pathwise Differentiability: A Variational Theory for Marginal-Integral Functionals

Shuoxun Xu; Xinzhou Guo

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arXiv · 2609.12707

Efficiency Optimality without Pathwise Differentiability: A Variational Theory for Marginal-Integral Functionals

Shuoxun Xu·Xinzhou Guo

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Abstract

In this work, we provide a new perspective on semiparametric efficiency theory. In particular, we reformulate the questions of optimal efficiency and its attainment as a variational problem: minimize variance over estimating functions subject to robust unbiasedness constraints. We develop this theory for marginal-integral functionals without requiring pathwise differentiability. We study estimating functions whose expectations remain equal to the target when any one specified nuisance component is misspecified and the others are correct. We characterize the infimum of their variances through conditional variance minimization. For maxima of affine functions of treatment-specific conditional means, we obtain explicit optimal weights and construct cross-fitted estimators that attain the bound under conditions on nuisance estimation and the probability of near ties. For analogous maxima based on jointly observed quantities, the optimal weights use the full conditional covariance matrix. We also identify conditions under which the variance bound agrees with a classical convolution bound for parametric perturbations that preserve ties to first order. Examples include optimal policy values, $L^1$ calibration error, Balke--Pearl bounds, and mediation parameters. In an application to the National Longitudinal Survey of Young Men, covariance weighting reduces the median estimated variance of the cross-fitted estimating function relative to equal weighting by 12.9% for the lower Balke--Pearl endpoint and 16.5% for the upper, with improvements in all 20 repeated cross-fitting splits.

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Shuoxun Xu, Xinzhou Guo. 2026-09-15. Efficiency Optimality without Pathwise Differentiability: A Variational Theory for Marginal-Integral Functionals. https://arxiv.org/abs/2609.12707

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