Honest Confidence Intervals for Transported Complier Effects with Rough Nuisance Functions
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CSWP-2026-030· https://causalsmith.org/papers/stat_transport_cace_roughnuisance_length_v1/
@techreport{causalsmith_stat_transport_cace_roughnuisance_length_v1,
title = {Honest confidence intervals for transported complier effects with rough nuisance functions},
author = {{CausalSmith}},
year = {2026},
month = oct,
institution = {CausalSmith Working Papers},
number = {CSWP-2026-030},
url = {https://causalsmith.org/papers/stat_transport_cace_roughnuisance_length_v1/},
note = {Version 3, 1 Oct 2026. Machine-generated; formal statements verified in Lean 4 at commit 46d0720}
} https://causalsmith.org/papers/stat_transport_cace_roughnuisance_length_v1/ Cites version 3 of 1 Oct 2026. Abstract
We characterize the optimal expected length of uniformly honest confidence intervals for a target-population complier average treatment effect in an equal-size two-sample experiment. The data comprise independent source records containing a scalar covariate, encouragement, treatment receipt and outcome, together with independent target covariate records. Source and target densities, the encouragement propensity and conditional arm means are unknown and belong to fixed Hölder classes with exponent . For , under fixed density envelopes, encouragement overlap, bounded potential outcomes, instrument validity, monotonicity, and transport of conditional complier shares and complier-weighted outcome effects, the minimax expected length is of order , uniformly over , where is the transported first-stage evaluation floor. Coverage is required over the full model with positive transported compliance. An observable split-sample cubic estimator and calibrated affine-score inversion attain this order with a single interval sequence across all floors. A matching lower bound uses a continuum of admissible instrumental-variable laws with a no-defiers potential-outcome realization and applies to arbitrary measurable confidence sets. The frontier has a constant-order branch when the strength floor is at or below the rough estimation scale and an inverse-strength branch above it.
Introduction
Transporting an instrumental-variable effect requires learning both the population weights and the encouragement contrasts that identify the effect among target-population compliers. When transported compliance is small, uncertainty in those contrasts is amplified by the compliance denominator. This paper characterizes that interaction through the optimal expected length of confidence intervals with finite-sample coverage uniformly over a specified continuous-covariate model.
Our experiment combines two independent samples of equal size: source records containing covariates, encouragement, receipt and outcomes, and target records containing covariates. The covariate is scalar and lies in the unit interval. Source and target densities, the source encouragement propensity, and outcome and receipt arm means belong to fixed Hölder classes with exponent . Density envelopes are fixed and positive, encouragement probabilities lie between and , and potential outcomes lie in . Conditional instrument randomization, consistency, exclusion and monotonicity connect observed source contrasts to complier quantities. Two transport equalities, holding for target-almost every covariate value, carry the conditional complier share and the conditional complier-weighted outcome effect across populations. Under these restrictions, Lemma 1 identifies the target complier average treatment effect as the ratio of target-averaged source outcome and receipt contrasts.
The main result concerns intervals whose coverage is at least at every law in this model, where is the fixed noncoverage probability. Precision is evaluated on laws whose transported first stage lies between , the evaluation floor, and . Thus global coverage and strength-specific expected length are distinct requirements. For fixed density envelopes and Hölder radius, Theorem 1 establishes where is the minimax worst-case expected length among globally honest connected intervals. The comparison constants depend only on the fixed regularity parameters and noncoverage probability. The bounds are uniform across the stated strength range and contain no leading logarithmic factor.
A single observable interval sequence attains this frontier. The construction expresses the transported contrasts as smooth rational functionals of seven observable marked densities. A clipped histogram pilot, followed by linear, quadratic and cubic corrections using separate evaluation blocks, yields the uniform mean-square bound in Lemma 3. Inverting an affine score with a deterministic radius calibrated from that bound gives the interval in Definition 9. Its coverage holds for every positive sample size, and its expected length is bounded by a constant times the rough estimation scale divided by the actual transported first stage, capped at constant order. The evaluation floor enters the performance criterion; the same procedure serves every strength slice.
The converse preserves the causal structure of the problem. The construction in Algorithm 2 and Lemma 4 supplies admissible observed probability laws together with compatible potential receipts and outcomes satisfying monotonicity and the transport restrictions. Its actual compliance share is the larger of the evaluation floor and the rough estimation scale. A continuum of common effect values across sign mixtures, combined with observational proximity to a center experiment, produces the matching expected-length lower bound. Theorem 3 applies to arbitrary measurable confidence sets contained in the bounded effect domain. The constant-order branch therefore reflects the information available under global coverage when the strength floor is at or below .
This characterization joins three established lines of work. Transported complier-effect identification and regular inference are developed by Chen et al. (2025), while Clark et al. (2024) establish regular inference for transported principal effects under their identification and nuisance-rate conditions. Rough transport-functional estimation has a direct antecedent in Zeng et al. (2025); their lower-bound exponent specializes to one third under the stated one-dimensional smoothness and design conditions. Higher-order correction follows the functional-estimation approach of Robins et al. (2008). Identification-robust score inversion is developed for LATE by Ma (2026), and its confidence-set geometry is studied by Smucler et al. (2026). The immediate expected-length benchmark is CausalSmith (2026), which treats supplied geometry and specified cell-based weight-learning settings. The present result connects rough functional estimation and score inversion to a sharp expected-length criterion with fully learned continuous geometry, equal sample sizes and uniform coverage under the declared causal model.
The analysis covers scalar covariates, equal source and target sample sizes, fixed Hölder exponent (1/8), and the causal and transport restrictions stated in Section 3. Section 2 gives the closest methodological comparisons; Section 3 specifies the observed experiment and inference criterion; and Section 4 states the frontier and its mechanism. Section 5 interprets the calibration and formulates the unequal-sample problem. The technical construction and supporting bounds appear in Section A, the legal lower family in Section B, and the auxiliary comparators and verification scope in Section C. Full proofs of the anchored results are collected in Section D.
Related work
The closest comparisons concern transported complier effects, estimation of rough transport functionals, and inference under weak identification. Our immediate benchmark is CausalSmith (2026), which characterizes asymptotically honest expected length through first-stage strength and transport-weight dispersion when the covariate and assignment geometry is supplied. Its feasible cell-based procedures learn target weights under uniform source cells and balanced assignment, or under regular nonuniform cells with supplied source probabilities and assignment propensities. Those results assume proportional source and target sample sizes and cell counts growing more slowly than the square root of the source sample size. The present comparison concerns the continuous-covariate model in Definition 2: the densities, encouragement propensity and arm means have Hölder exponent , fixed at , and the two samples each contain records.
For identification and regular inference, Chen et al. (2025) provide a particularly close comparison. Their observation scheme combines study records containing covariates, encouragement, receipt and outcomes with target covariates. Theorem 3.1 identifies the target complier average causal effect as a ratio of target-averaged source encouragement contrasts under their sampling overlap, target-population IV validity, and mean exchangeability restrictions for the outcome contrast and first stage. Their regular inference results distinguish supplied and estimated selection probabilities. Theorem 4.2 assumes known selection and assignment models, a fixed source-to-target sample-size ratio, and finite weighted second moments. Theorem 4.3 treats a correctly specified logistic selection model estimated by maximum likelihood, with known assignment probabilities and the stated moment and full-rank conditions. These theorems support delta-method inference at a fixed positive first stage. Our identification uses the transport restrictions on the complier-weighted outcome contrast and complier share in Assumptions 16 and 17, while the inference criterion in Definition 3 requires coverage uniformly over the model class.
A distinct observation scheme underlies Rudolph et al. (2017). They transport outcomes to a site where covariates, encouragement and receipt are observed, so that the target first stage can be estimated directly. Their identification combines a common conditional outcome model across sites with target encouragement exchangeability, exclusion, monotonicity and positivity. Section 5 derives the transported-CACE influence curve and constructs a ratio of targeted estimators, with inference based on the influence curve or the multivariate delta method. Section 7 applies this construction to the Moving to Opportunity experiment. In the covariate-only target scheme studied here, both the outcome and receipt contrasts are obtained by averaging source contrasts over the target covariate distribution, as stated in Lemma 1. This difference determines which transport restrictions identify the denominator as well as the numerator.
Transported principal-effect inference supplies another close comparison. Within their principal-stratification identification framework, Clark et al. (2024) establish asymptotic linearity, normality and efficiency for an influence-function estimator using trial assignment, receipt and outcome data together with target covariates. Their theorem assumes a positive limiting source-to-target sample-size ratio, nuisance estimation on a separate independent sample, uniform positivity of the relevant true and estimated probabilities, bounded outcome regressions, and consistency of the component influence functions. Efficient regular inference further requires each of the three specified products of nuisance estimation errors to be negligible relative to the inverse square root of sample size. These conditions describe a regular estimation regime for transported principal effects. The rough-class analysis here instead calibrates the observable estimator through the uniform mean-square bound in Lemma 3, which supplies the error control used by the score interval.
The reduced-form estimation scale has a direct methodological antecedent in Zeng et al. (2025). Their Theorem 6 gives a minimax lower bound for generalization when source and target covariates coincide, the joint covariate density for source membership and a specified treatment arm is constant, and the compound selection–treatment probability and outcome regression satisfy the stated positivity bounds. Its exponent specializes to one third for one-dimensional covariates and average nuisance smoothness one eighth. Their Theorem 8 gives conditional bias and variance bounds for a quadratic estimator of a transportation functional. That result assumes independent training data, uniform positivity, and uniformly well-conditioned true and estimated projection Gram matrices. Its bias bound includes both a product of projection approximation errors and a remainder multiplying two nuisance errors by the inverse-Gram estimation error. Thus, the exponent and the use of higher-order corrections are established antecedents, with the design, approximation and remainder conditions forming part of their results.
