Estimating the size of a hidden finite set: large-sample behavior of estimators
Si Cheng1, Daniel J. Eck2, and Forrest W. Crawford3,4,5,6
1. Department of Biostatistics, University of Washington 2. Department of Statistics, University of Illinois Urbana-Champaign 3. Department of Biostatistics, Yale School of Public Health 4. Department of Statistics & Data Science, Yale University 5. Department of Ecology & Evolutionary Biology, Yale University 6. Yale School of Management
October 17, 2019
Abstract A finite set is “hidden” if its elements are not directly enumerable or if its size cannot be ascertained via a deterministic query. In public health, epidemiology, demography, ecology and intelligence analysis, researchers have developed a wide variety of indirect statistical approaches, under different models for sampling and observation, for estimating the size of a hidden set. Some methods make use of random sampling with known or estimable sampling probabilities, and others make structural assumptions about relationships (e.g. ordering or network information) between the elements that comprise the hidden set. In this review, we describe models and methods for learning about the size of a hidden finite set, with special attention to asymptotic properties of estimators. We study the properties of these methods under two asymptotic regimes, “infill” in which the number of fixed-size samples increases, but the population size remains constant, and “outfill” in which the sample size and population size grow together. Statistical properties under these two regimes can be dramatically different.
Keywords: capture-recapture, German tank problem, multiplier method, network scale-up method
1 Introduction arXiv:1808.04753v2 [math.ST] 15 Oct 2019
Estimating the size of a hidden finite set is an important problem in a variety of scientific fields. Often practical constraints limit researchers’ access to elements of the hidden set, and direct enu- meration of elements may be impractical or impossible. In demographic, public health, and epidemi- ological research, researchers often seek to estimate the number of people within a given geographic region who are members of a stigmatized, criminalized, or otherwise hidden group [1–4]. For ex- ample, researchers have developed methods for estimating the number of homeless people [5, 6], human trafficking victims [7, 8], sex workers [9–13], men who have sex with men [10, 11, 14–20], transgender people [19, 21], drug users [11, 19, 22–28], and people affected by disease [29–34]. In ecology, the number of animals of a certain type within a geographic region is often of interest [35–38]. Effective wildlife protection, ecosystem preservation, and pest control require knowledge
1 about the size of free-ranging animal populations [39–41]. In intelligence analysis, military science, disaster response, and criminal justice applications, estimates of the size of hidden sets can give insight into the size of a threat or guide policy responses. Analysts may seek information about the number of combatants in a conflict, military vehicles [42, 43], extremists [44], terrorist plots [45, 46], war casualties [47], people affected by a disaster [48], and the extent of counterfeiting [49]. Statistical approaches to estimating the size of a hidden set fall into a few general categories. Some approaches are based on traditional notions of random sampling from a finite population [50, 51]. Others leverage information about the ordering of units [42, 43], or relational information about “network” links between units [5, 26, 52–55]. Single- or multi-step sampling procedures that involve record collection or “marking” of sampled units – called capture-recapture experiments – are common when random sampling is possible [23, 35, 56–59]. Sometimes exogenous, or population- level data can help: when the proportion of units in the hidden set with a particular attribute is known a priori, then the proportion with that attribute in a random sample can be used to estimate the total size of the set [18, 25, 60–63]. Still other methods use features of a dynamic process, such as the arrival times of events in a queueing process, to estimate the number of units in a hidden set [45, 46]. Alongside these practical approaches, corresponding theoretical results provide justification for particular study designs and estimators, based on large-sample (asymptotic) arguments. Guidance for prospective study planning often depends on asymptotic approximation. For example, sample size calculation may be based on asymptotic approximation if the finite-sample distribution of an estimator is not identified or hard to analyze [64–66]. In retrospective analysis of data and the comparison of statistical approaches, researchers may choose estimators based on large-sample properties like asymptotic unbiasedness, efficiency and consistency if closed-form expressions for finite-sample biases and variances are hard to derive [67, 68]. Claims about the large-sample performance of estimators depend on specification of a suitable asymptotic regime, and it is well known that estimators can perform differently under different asymptotic regimes. Asymptotic theory in spatial statistics provides some perspective on what it means to obtain more data from the same source: informally, an “infill” asymptotic regime assumes a bounded spatial domain, with the distance between data points