Abstract
Estimators based on influence functions (IFs) have been shown to be effective
in many settings, especially when combined with machine learning techniques. By
focusing on estimating a specific target of interest (e.g., the average effect
of a treatment), rather than on estimating the full underlying data generating
distribution, IF-based estimators are often able to achieve asymptotically
optimal mean-squared error. Still, many researchers find IF-based estimators to
be opaque or overly technical, which makes their use less prevalent and their
benefits less available. To help foster understanding and trust in IF-based
estimators, we present tangible, visual illustrations of when and how IF-based
estimators can outperform standard ``plug-in'' estimators. The figures we show
are based on connections between IFs, gradients, linear approximations, and
Newton-Raphson.
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