The cubic construction in Algorithm 1 belongs to the higher-order functional-estimation approach developed by Robins et al. (2008). The marked densities in Definition 6 express each transported contrast as the integral of a smooth rational function, as specified in Definition 7. This representation permits a clipped pilot followed by observable linear, quadratic and cubic corrections computed from separate sample blocks. The construction specializes higher-order bias correction to the joint source–target observation scheme and provides the uniform mean-square control needed for finite-sample calibration.
Score inversion connects that estimation problem to identification-robust inference. Ma (2026) establish uniformly correct asymptotic size for an orthogonalized test of a LATE moment under their high-dimensional nuisance, sparsity, overlap, moment and empirical regularity conditions. The result accommodates weak identification within that class. Our score interval in Definition 9 uses a finite-sample calibration derived from a uniform mean-square bound over the specified rough class. The shared principle is to test an affine moment in the candidate effect; the calibration and the model over which coverage is required determine the resulting guarantee.
The geometry of this inversion is clarified by Smucler et al. (2026). Their studentized score inversion reduces to a quadratic inequality and can produce bounded or unbounded intervals, disconnected sets, the whole line, an empty set or a singleton. Under their independent nuisance estimation, boundedness, overlap, consistency and product-rate conditions, Theorem 1 shows agreement with the doubly robust Wald interval up to stochastic endpoint errors of order , with probability tending to one, at a fixed law with a nonzero first stage. Theorem 2 gives a nonnormal ratio limit under their local-to-zero moment and nuisance-negligibility conditions. In our construction, a deterministic calibration radius and the bounded causal domain yield the connected acceptance interval and fallback rules specified in Definition 9. These comparisons locate the inversion principle within established weak-identification methodology.
Two older principles organize the criterion used here. Anderson–Rubin inversion constructs confidence sets by testing an affine reduced-form moment without dividing by a possibly weak first stage (Anderson et al., 1949); Fieller’s ratio analysis likewise allows denominator uncertainty to determine confidence-set geometry (Fieller, 1954). The present interval specializes that logic to the bounded causal domain and replaces an asymptotic critical value with the finite-sample rough-functional radius in Definition 9. On the decision-theoretic side, weak identification can force unbounded confidence sets on an unrestricted parameter space (Dufour, 1997), while honest expected length over bounded functional classes is governed by between-class modulus arguments (Cai et al., 2004). Here bounded outcomes cap length at constant order, and the legal transported-IV family supplies the testing comparison that yields the second branch of the frontier.
The contribution is the joint equal-size, rough-geometry, uniform-coverage and expected-length characterization in Theorem 1. Its upper bound uses an observable cubic estimator and a calibrated score interval; its lower bound is realized by the primitive IV family in Algorithm 2 and Lemma 4. That family retains the causal and transport restrictions of the model while producing the observed experiments needed for the length comparison. Together, these results connect the established rough-functional exponent and score-inversion principle to a sharp expected-length criterion for transported complier effects with unknown continuous covariate and assignment geometry.
Model, transport restrictions and inference criterion
Throughout, sample sizes are positive integers, and all random variables and conditional expectations are measurable. We use for the supremum norm and for absolute value. Generic positive constants may depend on the fixed density envelopes, smoothness radius and coverage level; their values may change between occurrences. The notation denotes an inequality up to such a constant, uniformly over the stated model class and strength range, and denotes inequalities in both directions.
Primitive variables and the observed experiment
The scalar covariate domain is =[0,1]. Population membership is coded by for the source and for the target. A primitive full-data record under the full-data law is where are potential receipts under encouragement, are potential outcomes under receipt, and is the complier indicator. The target conditional effect among compliers is represented by whenever the denominator is positive.
The source assignment law augments a source full-data draw with encouragement , using propensity , and consistency induces the observed receipt and outcome . Its observed record is with one-record law . The target observation is only , with one-record law . Thus determines the causal variables, the source assignment mechanism determines the observed source law, and the target-population covariate marginal determines . The samples and contain records from these two observed laws. Their densities and conditional arm means receive the regularity restrictions below.
The observed source records are independent and identically distributed with common law , the law of one observed source record:
⊢ LeanWe first impose independent sampling within each population and independence between the two samples.
The observed target covariate records are independent and identically distributed with common law , the law of one observed target covariate:
⊢ LeanIndependent source sampling makes the source records repeated observations from a common population law, as in standard two-sample transport designs (Zeng et al., 2025). The corresponding target condition fixes the population represented by the covariate sample.
The observed source records and observed target covariate records are independent:
⊢ LeanIndependent target sampling allows the target covariate distribution to be learned from repeated draws under the same two-sample framework (Zeng et al., 2025). We complete the sampling design by requiring the two collections of records to be independent.
The covariate space is
⊢ LeanSource–target sample independence describes separately drawn samples and gives the joint observed law a product structure (Zeng et al., 2025).
Density, overlap and smoothness restrictions
The regularity conditions use fixed envelopes and a common Hölder convention. We define these quantities together so that density, propensity and regression restrictions share the same scale.
The lower density envelope and upper density envelope control covariate support across populations. The common radius bounds both components of the Hölder ball . At exponent , the class permits rough continuous nuisance functions. We first impose density bounds for the source and target designs.
The source covariate density , with and the fixed lower and upper density envelopes, satisfies the following conditions:
(Envelope constants.) .
(Full-data law and support.) , the full-data law, is a probability law. Under this law, the covariate and both potential outcomes and belong to almost surely.
(Density identity.) The covariate marginal of , the law of one observed source record, has density with respect to Lebesgue measure restricted to . Thus, for every Borel set ,
(Pointwise bounds.) For every ,
A uniformly positive bounded source design density supplies source observations throughout the covariate domain, a standard support condition for transport analysis (Zeng et al., 2025). The full-data support clause also fixes the scale of the potential outcomes. The target density obeys the same envelopes.
The target covariate law , with target density , satisfies the following conditions on , the covariate domain, with real constants and , the lower and upper density envelopes:
(Density identity.) For every Borel set ,
(Density envelope.) For every ,
(Positive lower envelope.)
Uniformly positive bounded target density gives both populations the common support used in transport comparisons (Zeng et al., 2025). Together, the two density envelopes bound the target-to-source density ratio. We next control variation within that support.
The source covariate density belongs to , the class of continuous functions on with supremum norm and -Hölder seminorm bounded separately by , where is the common Hölder exponent and is the common Hölder radius: Thus the bounds are where denotes the -Hölder seminorm of the source density.
⊢ LeanThe one-dimensional isotropic Hölder ball controls the source density’s local variation while allowing low regularity, the smoothness framework used in higher-order functional estimation (RobinsLiMukherjeeTchetgenVanDerVaart2017HigherOrder, 2017). The target density receives the same exponent and radius.
The target covariate density satisfies the following conditions:
(Radius.) The common Hölder radius satisfies .
(Exponent.) The common Hölder exponent is .
(Regularity.) : it is continuous on and satisfies
Target density Hölder regularity places the target design in the same one-dimensional smoothness class as the source density, giving common control over the covariate distributions entering our transported functional. The related transport rate comparison specifies smoothness of outcome regressions and inverse selection–treatment weights (Zeng et al., 2025). For source encouragement, we impose positivity before its smoothness restriction.
The source encouragement propensity satisfies
⊢ LeanSource instrument positivity ensures that both encouragement arms are represented at every covariate value (Chen et al., 2025). Its fixed bounds concern assignment probabilities, whereas compliance strength will be governed by a separate condition. The propensity also satisfies the common Hölder restriction.
The source encouragement propensity belongs to , with Hölder exponent and common Hölder radius ; explicitly,
⊢ LeanA Hölder-smooth propensity controls how assignment probabilities vary with covariates in our model. The related transport rate comparison imposes smoothness on an inverse selection–treatment weight and an outcome regression (Zeng et al., 2025). The remaining observed nuisance functions are the receipt and outcome regressions within each encouragement arm.
The source conditional arm means , for responses and encouragement arms , satisfy the following conditions, with common Hölder radius and Hölder exponent :
(Smoothness.) , , and each is continuous on , with
(Range.) For every , , and ,
(Source arm moments.) Under the usual measurability conditions, for every , , and measurable set , where is the law of an observed source record, is the source covariate density, and is the source encouragement propensity.
Hölder-smooth observed arm regressions control the covariate variation of the conditional receipt and outcome means (Zeng et al., 2025). Their range reflects the bounded responses, and the arm-moment identities tie the chosen regression versions to the observed source law.
Instrument validity and complier transport
The causal restrictions connect observed encouragement-arm contrasts to effects among compliers. We begin with consistency of treatment receipt and outcomes in the source population.
In the source population, observed receipt equals potential receipt under the realized encouragement:
⊢ LeanReceipt consistency connects realized treatment receipt to its potential value under the assigned encouragement (Chen et al., 2025). The outcome restriction completes this link between observed records and potential variables.
In the source population, the observed outcome equals the potential outcome under the realized receipt and lies in the unit interval, both almost surely:
⊢ LeanOutcome consistency identifies the observed response with the potential outcome under realized receipt (Chen et al., 2025); boundedness fixes its scale for the inference problem. We then require conditional randomization of encouragement.
Let denote the primitive full-data record and let be its source-population law. The joint source assignment law of is a probability law, and its -marginal is . The zero extension of the source propensity, is measurable. Put and . For every measurable full-data event and each , Thus encouragement is conditionally independent of given and source membership :
⊢ LeanConditional instrument exchangeability makes source encouragement comparable across potential receipt and outcome types within covariate strata (Chen et al., 2025). This permits a covariate-dependent randomized encouragement design. The next restriction specifies the causal channel through which encouragement affects outcomes.