within this domain going to zero. An “increasing domain” or “outfill” asymptotic regime assumes that the minimum distance between any pair of points is bounded away from zero, while the size of the domain increases as the sample size increases. The latter is usually the default asymptotic setting considered by researchers studying the properties of spatial smoothing estimators [69–71]. However, under infill asymptotics, these desirable asymptotic properties of smoothing estimators often do not hold: even when consistency is guaranteed, the rate of convergence may be different [69, 72–75]. When the size of the population from which the sample is drawn is the estimand of interest, intuition about large-sample properties of estimators can break down, but a similar asymptotic perspective is useful in studying the properties of estimators for the size of a hidden set: an infill asymptotic regime takes the total population size to be fixed, while the number of samples from this population increases; the outfill regime permits the sample size and population size to grow to infinity together. In this paper, we review models and methods for estimating the size of a hidden finite set in a vari- ety of practical settings. First we present a unified characterization of set size estimation problems, formalizing notions of size, sampling, relational structures, and observation. We then introduce the non-asymptotic regime in which sample size tends to the population size, and define the “infill” and “outfill” asymptotic regimes in which the sample size and population size may increase. We investigate a range of problems, query models, and estimators, including the German tank problem,
2 failure time models, the network scale-up estimator, the Horvitz-Thompson estimator, the multi- plier method, and capture-recapture methods. We characterize consistency and rates of estimation errors for these estimators under different asymptotic regimes. We conclude with discussion of the role of substantive and theoretical considerations in guiding claims about statistical performance of estimators for the size of a hidden set.
2 Setting and notation
2.1 Hidden sets
Let U be a set consisting of all elements from a specified target population. In general, U can be discrete or continuous. Let µ( ) be a measure defined on U such that µ(U) < . The size of U · ∞ is µ(U). We call U a hidden set if the members of U are not directly enumerable, or if its size µ(U) cannot be ascertained from a deterministic query. When U is a finite set of discrete elements, µ(U) = U := N is the cardinality of U. | | We seek to learn about the size of U by sampling its elements. Define a probability space (U, , P), F where is a σ-field, and P is a probability measure on (U, ). The measure P represents a F F probabilistic query mechanism by which we may draw subsets of the elements of U. For each possible sample s , defining P(s) gives a notion of random sampling. Sequential sampling ∈ F designs can be specified by defining the sequential sampling probabilities P(Si = si s1, . . . , si−1). | Sequential samples are denoted as s = (s1, . . . , sk), and the sample size is defined as s1 + + sk , | | ··· | | the sum of the cardinality of each sample, which can be larger than µ(U) under with-replacement sampling. An estimator δ(s) of µ(U) = N is a functional of onto R+ or N. F Elements of the hidden set U, or of a sample s from U, may have attributes, labels, or relational structures that permit estimation of µ(U) from a subset. An element i U may be labeled or ∈ have attributes Xi, which may be continuous, discrete, unordered, or ordered. The elements of U may be connected via a relational structure, such as a graph G = (U, E), where the vertex set is U, and edges i, j E represent relationships between elements. Alternatively, the sampling { } ∈ mechanism may impose a structure on the elements of a sample: if s1 U and s2 U are samples ⊆ ⊆ from U, then the intersection M = s1 s2 is the set of elements in both samples. An observation ∩ on the sample s consists of statistics that reflect these attributes, labels or structures of the units in s, such as the value of attributes Xi , network degrees in a graph or size of the intersection of { } samples M . | | An example serves to make this setting and notation more concrete. Consider the problem of estimating the number of injection drug users in a city [e.g. 22, 25, 26]. This is an important task in public health research and drug use epidemiology because injection drug use may contribute to transmission of infectious diseases such as hepatitis C virus (HCV) and human immunodeficiency virus (HIV). Policymakers considering educational and intervention programs to mitigate the harms of injection drug use require accurate estimates of the size of the target population. In this context, U is the set of injection drug users in the city, and we wish to estimate the size of this set, µ(U) = U = N. The probability space is (U, , P), where is a σ-field consisting of subsets of | | F F U, and P is a probabilistic query distribution assigning probabilities to each set in . For example, F if s is a subset of U, then P(s) represents a mechanism for randomly sampling a subset of s ∈ F | | members of U. An individual injection drug user i U may have an attribute Xi representing, for ∈ example, the number of times i has experienced an overdose and been taken to the local hospital.
