Thin Sets Are Not Equally Thin: Minimax Learning of Submanifold Integrals

Many economic parameters are identified by ``thin sets'' (submanifolds with Lebesgue measure zero) and hence difficult to recover from data in an ambient space. This paper provides a unified theory for estimation and inference of such ``thin-set'' identified functionals. We show that thin sets are \emph{not} equally thin: their intrinsic dimensionality $m$ matters in a precise manner. For a nonparametric regression $h_0$ with H\"{o}lder smoothness $s$ and $d$-dimensional covariates in the ambient space, we show that $n^{-\frac{s}{2s+d-m}}$ is the minimax optimal rate of estimating linear and nonlinear (e.g., quadratic, upper contour) integrals of $h_0$ on an $m$-dimensional submanifold ($0\leq m < d$), which is the fastest possible attainable rate among all estimators. The minimax lower bound rate result is generalized to estimating submanifold integrals when $h_0$ is a nonparametric density and a nonparametric instrumental variable function. The asymptotic normality of t statistics is established via sieve Riesz representation, and the corresponding inference is computed using Sobol points.