For each , the source potential outcome generated by setting encouragement to equals almost surely under , the primitive full-data law at sample-size index . Here is potential receipt under encouragement , and is the potential outcome under receipt .
⊢ LeanInstrument exclusion assigns encouragement’s outcome effect to the receipt it induces (Chen et al., 2025). Combined with conditional randomization and consistency, it supplies the outcome interpretation of the source arm contrast. Monotonicity supplies its principal-stratum interpretation.
The potential receipts and , under unit and zero encouragement respectively, satisfy almost surely under , the primitive full-data law at sample-size index .
⊢ LeanThe no-defiers monotonicity condition makes individual receipt weakly increasing in encouragement (Chen et al., 2025). Under these instrument restrictions, the source receipt contrast represents a conditional complier share, and the source outcome contrast represents a conditional complier-weighted effect; their transported interpretation is given in Lemma 1.
Transport is imposed through two equalities at target-almost-every covariate value. The first carries the complier-weighted outcome contrast across populations.
Let be the indicator of the complier principal stratum, let be the potential outcome under receipt , and let be the primitive full-data law at sample-size index . For -almost every covariate value , where is the law of one observed target covariate, where denotes target membership and denotes source membership.
⊢ LeanAfter aligning encouragement potential outcomes with receipt-mediated outcomes under exclusion and monotonicity, this complier-weighted outcome restriction corresponds to Assumption 2 of Chen et al. (2025). It transports the conditional contribution to the effect numerator, including local complier prevalence. The second equality transports that prevalence itself.
The pointwise complier-share equality is the transport condition chosen for the present model and implies the averaged equality in Assumption 4 of Chen et al. (2025). It is substantively plausible when source participation changes covariate composition but, within the measured covariate strata, does not change how encouragement shifts receipt. Together, the two equalities carry the numerator and denominator of the target complier effect through the target covariate distribution. The contribution developed below concerns estimation over the rough nuisance class and the honest expected-length frontier under these identification conditions.
The source contrast and target-averaged contrast separate the source conditional response from target covariate weighting. The target complier share determines the normalization of the target complier effect . Because both potential outcomes lie in , the effect domain is . Positive compliance gives the conditional target effect a well-defined denominator.
The transported compliance share and first stage, , satisfies
⊢ LeanTarget instrument relevance requires a positive transported complier share (Chen et al., 2025). The model permits this share to approach zero as the sample-size index varies. Under the preceding causal and transport restrictions, Lemma 1 gives Transported compliance therefore determines both the population represented by the causal effect and the first stage that scales the observed outcome contrast. The bounded domain gives confidence intervals a common length scale even when that first stage is small.
Global honesty and expected length
We collect the sampling, regularity and causal restrictions into a single law-level class before defining coverage.
The model class consists of law triples where is the primitive full-data law, is the law of one observed source record, and is the law of one observed target covariate, satisfying all of the following restrictions at sample-size index :
A law triple in the model class specifies both the causal target and the observed two-sample experiment. For probabilities and expectations involving a data-dependent interval, the observed law is . The following conventions fix the coverage level, the estimator’s sample-size threshold and the measure used to evaluate interval length.
The noncoverage probability is fixed across the model class. The sample-size threshold governs use of the cubic estimator, and restricted Lebesgue length measures uncertainty on the causal domain. A generic random interval is a measurable function of the two observed samples: formally, its graph is measurable in the product of the observed sample space and the Borel -field on . We require its coverage to hold uniformly over the full model class.
The class of uniformly honest connected intervals is Here is the bounded domain of the target-population complier effect , is the model class, and is the prescribed noncoverage probability.
⊢ LeanThe honest interval class imposes finite-sample coverage at every law in , including laws with arbitrarily small positive transported compliance. Connectedness makes the reported set an interval, and containment in bounds its length by two. To evaluate how its expected length changes with first-stage strength, we next select a strength slice.
The first-stage strength slice, with denoting the transported first stage under , is defined for real parameters and every by Here is the model class of Definition 2 with parameters .
⊢ LeanThe evaluation floor indexes the strength slice , whose transported first stages lie between and . It enters the laws over which expected length is evaluated. Coverage continues to be required over all of , and the attaining interval in Definition 9 uses a single construction across these slices. This ordering separates global validity from the strength-specific evaluation of precision.
We express the resulting optimal expected-length criterion as follows.
The minimax expected-length frontier is where is the class of uniformly honest connected intervals, is the model slice with transported first stage between and , and denotes Lebesgue length restricted to the effect domain .
⊢ LeanThe minimax expected length compares globally honest intervals by their worst expected length on a specified strength slice. Its infimum ranges over procedures satisfying the full coverage requirement in Definition 3, while its supremum evaluates precision on Definition 4. This criterion links the roughness of the observed nuisance functions to the uncertainty remaining about a transported complier effect at a given first-stage scale.
Main results and an attaining interval
The minimax expected length has order A single observable interval attains the upper bound while maintaining coverage over the full model class, and the lower bound applies to every measurable confidence set, including disconnected ones. This section states the exact interval and frontier. The technical construction and supporting bounds appear in Sections A and B; full proofs are collected in Section D.
Observable representation and cubic correction
The construction collects the observable density components in a seven-coordinate vector. Its source arm densities and response-marked arm densities encode the conditional contrasts without estimating conditional means separately.
The marked-density vector for the model in Definition 2 is where the source arm densities and response-marked arm densities are Here is the source conditional mean of response in encouragement arm .
⊢ LeanWeighting the arm contrast by the target density gives the transported functional.
The target-averaged source contrast for response is
⊢ LeanUnder the causal and transport assumptions, is the transported first stage and ; see Lemma 1. Thus inference can invert the affine moment without dividing by an estimated first stage.
For , each source and target sample is split into one pilot block and three evaluation blocks. Blockwise marked histograms estimate all seven coordinates. The pilot resolution satisfies , while the quadratic and cubic correction resolutions satisfy and , up to dyadic rounding. The transported-contrast estimator expands around the clipped pilot and adds linear, quadratic, and cubic terms formed from separate evaluation blocks.
The three correction orders cancel the corresponding Taylor terms while retaining independence among repeated residual factors. At smoothness , the fourth-order remainder and correction variances are controlled by the uniform mean-square envelope constant . Specifically, The exact histogram conventions, estimator, and computable constant are given in Algorithm 1 and Lemma 3.
Score interval and sharp frontier
The mean-square scale yields the following calibrated affine-score acceptance set and interval.
The calibrated affine-score acceptance set is defined, for real inputs , a sample size , and a pair of source and target samples each containing records, by Here and are the cubic estimators computed from the supplied samples with inputs , and is the mean-square envelope evaluated at . Each cubic estimator equals zero when , the estimator threshold, and otherwise equals its pilot integral plus its linear, quadratic, and cubic corrections. The square root and negative power use their total real-valued conventions, including at zero.
⊢ LeanThe inverted score interval is Here is the calibrated affine-score acceptance set, is the bounded effect domain, and is the threshold for using the cubic estimator.
⊢ LeanThe full-domain fallback supplies coverage below the estimator threshold. For larger samples, the procedure retains a nonempty affine-score acceptance interval and uses the stated singleton convention when the acceptance set is empty. The exact result combines all-positive-sample-size coverage with the two-sided frontier for .
Fix real constants satisfying:
(Noncoverage probability.) .
(Lower density envelope.) .
(Upper density envelope.) .
(Hölder radius.) .
Let be the score interval of Definition 9, and let be the minimax expected restricted length defined in Definition 5. Set There exist finite constants , depending only on , such that , the class of honest intervals in Definition 3, for every integer , and, for every integer and every real with , Moreover, for every integer and every law as defined in Definition 2, writing for the transported first stage, the same interval sequence satisfies where denotes Lebesgue length restricted to the effect domain .
⊢ LeanThe two regimes follow by comparing the score radius with the transported first stage. Above , affine inversion turns contrast error into effect uncertainty of order . At or below that scale, the bounded effect domain caps length at constant order. The legal instrumental-variable mixture in Lemma 4 produces matching separations in both regimes. The supporting upper and lower statements are Theorems 2 and 3.
Discussion and open questions
The expected-length bounds in Theorem 1 provide precision benchmarks for the declared source–target experiment: independent samples with source records and target covariate records, under the restrictions in Definition 2. For , fixed calibration and regularity parameters, and an evaluation floor , the two regimes describe the interaction between transported compliance and the rough estimation scale. When , the optimal worst-case expected length has order . When , it has constant order. Thus increasing the common sample size improves the precision benchmark once the strength floor exceeds the estimation scale, while global honesty requires positive worst-case expected length across the weaker-strength slices.
The floor indexes the performance criterion in Definitions 4 and 5; the interval in Definition 9 uses the observed transported contrasts. Its law-specific expected-length guarantee in Theorem 2 relates precision to the actual transported first stage . A single interval therefore supplies global coverage and responds to the compliance strength of the underlying law, with inverse-strength control of expected length above the rough estimation scale and bounded length throughout the effect domain. This guarantee concerns expected length under repeated sampling; it is compatible with variation in the reported interval across realizations.
The fixed value specifies the rough-nuisance regularity class analyzed here. At this regularity, the cubic correction is used to control the nonlinear remainder at the required scale. The split-sample estimator includes linear, quadratic, and cubic Taylor corrections across all seven learned marked-density coordinates and has mean-square error bounded by under the model assumptions for . The resulting contrast-estimation radius is therefore of order , which becomes the elbow in the length frontier.