3 In addition, relational information may be available in the form of a graph or network G = (U, E), where E is the set of pairs i, j that are “connected” via syringe sharing or social relationships. { }
2.2 Asymptotic regimes
We now formalize asymptotic regimes relevant for hidden set size estimation.
Definition 1 (Asymptotic regime). Let (Ut, t, Pt) be a probability space defined for each t = F s (t) (t) s Pkt 1, 2,..., and let t = s1 , . . . , skt be the set of kt samples from U, with t = i=1 si . An { } ∞ | | | | asymptotic regime is a sequence st,Ut, Pt such that the limits limt→∞ st and limt→∞ µ(Ut) { }t=1 | | exist (infinity included). We first define the trivial finite-population regime, in which the sampled set approaches the fixed population U. Definition 2 (Finite-population regime). Let U be a hidden discrete set of fixed size. The finite- population (non-asymptotic) regime is Ut = U for all t and st = U for all t > t0, where t0 < is ∞ a positive integer. Next, we define the “infill” asymptotic regime that arises when sampling repeatedly (with replace- ment between different samples) from a set of fixed finite size. This regime is an example of a superpopulation model [76, 77] which reproduces the original population Ut = U for each t.
Definition 3 (Infill asymptotic regime). Let (Ut = U, t = , Pt) be a sequence of probability (t) (t) (t) F F (t) (t) spaces, where Pt assigns probability P(s s , . . . , s ) to sequential samples s , . . . , s for i | 1 i−1 1 kt ∈ F ∞ (t) any t. The infill asymptotic regime is a sequence st,Ut = U, Pt , where s (any j [kt]) and { }t=1 | j | ∈ µ(Ut) are both fixed and bounded, and the number of samples kt as t . → ∞ → ∞ Sometimes it can be difficult to conceptualize sampling infinitely many times from U, or the sam- pling design may be subject to practical constraints, so that sampling only a single or fixed number of samples, or a fixed proportion of the total population, is allowed. It is therefore also reasonable to study the performance of estimators under an asymptotic regime in which a single sample is obtained from the hidden set, where the size of the sample and hidden set may tend to infinity together.
Definition 4 (Outfill asymptotic regime). Let (Ut, t, Pt) be a sequence of probability spaces, (t) (t) (t) F (t) (t) where Pt assigns probability P(s s , . . . , s ) to s , . . . , s t for any t. The outfill i | 1 i−1 1 kt ∈ F P (t) (t) asymptotic regime is a sequence st,Ut, t such that µ(Ut) and ni := si with (t) { } → ∞ | | → ∞ n /µ(Ut) ci [0, ) for each i [kt] as t , where limt→∞ kt may be finite or infinite. i → ∈ ∞ ∈ → ∞ The ratio ci can be greater than one when sampling is with replacement. The sample sizes mentioned above can be deterministic or random. In the latter case, all regimes can be defined in a similar way, e.g. E st /µ(Ut) ci. We are primarily interested in the outfill asymptotic regime with kt = 1 | | → for all t. The binomial model as well as the multiplier and capture-recapture methods, described below, are special cases where kt may be greater than one. Figure 1 illustrates different regimes in general discrete settings.
4 Single sample Finite-population regime
s s U U
Infill regime Outfill regime
s s s s ssU U
Figure 1: Illustration of different regimes for discrete sets. Units are indicated by circles. The sample s “expands” to U under the finite-population regime. Infinitely repeated samples of a fixed size are drawn from a fixed population under infill asymptotics. Under outfill, s and U grow simultaneously with s approaching a fixed proportion of U.
