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Add option for observation weights

Open ck37 opened this issue 6 years ago • 2 comments

Hello,

I mentioned this in person but thought I'd start a quick feature request issue to support observation weights. I believe Mark is on board with simply passing the weights through to the Q & g estimation as well as the fluctuation. For the variance of the IC he suggested that the weights be normalized to sum to 1 (possibly also applied to the Q & g estimation as well, not sure of the specifics).

Personally I could use this for a study where we have 30 million observations but only a few categorical covariates, so we can aggregate the replicated observations and incorporate observation weights to drastically speed up the superlearning & reduce memory usage.

Susan's tmle package doesn't support observation weights but ltmle does, so I'm using that right now. Mark suggested that observation weights would generally be important to support because they can be used to solve many different problems.

Thanks, Chris

ck37 avatar Oct 29 '17 22:10 ck37