The displayed finite-sample radius, , makes the hidden rate constant explicit: it depends on the density envelopes, the common Hölder radius, and the desired coverage level through and . The threshold ensures that the deterministic four-block construction and its resolution choices are defined. Numerical precision is governed by the calibration constant and the transported first stage. For example, take the admissible inputs , , , and . Substitution into the displayed formula in Lemma 3 gives , so the certified score tolerance is approximately : about at and at . These values exceed the effect-domain diameter and show that the explicit worst-case envelope is highly conservative; a realized affine-score interval can be shorter, but that realized length is not the uniform certificate. An analyst supplies fixed, scientifically defensible bounds on density overlap and Hölder size before applying this finite-sample calibration. The expected-length bound then uses the corresponding and the law-specific first stage.
An application of this benchmark requires the source encouragement experiment to satisfy conditional randomization, exclusion, and monotonicity, together with the sampling and regularity conditions of the model. Transport to the target population rests on the conditional equalities for the complier-weighted outcome contrast and the complier share in Assumptions 16 and 17. Under these conditions, the precision benchmark concerns the target-population average treatment effect among compliers, using source receipt and outcome observations together with target covariate observations.
Separate recruitment costs motivate the unequal-sample extension of the same decision problem in Definition 10. Let denote the source sample size and the target sample size. Retaining the law-level restrictions while allowing these counts to differ gives the following criterion.
The unequal-sample minimax expected-length frontier is for positive integers and , where denotes Lebesgue length restricted to the effect domain .
Here is the class of full-data and one-record observed-law triples satisfying every law-level density, smoothness, overlap, causal, transport, and positive-strength condition of the equal-sample model class , observed under where is the law of one observed source record and is the law of one observed target covariate. The independent source and target samples contain records and records , respectively. With denoting the transported first stage, the strength slice is
Let range over measurable connected random intervals contained in and based on this product experiment. With denoting the target-population average treatment effect among compliers and the prescribed noncoverage probability, define
⊢ LeanThe unequal-sample minimax expected-length criterion preserves the distinction between global coverage and performance on a strength slice. Coverage is required over the entire unequal-sample model, while the supremum defining expected length evaluates laws whose transported first stage lies between the specified floor and , inclusive. The two sample counts consequently enter through the observation experiment, with the population restrictions and the estimand held fixed.
Open questions
The unequal-sample criterion makes allocation between source outcomes and target covariates a statistical design question. Characterizing its order would provide a basis for comparing the precision gains from additional records in either sample, subject to their respective recruitment costs. The central question is the joint behavior of the criterion across sample-size and strength regimes.
What is the exact piecewise order of , the unequal-sample minimax expected-length frontier, when the source sample size and target sample size diverge at unrelated rates? Can a single finite-sample honest interval attain this order in every phase, together with a matching legal instrumental-variable lower family satisfying the no-defiers restriction?
⊢ LeanResolving Remark 1 would connect an attaining procedure and an information bound for each allocation regime. Requiring the lower family to satisfy the no-defiers restriction keeps that comparison within the same causal model as the proposed intervals.
Limitations and future work
The established benchmark uses a scalar covariate, bounded outcomes, fixed Hölder smoothness with exponent , and independent records within and across the two samples. Its matching expected-length bounds concern equal source and target sample sizes. The unequal-allocation problem in Definition 10 defines an extension of the criterion; its general rate characterization and an interval attaining that characterization remain the questions in Remark 1.
Further work could examine higher-dimensional covariates, inference under unknown smoothness, and sampling structures with dependent records. These extensions require corresponding coverage and expected-length analyses. Applications with alternative population transport restrictions likewise require an identification analysis suited to those restrictions before the precision benchmark can be extended.
Appendices
Identification and upper-bound proofs
Identification from primitive variables
The causal interpretation of the transported contrasts rests on consistency, conditional instrument randomization, exclusion, and monotonicity. The two transport restrictions then carry the source conditional contrasts to target complier quantities.
Let and let be a transport law satisfying:
(Lower envelope.) , where is the lower density envelope.
(Upper envelope.) , where is the upper density envelope.
(Smoothness radius.) , where is the common Hölder radius.
(Model membership.) , the model class of Definition 2 with constants .
Write for the full-data law, for potential receipt under encouragement , and for potential outcome under receipt . For each , there are versions of the source conditional means such that, almost everywhere under the source covariate law, Here and are the source receipt and outcome arm means.
Define the source arm contrasts and the complier indicator by There are common versions of the conditional means in each of the following chains for which, for -almost every , where is the target covariate law, Moreover, For , define the transported contrast using the target covariate density by The transported first stage equals the target complier share, and the transported outcome contrast equals the target complier-weighted outcome effect: The target complier average treatment effect satisfies where is the effect domain specified by the model.
⊢ LeanFix as in the statement. Throughout, conditional means are understood through their defining integral identities over measurable covariate sets.
Choose common conditional-mean versions for the transported quantities. By Assumptions 17 and 16, there are measurable functions satisfying as versions in the respective populations.
By Assumption 15, the binary receipt pair belongs almost surely to . For these three pairs, respectively, both the receipt difference and the complier indicator equal . Consequently, Checking the four binary receipt pairs also gives the pointwise identity Substitution therefore yields Each population law obtained by conditioning on is absolutely continuous with respect to . Thus these identities persist in the source population and in every restricted integral defining a conditional mean. In particular, are source conditional-mean versions.
Construct source arm-mean versions. Define the covariate domain, potential arm responses, zero extensions, and assignment weights by Also write for the source covariate marginal: The source marginal identification supplied by conditional randomization gives By Assumption 4, this marginal is supported on , so The regularity and range conditions in Assumption 10 make the zero extensions measurable and give The binary receipts and potential-outcome bounds in Assumption 4 give, in the source population, Moreover, Assumption 8 gives These bounds ensure the integrability of the variables used below.
For a Borel set , put The source arm-moment identity in Assumption 10 gives Receipt and outcome consistency, as supplied by Assumptions 11 and 12, replace the observed response on the arm by . Conditional randomization in Assumption 13 makes the full-data law restricted to that arm have density relative to the source full-data law. Hence where the expectation in the middle is under the source assignment law. The last equality follows first for indicators of measurable full-data events from the assignment probability identity, and then for the displayed bounded measurable integrand by integration.
Using the source density identity and source support, the preceding equalities become Thus is a version of the conditional mean of given in the source population. Since is measurable with respect to , the conditional-expectation multiplication rule gives The positive lower bound on permits cancellation: Equivalently, for every Borel ,
Identify the contrasts with the common versions. Define, for , The source almost-everywhere equalities for the arm means imply Subtracting the two arm integral identities from the preceding step gives for every Borel .
To obtain almost-everywhere equality from these identities, define Both functions are measurable and real-valued, and On each , they are integrable under the finite source covariate law. Applying the preceding integral equality to , uniqueness for integrable functions with equal integrals over every measurable set yields Taking the countable union, and then using the equality between the raw and extended contrasts, gives
The density identities in Assumptions 4 and 5 transfer these equalities to the target covariate law. Indeed, if a Borel set is source-null, then Since , the set is Lebesgue-null, and consequently Thus Together with the conditional-mean identities for , this supplies common versions for both chains in the statement.
Integrate the common versions in the target population. The target density identity and its positive envelope in Assumption 5 convert the defining transported integrals into integrals under . Applying the target conditional-mean identities to the whole covariate space gives The penultimate equality uses , so its integral is the probability of the complier event. Similarly,
Complete the arm identities and the effect-domain assertion. For each , the constructed versions satisfy for -almost every . These are the required source arm identities.
By the definition of the target complier effect and the two transported integral identities, By Assumption 18, .
Finally, the potential-outcome support restriction in Assumption 4 persists under the target population law. On the event , whereas on the complier-weighted effect is zero. Hence, target-almost surely, All three variables are integrable by their bounds. Integration therefore gives Dividing by yields
The common-version qualification makes the conditional identities compatible with target integration. Positive density envelopes provide common covariate support, monotonicity identifies the receipt contrast with complier prevalence, and exclusion identifies the outcome contrast with the complier-weighted receipt effect. Positive transported strength makes their ratio the target complier average effect.
Coordinate and sampling conventions
The estimator uses one target-density coordinate and six marked source coordinates. The next two definitions fix the coordinate names, observable marks, channels, and index conversion once for the remaining construction.
The block size , for a nonnegative integer and an index , is defined by
⊢ LeanThe deterministic block in sample channel , for sample size and block index , uses zero-based record indices and is defined by
⊢ LeanIn the marked-density vector, denotes the target covariate density: Thus , and the named-coordinate subscript denotes coordinate : for , , , or . In particular, . In and , is instead a local real argument or integration variable, respectively.
The coordinate index set and coordinate ordering are The sample channel of coordinate is Vector, histogram, residual, and mark subscripts follow the correspondence For , , , or , the named-coordinate subscripts satisfy
Index the source records and target covariate records from zero: Let denote the clipped observable outcome used in Definition 15, Definition 17, and Algorithm 1. The observable coordinate marks, with this same clipping convention throughout, are The mark accompanies target record ; the remaining marks accompany source record .
For and , the blocks and their sizes are Their one-based counterparts are One-based covariates and marks are defined together by Thus, for a covariate set , the corresponding block sums satisfy Block supplies the training records, and blocks supply the evaluation records. Each coordinate- sum uses covariates and marks with the same record index in channel .
Histograms and cubic estimator
A normalized marked histogram estimates each coordinate on a common dyadic partition. Block 0 trains the clipped pilot; blocks 1–3 provide independent factors for the correction terms.
The marked histogram , for coordinate , resolution , block , and evaluation point , is defined by Here , the sample of source records, and , the sample of target covariates, each contain records, and the parameters range over For , the cells are For , the cell sum is empty and .