2.3 Statistical properties of estimators
Let δ(st) be an estimator of µ(Ut), defined for each t. We are interested in the statistical prop- erties of δ(st) under the asymptotic regimes described above. An estimator is called unbiased if Et[δ(st)] = µ(Ut) for all t, where Et( ) denotes expectation with respect to Pt. Under an asymptotic ∞ · regime st,Ut, Pt , an estimator δ(st) is asymptotically unbiased if limt→∞ Et[δ(st)] µ(Ut) = 0. { }t=1 − There may be some slightly biased estimators whose variance is smaller than that of every unbiased estimator. A common way to balance the trade-off between the bias and variance is to evaluate 2 the mean squared error (MSE), defined as MSE[µ(Ut), δ(st)] = E (δ(st) µ(Ut)) = (E[δ(st)] 2 − − µ(Ut)) +Var[δ(st)]. The asymptotic MSE under a given regime is defined as limt→∞ MSE(µ(Ut), δ(st)).
An estimator δ(st) that satisfies limt→∞ Pt( δ(st) µ(Ut) > ε) = 0 for any ε > 0 under a particular | − | asymptotic regime st,Ut, Pt is called consistent for µ(Ut). An estimator δ(st) is called MSE { } consistent for µ(Ut) under a certain asymptotic regime if MSE[δ(st), µ(Ut)] 0 as t under → → ∞ that asymptotic setting. MSE consistency implies consistency. Under a particular asymptotic 2 r regime, we call a sequence of estimates δ(st) asymptotically normal with mean ξ, variance σ /t r r and rate t if the cumulative distribution function (CDF) of t (δ(st) ξ) converges to the CDF of 2 r L 2 − a N(0, σ ) random variable, denoted by t (δ(st) ξ) N(0, σ ). − −→
5 3 Ordered sets: the German tank problem
Suppose each unit in the hidden set i U has a distinct label Xi R, so that the labels give ∈ ∈ a natural ordering of the elements in U: we can define units i < j if Xi < Xj. One common scenario for discrete U is that the Xi’s are consecutive integers. Another common situation when U is equivalent to an interval in R is that i∈U Xi equals that interval. An observation of samples ∪ from an ordered set U consists of sampled units s and their labels xi : i s . { ∈ } In 1943, the Economic Warfare Division of the American Embassy in London initiated a project to learn about the capacity of the German military using serial numbers found on German equipment [42, 78]. In a simple conceptualization of the problem, let U = 1,...,N and consider sampling { N} n = s units without replacement from U with probability P(s) = 1/ . With kt i.i.d. repeated | | n samples, an estimator δ(s) for N is a functional of the observations, including the sample sizes and observed labels X1,1,...,X1,n,...,Xkt,1,...,Xkt,n. For example, to estimate the total number of participants in a marathon, if all N participants are numbered by the consecutive integers 1,...,N, one could randomly record the first n numbers they saw in the race, and estimate the total based on the observed numbers.
For the kth sample Xk,1,...,Xk,n, we let Xk(n) be the nth order statistic in the sample. With one sample, the maximum likelihood estimator (MLE) for N is NbMLE = X(n), which is negatively biased. Goodman [43] proposed an unbiased estimator n + 1 NbG = X(n) 1, (1) n − which is a uniformly minimum-variance unbiased estimator (UMVUE), with Var(NbG) = (N − n)(N + 1)/n(n + 2). An alternative estimator of N takes into account the gap between X(n) and N, and adjusts for the bias with the average gap between order statistics [43]. The estimator
X(n) X(1) Nb2 = X(n) + − 1, (2) n 1 − − is also unbiased, with Var(Nb2) = n(N n)(N + 1)/(n 1)(n + 1)(n + 2). The estimator N2 can − − also be modified to estimate N when the labels do not start with 1. In particular, (n + 1) X(n) X(1) Nb3 = − 1 n 1 − − is the UMVUE of N when the initial label is unknown [43], with Var(Nb3) = 2(N n)(N + 1)/(n − − 1)(n + 2). When there is more than one sample, we take the MLE as the maximizer of the joint sampling P probability t(s1, . . . , skt ), which is maxi∈[kt] Xi(n), the largest observed value across all kt samples. (t) For estimators with closed forms like NbG, Nb2, Nb3, we derive kt estimates δ(si ), i = 1, . . . , kt based on each sample, and take their average as the estimator. In remaining sections, we average the estimators under infill by default, except for the models where infinite without-replacement sampling is feasible (e.g. Section 4.1). We consider the infill asymptotic regime where nt = n, Nt = N and kt , and the outfill regime where nt,Nt , kt = 1 with nt/Nt c (0, 1). Figure → ∞ → ∞ → ∈ 2 illustrates different regimes for the German tank problem. We have the following asymptotic results:
6 Single sample Finite-population regime 4 4 11 3 11 3 19 19 17 17 14 6 14 6 7 7 2 2 13 13 20 20 1 9 1 9 15 15 12 12 8 s 8 5 s 5 18 16 10 U 18 16 10 U
Infill regime Outfill regime
4 344 53 49 39 11 3 11 46 3 19 50 23 32 2819 48 38 17 57 24 17 56 14 6 14 6 55 42 7 35 30 47 7 2 2252 51 2 13 36 13 54 20 s 20 1 9 44 1 9 s 33 15 59 43 15 31 12 41 1260 8 8 25 s s s 2740 5 26 5 45 29 18 16 s 10 U 18 58 37 16 21 10 U
Figure 2: Illustration of a single sample, and the finite-population, infill, and outfill regimes for the German tank problem. Units with their labels are represented by circles with numbers inside.
