Towards a Unified Theory for Semiparametric Data Fusion with Individual-Level Data.

Abstract

We consider inference about a finite-dimensional parameter integrating samples from independent sources. A recently developed theory considers scenarios where sources align with subsets of the conditional distributions of a single factorization of the joint target distribution. While this theory applies in many settings, it falls short in important data fusion problems, such as two-sample instrumental variable analysis, settings that integrate data from epidemiological studies with diverse designs, and studies with mismeasured variables supplemented by external validation studies. In this paper, we derive a comprehensive theory that, in particular, covers these settings by allowing the integration of sources aligned with conditional distributions that do not correspond to a single factorization of the target distribution. We provide a universal characterization of the influence functions of regular and asymptotically linear estimators and the efficient influence function of a target parameter, irrespective of the parameter of interest or the statistical model for the target distribution, thus paving the way for a unified theory for machine-learning debiased, semiparametric efficient estimation.