Both samples use zero-based record indices , with an empty index set when . For sample channel , the deterministic block and its size are The sample channel assigned to coordinate is The covariate is the observed covariate of zero-based record in that channel.
For zero-based source record , let denote encouragement, treatment receipt, and the observed outcome. The observable marks are The constant mark accompanies zero-based target record ; each remaining mark accompanies zero-based source record . In every block sum, the mark and covariate use the same record index.
⊢ LeanThe pilot resolution , for sample size , is defined by where is the threshold for using the cubic estimator and is the size of block at sample size .
⊢ LeanThe pilot vector , indexed by , is defined for real envelope parameters , a sample-size index , source and target samples each of size , and . For , set For , use , the dyadic pilot resolution with exponent , and the block- marked histogram of Definition 15, with the observable marks and zero-based record indexing of Definition 14. Define by clipping this histogram value with the following lower and upper cutoffs, respectively:
⊢ LeanThe residual is defined by where the marked histogram and the clipped pilot vector are defined in Definitions 15 and 17, respectively. The parameters are arbitrary nonnegative integers and , data consisting of source records and target covariates, a coordinate index among the seven coordinates, a block index , an evaluation point , and pilot-clipping parameters .
⊢ LeanThe cubic resolution , for , is defined by where is the threshold for using the cubic estimator and is the size of block at sample size . The floor is taken in the nonnegative integers, with value when its argument is negative; the logarithm at is assigned value .
⊢ LeanThe quadratic resolution , for , is defined by where is the threshold and is the size of block at sample size . The floor is taken in the nonnegative integers, with value when its argument is negative.
⊢ LeanFor , the inputs are the sample size , the threshold , the deterministic sample-channel blocks of sizes , the dyadic resolution maps , the normalized marked histograms , the clipped pilot vector , the histogram residuals , the seven-coordinate index set , the coordinate channels , the observable marks , and the observed covariates .
For , set the resolutions and cell midpoints to The resolutions satisfy and .
For , form the observable linear correction
For , form the observable quadratic correction
For , form the observable cubic correction Repeated coordinate indices use distinct evaluation blocks.
Output Every integral is an exact finite sum, with and . For , the score interval takes the finite-size fallback
The estimator is an exact finite-sum cubic expansion around the clipped pilot. Distinct evaluation blocks supply repeated residual factors, while the nested dyadic partitions make the pilot-based derivative weights constant on correction cells.
Observable reduction and mean-square control
The following reduction identifies each marked coordinate with an observable measure and supplies the derivative envelope used in the Taylor remainder.
Let and let be a transport law. Suppose:
(Lower density envelope.) .
(Upper density envelope.) .
(Hölder radius.) .
(Model membership.) for these constants, as specified in Definition 2.
Let , the seven-coordinate marked density vector, be as in Definition 6, with coordinates indexed by . Write for the target covariate law and for the observed source-record law, whose record consists of covariate , encouragement , receipt , and outcome .
For every measurable and every , Moreover, the source arm densities and satisfy For each , the transported contrast and the integrand of Definition 7 satisfy
For every and every in the deterministic clipping rectangle every order and every choice of coordinate indices obey At order zero, the expression on the left is .
⊢ LeanWe establish the observable identities, the lower bounds, the functional representation, and then the derivative bounds.
For the target coordinate, Definition 6 gives . By Assumption 7, this density is continuous on , hence measurable there. For every measurable , Assumption 5 therefore yields The second equality uses on .
For the source coordinates, define the encouragement-arm probabilities by By the definition of the source propensity, Conditioning on under the observed source law therefore gives Here the last equality uses the source covariate density identity in Assumption 4; measurability follows from the stated regularity assumptions. Integrating an arm indicator also gives Since is binary, and . Thus the two assignment coordinates satisfy
For either response , restriction by the same indicator and the source arm-moment identity in Assumption 10 give Applying this identity first to in arms , and then to in arms , yields respectively These arguments apply also when is empty.
Fix . By Assumptions 4 and 8, and both and are at least . Consequently,
The preceding bounds make both arm densities strictly positive. The identities in Definition 6 therefore permit cancellation: Substituting into the integrand of Definition 7 gives, for each response, Integrating this pointwise equality proves The closed-interval set integral and the displayed interval integral agree because their endpoint difference has Lebesgue measure zero.
Fix and a vector in the clipping rectangle. Define the reciprocal scale and the desired envelope by The hypotheses imply and . To identify the response coordinates, set On the open set , define the two arm contributions by The clipping rectangle lies in this open set.
For order zero, the rectangle supplies In particular, and hence Since we obtain This treats the empty list of coordinate indices at order zero.
For the positive orders, fix arbitrary coordinate indices , allowing repetitions. Every shorter list can be extended to such a list. Define its coordinate directions by Thus . For a fixed arm , define The rectangle gives The product and reciprocal rules yield Moreover, The two terms therefore obey Using we obtain the one-arm bound Both arm functions are smooth on the stated open set, so differentiation of their difference and give
For order two, define the paired direction coefficients by Their bounds, and those of the linear coefficients, are As functions of , these coefficients satisfy Differentiating the first-order expression thus gives The four terms have absolute values bounded respectively by Consequently, Here each reciprocal power is at most , and each of is at most . Subtracting the two arm derivatives gives
For order three, the rectangle also supplies the nonnegative numerator bounds Differentiating the second-order expression by the same product and reciprocal rules yields The first paired coefficient has absolute value at most , and the grouped coefficient satisfies Thus the six displayed terms have absolute values bounded respectively by Adding these bounds gives The second inequality uses and the same numerator bounds as before. For , the two arm terms use the coordinate triples and ; for , they use and . In either case,
The remaining order is four. Differentiating the third-order expression gives There are six pairs in the first sum. Each corresponding term satisfies Each of the four terms in the second sum satisfies The final term is bounded by Therefore, The middle inequality uses . Subtracting the two arm derivatives finally gives Together with the preceding cases, this proves the asserted bound for every order and every choice of coordinate indices.
The measure identities justify the normalized marked counts, and the lower arm-density bounds keep every functional denominator uniformly positive on the clipping rectangle. The next result combines pilot approximation, projection cancellation, and block-conditional variance calculations.
Let and be the lower and upper density envelopes, and let be the common Hölder radius. Suppose that:
(Envelope constants.) , , and .
(Sample size.) The common source and target sample size satisfies
(Model.) , with defined in Definition 2.
For each , let be the statistic in Algorithm 1, and let be the target-averaged source contrast, Then, under the equal-size source–target sampling law specified by , where the finite, explicitly computable constant is
⊢ LeanFix , , and . All expectations below are under the equal-size source–target sampling law of . Use the marked-density vector , the clipped pilot , and the corrections from Definition 6 and Algorithm 1. Define the training sigma-field and four envelope constants by The sampling conditions in Assumptions 1, 2, and 3 make the three evaluation blocks independent of the training records and mutually independent.
Envelope and resolution bounds. The density, overlap, and arm-mean bounds imply that belongs to the clipping rectangle of Lemma 2 for every . The pilot belongs to the same rectangle by Definition 17. Consequently, Moreover, Lemma 2 supplies the functional representation and derivative bounds The product seminorm inequality, applied first to the arm densities and then to their marked versions, gives while . Thus
The exact block sizes and the dyadic rules of Definitions 11, 16, 20, and 19 give and Indeed, rounding a nonnegative logarithmic exponent down changes its power of two by a factor between and . In particular, The nesting property in Algorithm 1 ensures that the pilot is constant on every correction cell, including its assigned endpoints.
Exact projected means. For every positive integer , use the cells of Definition 15, with , and define the cell-averaging operator on integrable functions by For , define Here and below the spatial error functions have domain . The cell-average shifts satisfy
For , define the observable bin scores and their means by The marked moment identities in Lemma 2, together with the boundedness in Assumption 12, give Thus
Define the three projected corrections and their total by These are training-measurable quantities. Since the coefficient and pilot are constant on each pilot cell, the linear spatial term is exactly The sample covariates belong to almost surely, so partitioning the empirical linear term into these cells yields
At a correction-cell midpoint, Expanding the quadratic product gives its constant product and three terms containing centered factors; expanding the cubic product gives its constant product and seven such terms. Every nonconstant term has conditional mean zero, because its centered factors belong to distinct evaluation blocks. This remains true when coordinate indices coincide. Therefore, almost surely, and hence The bounded coefficients and finite cell sums supply the integrability needed for these conditional identities.
Linear conditional second moment. For each coordinate define Conditional on training, the signed covariance sum for this cell average is the variance of a single weighted record, divided by : where is any record index in evaluation block , in channel . The variance inequality follows because the cells are disjoint, each mark lies in , and therefore the weighted single-record score has absolute value at most . This calculation applies separately to the source and target channels.
Since , the finite-sum square inequality gives The same finite-sum argument proves square integrability of the centered linear correction.
Quadratic and cubic conditional second moments. For two coordinates using the same sample channel, direct expansion of the empirical bin sums gives For different channels this covariance is zero. On the same cell, bounded marks bound the product moment by ; on distinct cells the product is zero. It follows that
To apply these bounds, let , let , and let . Define Here means when and when , and an empty product equals . Since at most shifts occur, The product expansion from the preceding step now reads
Put . Independence of the distinct evaluation blocks gives There are diagonal cell pairs and off-diagonal pairs. Expanding the square and applying the covariance bounds therefore yields This also gives square integrability of every summand.
The constants satisfy and , so For , the preceding bound has factor ; for , it has factor ; and for , it has factor . Using , these inequalities give, for each summand, For example, absorbs the pair contribution, and absorbs the triple contribution.
There are exactly summands: coordinate tuples, each with nonempty subsets of evaluation positions. Define Applying the finite-sum square inequality to the displayed expansions gives
Fluctuation bound at the common rate. The resolution bounds imply and Enlarging the nonnegative quadratic and cubic constants gives Define Applying the three-term square inequality to the exact fluctuation identity, and then taking expectations, gives The component square-integrability statements also give
Pilot moments. For a fixed coordinate and cell, define the centered training-record scores and their variance by Bounded bin scores give The centered training histogram is exactly Independence therefore gives its second-moment bound
For the eighth moment, expand the eighth power of the centered record sum and group terms by their equality pattern among the eight record positions. A pattern containing a singleton has expectation zero. Every surviving pattern has between one and four blocks. For a pattern with blocks, boundedness of the centered scores bounds each block moment of order at least two by , and there are at most choices of its record indices. Its absolute contribution is consequently at most There are at most equality patterns: encoding each block as a cycle in increasing order embeds the set of partitions into the permutations of eight positions. Thus Scaling by yields
Averaging the Hölder modulus over a cell gives Each clipping interval contains , so clipping contracts the distance to that value. Splitting the histogram error at its cell mean, using and for nonnegative , gives The dyadic bounds imply Define We have obtained, for every and , Finally, define the spatial pilot errors by Cauchy–Schwarz on the unit interval and integration of the pointwise bounds give Joint measurability and the bound justify these integrations.
Spatial Taylor remainder. For , define the spatial Taylor terms by In particular, .
The remainder estimate follows from an exact ratio identity. For , define using the named-coordinate convention of Definition 14. For each , direct expansion and reduction to a common denominator give Here Both denominator coordinates are at least . Each numerator factor in braces is bounded by times the sum of the absolute increments in its two coordinates. Bounding these sums and by the full coordinate sum therefore gives Since , define its pointwise remainder by The two ratio bounds and imply
Define the integrated remainder and its majorant by Then Cauchy–Schwarz on , followed by the finite-sum eighth-power inequality, gives Define Since , Integrating the defining Taylor identity also yields
Exact spatial projection errors. For , define On each cell, The pilot and all averaged shifts are constant on that cell. Hence any cell product containing exactly one averaging residual has integral zero. More explicitly, for any function and any finite list of coordinates , This includes , with the empty product equal to .
Define the two projection errors by The nested-cell identities identify these as differences between the true spatial Taylor terms and the exact midpoint projection means. For the quadratic error, expanding the two factors and cancelling the single-residual terms gives Thus Using the lower dyadic bound, Define Squaring the absolute bound and enlarging its factor gives the pointwise inequality
For the cubic error, work on a -cell. Expanding the three factors leaves, after single-residual cancellation, To retain the pilot error, use the exact cell-average identity Consequently, the absolute value of the preceding cell integral is at most Multiplying by the cubic coefficient, bounded by , and summing over cells and coordinate triples gives where Define the square majorant by The two-term square inequality and the coordinate-sum square inequality imply The pilot moment bound therefore gives The lower bound yields Define We conclude that
Squared bias of the projected mean. The integrated Taylor identity and the definitions of the projection errors give the exact signed identity Using the three-term square inequality and the preceding majorants gives The right-hand side is integrable, by the remainder bound and the spatial pilot moment bounds. Define Integration yields
Orthogonality and final assembly. Define the fluctuation and projected bias by The exact conditional means imply The projected bias is training-measurable, and both quantities are square-integrable. Their product is therefore integrable, and pulling out the training-measurable factor gives Expanding the square consequently gives the exact risk decomposition Finally, substitution of the defined constants gives with exactly the expanded expression in the statement. Each term is finite and explicitly computable from , since . All bounds apply to both response choices and every , proving the asserted uniform inequality.
The eighth-moment pilot bound controls the squared fourth-order remainder. The quadratic and cubic resolutions control projection errors, and conditioning on the training block preserves within-block coordinate dependence while retaining independence across the evaluation blocks. The displayed constant includes all approximation and fluctuation terms.
Supporting length bounds
The mean-square result calibrates both transported contrasts. Identification supplies the population affine-score identity at the target effect, and the bounded effect domain supplies the constant branch.
Fix the noncoverage probability , the density envelopes , and the Hölder radius , satisfying:
(Noncoverage.) .
(Lower density envelope.) .
(Upper density envelope.) .
(Hölder radius.) .
The score interval of Definition 9 belongs to the class of honest intervals in Definition 3 for every positive integer .
Set the sample-size threshold to Write for the transported first stage, namely the target-averaged source receipt contrast: There exists a finite constant such that, for every integer and every , the model class of Definition 2, where denotes Lebesgue length restricted to the effect domain , and the expectation is under the joint law of the source and target samples, each of size .
With the same constant , for every integer and every real satisfying , the minimax expected-length frontier of Definition 5 satisfies
⊢ LeanThe upper result gives all-positive-sample-size honesty and, from onward, both a law-specific length bound and a uniform bound on each strength slice. The converse is stated next; its causally legal experiment and testing argument are developed in Section B.
Fix constants satisfying:
(Coverage.) The noncoverage probability satisfies .
(Density envelopes.) The lower and upper density envelopes satisfy .
(Smoothness.) The common Hölder radius satisfies .
Let be the model class in Definition 2, and let be its strength slice in Definition 4. Write for the target-population average treatment effect among compliers under , and let the effect domain and sample-size threshold be There exists a constant such that, for every integer and every , the following holds. Every measurable confidence-set procedure , based on source records and target covariate records, with for every sample realization , and satisfying obeys Here probabilities and expectations are taken under the observed two-sample law. Moreover, the minimax expected-length frontier of Definition 5 satisfies
⊢ LeanTogether these bounds yield the exact frontier stated in Theorem 1. Full proof scripts for the anchored statements are collected in Section D.
Lower-bound construction and proof
The converse in Theorem 3 rests on a lower experiment, specified in Algorithm 2, whose components satisfy the causal and transport restrictions while spanning a continuum of complier effects. The construction couples perturbations of the target covariate distribution, encouragement probabilities, and receipt–outcome cells. Throughout, the observed experiment consists of independent source and target samples, each of size .
We first specify the interval cells on which the perturbations are placed.
For a positive integer and an index , define Thus each cell includes its left endpoint, and the final cell also includes the endpoint .
The endpoint convention assigns every covariate value in the unit interval to one cell. A centered sinusoidal bump then supplies the within-cell perturbation.
The tiled perturbation , for , , and a cellwise sign vector , is defined for every by Each sign equals when the supplied Boolean entry for cell is true and when it is false. For , the cells are At , the sum is empty and equals zero, with the convention . The coupled perturbation , for any , is defined by
⊢ LeanThe bump in Definition 25 has zero integral and positive squared integral. Its endpoint values allow adjacent rescaled copies to meet continuously, while its antisymmetry will make the effect separation common across cellwise sign choices. The following definition specifies the resolution and height of the tiled perturbation.
For a baseline compliance share and , set Define the baseline conditional receipt–outcome probability mass function on by Equivalently, for each , Under this baseline law, receipt has probability conditional on instrument value , and the binary outcome is independent of receipt with probability for each outcome value. In the lower-mixture construction, the baseline share is for and .
In Definition 22, is the number of perturbation cells, is the perturbation height, and is the cellwise sign vector. The amplitude controls the height relative to the resolution. The tiled perturbation is used in the probability-law construction of Algorithm 2.
Before forming those laws, we specify the baseline receipt–outcome probabilities. They retain a positive compliance share while assigning equal probability to the two outcome values within each receipt cell.
The legal IV mixture is the triple , consisting of a component law, its uniform sign-mixture experiment, and a center law, defined for the following parameters:
(Sample size.) satisfies Here is the number of perturbation cells.
(Baseline strength.) The strength parameter satisfies , and the baseline compliance share is
(Amplitude and admissibility.) The amplitude satisfies . With perturbation height require and , where
(Sign and continuum indices.) The cellwise sign vector and continuum index satisfy For the tiled covariate perturbation indexed by these signs, set
Define the source and target covariate densities and encouragement probabilities by For , the source joint cells conditional on covariates are where is the baseline receipt–outcome cell probability at compliance share . The cells conditional on encouragement and covariates are
Let be the complier indicator, potential receipt under encouragement , and the potential outcome under receipt state . Define the complier outcome margins by Assign always-takers and never-takers the conditional masses For compliers, set , , and coupling and independently under these binary marginals. Set Draw encouragement according to and observe Use the same conditional primitive full-data law given in source and target. Represent the resulting combined law by This allocation is a convention for representing the constructed witness; admissibility specifies the parameter domain of the construction.
Define the center law by retaining the baseline compliance share and the representation convention For each component and for the center, take independent source and target product samples, each of size . Writing and for the one-record observed source and target laws induced by the law in question, the center experiment and uniform sign mixture are
⊢ LeanThe baseline receipt probability and receipt–outcome mass function in Definition 23 provide the cells around which the lower family is perturbed. Their receipt contrast equals the baseline compliance share . The next construction specifies both the observed cells and a compatible potential-outcome law, with an explicit admissibility predicate governing the probability assignments.
For probability measures and on the same measurable observation space , define the chi-square divergence by The integral is understood in the extended nonnegative reals. Define total-variation distance with the probability-distance normalization by Thus . For the lower mixture, take and on the observation space of the independent source and target samples, each of size .
The admissibility predicate in Algorithm 2 controls two distinct probability requirements. The height restriction keeps the perturbed observed cells nonnegative and encouragement probabilities positive. The squared-height restriction ensures compatibility of the complier outcome margins: each margin is nonnegative, and the two outcome masses for either receipt state sum to . Dividing those masses by therefore supplies binary conditional outcome distributions for compliers.
The component law in Algorithm 2 assigns receipt types to always-takers, never-takers, and compliers, with conditional randomization of encouragement and observed variables obtained by consistency. Sharing the conditional potential-outcome law across populations supplies the transport restrictions. The source–target allocation in that construction represents the full-data law; the sampling experiment remains the product of two independent samples with fixed counts and .
The continuum index and the scaled perturbation in Algorithm 2 vary the outcome component of the family. Its uniform sign mixture is compared with the equal-size observed product experiment at the center law . We use the following distance conventions for that comparison.
Fix the prescribed noncoverage probability , density envelopes , and Hölder radius , satisfying:
(Noncoverage.) .
(Lower envelope.) .
(Upper envelope.) .
(Radius.) .
There exists an amplitude , chosen uniformly in the sample size and strength floor, with the following properties. For every integer and every , set The amplitude satisfies the construction’s admissibility conditions
For every and every cellwise sign vector , the constructed component belongs to the strength slice of Definition 4. For each and every , its pointwise conditional-mass averages satisfy where , is the construction’s tiled covariate perturbation, and . These pointwise averages also define versions of the corresponding conditional means under . Its transported first stage and target complier effect satisfy where the common separation functional is characterized by
The unperturbed center belongs to , and For the uniform sign mixture and the center’s equal-size observed product experiment, the subscripts denote the observed source-record and target-covariate laws. Uniformly over , Moreover, , and its likelihood ratio minus one is square-integrable under .
⊢ LeanWe first construct a ceiling for amplitudes that gives uniform model membership. Define The hypotheses imply that every entry in this minimum is positive, so For the membership verification, let Use the construction of Algorithm 2, and write Since , Moreover, and monotonicity of the negative power gives Thus and consequently This proves admissibility throughout the prescribed ranges.
For clarity, the tiled perturbation has the following definition on all of : Here the cells are those of Definition 21, and is the restriction of the bump in Definition 25. Their disjointness, the endpoint zeros, and the bump normalization give In particular, the construction’s covariate densities and encouragement probabilities satisfy and The constant source density satisfies the same density envelopes. These are the density and overlap bounds required in Assumptions 4, 5, and 8.
We verify the Hölder conditions with the modulus used by the construction. Set On a single cell, the sine Lipschitz bound gives The same bound holds across different cells. Indeed, after ordering , suppose they belong to cells , and define the intervening endpoints by The bump vanishes at these endpoints, and Therefore The opposite ordering follows by symmetry.
For , define When , the Hölder bound is immediate. If , then If , the supremum bound instead gives Combining the cases yields the uniform modulus It also proves continuity, including at cell boundaries. Hence while The source density is constant with supremum norm one and seminorm zero.
The baseline cells of Definition 23 and finite summation in Algorithm 2 give the exact arm means The receipt means are constant and belong to . For the outcome means, the denominator satisfies Subtracting the two rational expressions gives Since and , Taking in the same rational comparison gives so the outcome means belong to . Their Hölder seminorms satisfy Their supremum norms are at most . Thus all density, propensity, and arm-mean Hölder conditions hold, with the range conditions in Assumption 10. The corresponding center functions are the constants and satisfy the same conditions.
We next verify the primitive probability masses and calculate their complier margins. By admissibility and , and It follows that Consequently the complier margins defined in Algorithm 2 satisfy
For always-takers and never-takers, the relevant masses in that construction are Using , we obtain Thus these masses are nonnegative. Summing over , the perturbations cancel, and each of the two strata has total mass . The independent complier coupling has joint masses whose sum is The three principal strata therefore have total mass The remaining primitive cells have mass zero, as specified by the construction.
The receipt assignments , , and give monotonicity. Conditional independent encouragement, followed by gives receipt consistency, outcome consistency, instrument randomization, and exclusion. All potential outcomes are binary. These verify Assumptions 11, 12, 13, 14, and 15.
Finite summation of the same complier masses gives, for either population and every , and These are also versions of the conditional means. Indeed, the construction uses the same primitive conditional mass function in both populations. Define their covariate densities by Integrating the finite sums over any Borel set yields and The displayed conditional-mean functions are measurable and bounded. These identities verify their conditional-mean property and both transport requirements.
The arm-mean formulas from the preceding step give Hence The target complier share is also , by the conditional-mean identity with .
Define the separation functional by The reflection identity from Definition 25 implies Changing variables separately on each cell therefore gives Since , the target complier-weighted outcome effect equals Dividing by the positive target complier share gives In particular, For the center, the same calculations with zero perturbations give
Independent source and target product sampling supplies Assumptions 1, 2, and 3. The preceding calculations establish the density identities, support, regularity, causal restrictions, conditional-mean transport, and positive strength required by Definition 2. Thus Together with this proves, by Definition 4, We have established these memberships uniformly for every , every admissible , and every .
We now choose one amplitude within this membership ceiling. Since , Continuity at zero supplies such that Choose Then This choice depends on and is uniform in . The admissibility calculation in the first step applies to this amplitude for every prescribed .
Fix and . We bound the common separation functional. The ceiling bounds and give Since and , so Using , supplied by Definition 25, we obtain Finally, and therefore
Fix . We calculate the distance of the uniform sign mixture from the center. With respect to Lebesgue measure on and counting measure on the three binary source coordinates, the center source density is The baseline formulas in Definition 23 give The source cells of Algorithm 2 consequently yield the one-record likelihood ratios The first formula is used on the center source support , and the second on the center target support ; take both ratios to be zero off their respective supports. They are nonnegative, measurable, and bounded, and satisfy
Define, for and , Expanding the square, its three finite sums are and The middle sum cancels over ; the last uses the four baseline cells of each mass and . Thus Since and ,
For two sign vectors, define their overlap by Cellwise integration gives Expanding the likelihood products, the zero-integral linear terms cancel. Consequently, Both expressions are nonnegative, being integrals of products of nonnegative likelihoods.
For an observed sample define the product and mixture likelihoods by Source–target independence and independent sampling within each channel give The bounded one-record likelihoods give integrable product pairs. The finite mixture then has an integrable square, since Its mean under the center is one.
Let be independent uniform sign vectors. Expanding this square and using the two channel inner products gives Here is applied to each nonnegative base, followed by multiplication of their -th powers.
For each fixed , the products are independent uniform signs. Factoring their exponential moment and using the standard inequality gives Averaging over preserves this bound. Finally, so This proves
With the distance normalization in Definition 24, absolute continuity and Cauchy–Schwarz yield The amplitude calibration therefore gives and, because , Every estimate is uniform over .
The likelihood representation above also establishes The finite sum of integrable product pairs proves integrability of ; its mean is one, and hence Thus the likelihood ratio minus one is square-integrable.
Finally, gives , and the chosen amplitude satisfies both admissibility and . The triple in Algorithm 2 is therefore defined throughout the stated parameter range. Uniform membership, the center margins, and the separation bounds were established above. For each component and each population, the finite-mass calculations give the asserted pointwise averages, while the integral identities establish their conditional-mean versions. Together with the distance and likelihood conclusions, these prove all the claims.
The total-variation normalization in Definition 24 measures the largest difference in event probabilities between the mixture and the center experiment. The next result combines this comparison with membership in the causal model and a common effect separation across sign choices.
Define by Its restriction to is the function used in the tiled perturbation. Its support is , and its normalization is It satisfies for and vanishes at both endpoints. The zero extension is continuous and globally Lipschitz with constant ; its restriction to is smooth. In particular, for ,
Lemma 4 places the entire lower family inside the strength slice while choosing one amplitude uniformly over sample sizes and strength floors. Its separation functional has order , and every sign component at a given continuum index has the same target effect. Uniform sign averaging keeps the observed mixture close to the center’s equal-size product experiment. These properties connect effect separation to observational similarity within the causal model.
The actual compliance share is , as specified in Algorithm 2, for both the components and the center. When , this share equals , and the effect separation has order . When , the share equals , and the effect separation has constant order. In both regimes the family belongs to the slice indexed by . This distinction accounts for the bounded-length regime of the converse while retaining positive compliance and compatible complier outcome margins.
To translate a continuum of effect values into expected confidence-set length, the argument uses the following identity.
Let be a measurable random set under , where is the effect domain and denotes Lebesgue length restricted to that domain. Then
⊢ LeanThe restricted Lebesgue length in Lemma 5 aggregates pointwise inclusion probabilities over the effect domain. Its role in the converse is to convert coverage along the lower continuum into expected length at a single center experiment.
Specifically, the continuum supplied by Lemma 4 spans the effect interval Global honesty, as defined in Definition 3, applies to every component of that continuum. The uniform total-variation comparison makes the center experiment a common reference for these coverage requirements, and Lemma 5 supplies their length interpretation. This is the continuum argument underlying Theorem 3; all probability comparisons concern the independent source and target product samples of size each.
The two compliance regimes therefore give the lower expected-length scale stated in Theorem 3. Combining that converse with the attaining interval of Theorem 2 yields the sharp two-sided comparison in Theorem 1. Under the prescribed density, smoothness, and coverage conditions, the minimax expected length on each strength slice is thus characterized by the rough estimation scale divided by the strength floor, capped at constant order.
Comparator definitions and verification scope
Auxiliary comparators
The comparison apparatus supplements the model in Definition 2 with supplied geometry, a finite partition, and an explicit continuous construction. These embedded objects provide geometry and calibration comparisons. The supplied-geometry score displays the familiar calibration when the weighting geometry is known, while the continuous witness confirms that the rough ambient geometry is nonempty. We begin by fixing the source and target covariate densities and the source encouragement propensity while retaining the ambient sampling and model restrictions.
The fixed-geometry subclass is with equality at sample-size index . Here is the supplied triple of source covariate density , target covariate density , and source encouragement propensity . Membership in requires all of the following restrictions at that index:
The supplied geometry in Definition 26 fixes the three functions entering the transport and encouragement weights. The remaining components of each law continue to satisfy the restrictions defining the ambient model. With this triple available, the following score uses the observed source records directly.
For and every positive integer , the supplied-geometry score is Here are the observed source records, comprising covariates, encouragement, receipt, and outcome, and the supplied geometry is where and are the supplied source and target covariate densities and is the supplied source encouragement propensity. The statistic is a function of the observed source sample and alone.
⊢ LeanThe score in Definition 27 combines the supplied density ratio with inverse encouragement probabilities. Its outcome and receipt versions enter an affine-score inversion, whose calibration radius is defined next.
The supplied-geometry calibration radius is defined by for real parameters , the prescribed noncoverage probability, , the upper density envelope, and , the lower density envelope, and a natural-number sample size , satisfying:
(Noncoverage probability.) .
(Upper envelope.) .
(Lower envelope.) .
(Sample size.) .
For fixed density envelopes and noncoverage probability, the radius in Definition 28 is proportional to . The interval definition uses twice this radius as the tolerance for the outcome score minus a candidate effect times the receipt score.
The supplied-geometry interval is where the affine-score acceptance set is Here is the bounded domain of the complier effect, is the calibration radius, and and are the supplied-geometry outcome and receipt scores.
⊢ LeanThe supplied-geometry interval in Definition 29 specifies both score inversion and the singleton convention for an empty acceptance set. Together, Definitions 27, 28, and 29 define a comparator statistic and its calibration.
A second comparison setting restricts the geometry to a fixed finite interval partition . The following subclass imposes that restriction within the ambient model.
The finite-cell subclass consists of the laws whose source covariate density , target covariate density , and source encouragement propensity are constant on every cell of the fixed finite interval partition , at sample-size index . Membership in requires all of the following restrictions at that index:
Membership in Definition 30 requires cellwise constancy together with the density, smoothness, causal, and transport restrictions listed there. Because the ambient Hölder restrictions impose continuity on the connected interval , constancy on the cells of an ordinary adjacent interval partition forces the constants to agree at every shared boundary. This continuous finite-cell subclass therefore reduces the three geometry functions to globally constant functions. It is therefore a globally constant geometry specialization embedded in the present continuous model. Its role here is to provide a syntax-level comparison object; the delivered rate conclusions are the frontier results stated in Theorem 1.
For a continuous comparison construction, we first define the centered direction that enters the source density, target density, and encouragement propensity.
The witness direction is defined, for every , by
⊢ LeanThe direction in Definition 31 subtracts the average of the fractional-power profile on the covariate domain. The full-data construction below uses this same direction in all three geometry functions and specifies the principal strata, potential variables, and sampling scheme.
For each , the full-data law is specified by the following covariate densities, principal-stratum distribution, potential variables, and sampling scheme. Define the perturbation amplitude by where and are the fixed lower and upper density envelopes and is the common Hölder radius. With denoting the covariate perturbation, set The law is completed as follows:
(Principal strata.) Conditional on in each population, the complier, always-taker, and never-taker probabilities are, respectively,
(Potential variables.) The potential receipts and are the receipts corresponding to the assigned principal stratum, and the potential outcomes satisfy
(Source observations.) Draw encouragement conditionally independently of the potential variables given , with propensity , and observe
(Samples.) Generate independent source and target samples with covariate densities and , respectively.
For the combined full-data representation of these two conditional population laws, the population indicator has probabilities These probabilities specify the representation convention for ; the ambient model class retains its stated assumptions.
⊢ LeanThe continuous-geometry laws in Definition 32 combine opposite source and target density perturbations with fixed principal-stratum probabilities and constant potential outcomes. Their amplitude is specified from the density envelopes, the overlap margin, and the Hölder radius. The equal population probabilities serve the stated full-data representation convention. These definitions establish the availability of explicit comparison objects; the paper’s proved conclusions remain the identification, estimation, and expected-length results stated elsewhere.
Verification scope
The supplied theorem statements and proofs are machine-checked in Lean 4 under their stated hypotheses. The verification metadata identifies the sampling and model restrictions referenced in Definition 2 as assumed inputs and distinguishes the comparator definitions above from proved conclusions. Each checked result retains its own conditions; accompanying theorem-local cited-dependency disclosures, where applicable, identify published conclusions whose source proofs lie outside the formalized proof.
Proofs of the main results
By Theorem 2, there is a finite constant , depending only on , such that For every integer , this same constant satisfies and
By Theorem 3, choose a positive lower comparison constant , depending only on , for which
Define the final lower comparison constant by Both entries in this minimum are positive. Consequently, Thus and have the required dependence and strict ordering.
Fix an integer and a real with . Since and , Multiplying by this nonnegative factor and applying the lower bound gives Together with the upper bound already obtained, this yields The honesty assertion and the law-specific expected-length bound follow from Theorem 2 with the same interval sequence and the same .
Let be the mean-square envelope in Lemma 3. Its displayed expression is finite and strictly positive under the stated conditions. For every positive integer , define the calibration radius by Thus the acceptance set in Definition 8 is where the two statistics are those of Algorithm 1.
The statistics are measurable. Moreover, Indeed, the values of for form , whose distance from is at most precisely under the displayed inequality. Consequently, both the nonemptiness event and the graph of are measurable. For , the graph of is the product of the sample space with . For , its graph combines the graph of on the nonemptiness event with the graph of on its complement. Hence Under every , the joint sampling law is a probability law, and the squared estimation errors are integrable for both responses. Below the threshold the errors are constant; above it their integrability follows from the square-integrable centered estimator and conditional-mean error.
We first check connectedness. Fix a realization , and take with . For every , if , then If , the corresponding inequalities are Also , so . The full-domain and singleton branches in Definition 9 are connected subsets of as well. Thus, for every realization,
For coverage, fix . Lemma 1 supplies If , the interval equals , and therefore Suppose now that . For each , define the error event The radius is strictly positive and satisfies Applying the second-moment tail inequality and Lemma 3 gives
Define the simultaneous good event by On this event, identification and the triangle inequality yield Hence , so the acceptance set is nonempty and . The union bound therefore gives Together with the measurable graph and connectedness established above, this proves for every positive integer , by Definition 3.
Choose This constant is finite, depends only on , and satisfies
Fix and . Define the bad-slope event by Since , the second-moment tail inequality and Lemma 3 imply
On the complementary event, the reverse triangle inequality gives For a nonzero slope, the unrestricted affine-score acceptance interval is Its length is . Intersecting with bounds the length by both this quantity and . Moreover, the two sets agree when is nonempty, and otherwise both the empty acceptance set and the singleton fallback have length zero. Consequently, on the complementary event,
Define the nonnegative length majorant Restricted length always lies between zero and the length of . Thus, on the bad-slope event it is at most , while on its complement the preceding bound applies. For every realization, Integrating this inequality gives There is also the deterministic cap
Set If , then , and hence If , the cap gives This proves the asserted law-specific expected-length bound.
Fix and . The proposed slice bound is nonnegative: For every , Definition 4 supplies and . Since the numerator is nonnegative and , The law-specific bound therefore yields If the slice is nonempty, taking its supremum preserves this bound. For an empty slice, the supremum is taken to be zero, and the same conclusion follows from the nonnegativity displayed above. In either case,
To pass to the infimum, observe that every and every satisfy These inequalities follow from nonnegativity of Lebesgue length, restriction to , and the probability sampling law. For a nonempty slice, the expected lengths consequently have a finite supremum satisfying For an empty slice this supremum equals zero. Thus the collection of suprema over honest procedures is bounded below by zero. It is also nonempty, since . Using as a competitor in Definition 5 gives
Choose the amplitude supplied by Lemma 4, and define The amplitude is chosen uniformly in and , so depends on the prescribed constants .
Fix and . Use the center, components, and observed mixtures of Lemma 4, with Since the negative power is decreasing on the positive half-line, The separation bound in that same result gives For every sign vector , the component at belongs to . Applying Lemma 1 to this component yields Consequently, The sampling conditions ensure that the center and component observed laws are probability laws.
The strength floor implements the capped inverse-strength rate. Indeed, if , then If , then Dividing the separation lower bound by and multiplying by therefore gives
Let be any procedure satisfying the theorem’s hypotheses. For every , define the inclusion event These events are measurable by graph measurability. For , define The inequalities , together with , give By Lemma 4, every component indexed by belongs to and satisfies Uniform honesty thus implies, for every sign vector, Averaging these inequalities over the finite sign family gives The normalized mixture is a probability law. The total-variation event inequality and the bound in Lemma 4 yield Hence, throughout the symmetric interval,
Define the center’s inclusion-probability function by Graph measurability makes this function measurable, and It is therefore integrable over . Applying Lemma 5 and using the interval inclusion established above gives The first inequality uses the pointwise inclusion bound; the second uses nonnegativity and .
The range of expected lengths on the strength slice is bounded above. Pointwise, For an integrable length, integration under an observed probability law gives Under the convention assigning zero to a nonintegrable real integral, the complementary case also gives The measurable bounded lengths considered here are integrable. Since , the slice is nonempty, and comparison with its supremum now yields This proves the asserted procedure-wise lower bound.
The honest interval class in Definition 3 is nonempty. Define the constant procedure by It has a measurable graph and connected values. By Lemma 1, Thus Every member of this class satisfies the procedure-wise bound already established. Taking the infimum prescribed by Definition 5 gives
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