Theorem 3.1. Under the finite-population and infill regimes, NbMLE, NbG, Nb2, Nb3 are consistent. Under the outfill regime, all estimators above are asymptotically unbiased with asymptotic MSE O(1) and inconsistent. Whether the initial label is known or not does not change the rate of MSE of the UMVUE.
4 Bernoulli Trials
Consider a discrete hidden set U consisting of N unlabeled, indistinguishable units. A sample s from U arises by associating a binary indicator Yi Bernoulli(p) to each i U, for fixed 0 < p < 1, ∼ ∈ where different realizations of the Yi’s can be generated in different draws. The probability p may be known or unknown. A single sample consists of the subset of units with positive indicators, s = i U : Yi = 1 . This is a frequently encountered situation in computer science, ecology, { ∈ } business, epidemiology, and many other fields [33, 34, 79, 80].
4.1 Binomial N parameter
P We first assume that p is known. A single sample s from U gives a statistic Q := n = s = Yi | | i∈U which has Binomial(N, p) distribution. When there are k independent samples, we assume they Qk N q N−q are generated by the same mechanism, so P(Q1 = q1,...,Qk = qk) = p i (1 p) i . The i=1 qi − method of moments estimator (MME) NbMME = Q/p¯ is an unbiased estimator of N. There are two versions of the MLE, derived from continuous and discrete likelihood equations respectively. The 0 continuous MLE, NbMLE is the solution of ∂L/∂N = 0 (take Q(k) if it is larger than the solution),
7 Single sample Finite-population regime
U U
Infill regime Outfill regime
U U
Figure 3: Illustration of the sampling mechanism for the binomial model, and the finite-population, infill and outfill asymptotic regimes. The solid points with red circles are units with indicator 1 (which are therefore in the sample), and the rest are unobserved. and the discrete MLE NbMLE is the largest N such that L(N) L(N 1) 0. − − ≥ The finite-population regime arises when k = 1 and p 1, i.e. when all units are associated with → indicator 1 and observed in a single sample. We consider the infill asymptotic regime with Nt = N and kt .The outfill regime is kt,Nt with kt/Nt c > 0. Figure 3 shows how the → ∞ → ∞ → sampling mechanism varies under different regimes for the binomial N model. The following theo- rem combines results in [81, 82] and states the consistency of estimates under the infill asymptotic regime, along with error rates under the outfill regime. In particular, the estimation error of Q(k) increases with N under the outfill regime.
Theorem 4.1. Under the finite-population regime, NbMME, Q(k) and NbMLE are consistent. Un- 0 der infill asymptotics, NbMLE, NbMME, Q(k), and NbMLE after rounding to the nearest integer, are 0 consistent [81]. Under outfill asymptotics, NbMME and NbMLE are both asymptotically unbiased and α P normal with variance O(1). The “relative error” of the discrete MLE, (NbMLE N)/N 0 for − −→ any α > 1/2. The “relative error” of Q with α = 1 goes to p 1 in probability. (k) − When p is unknown, the situation does not improve: negative or unstable estimates may occur, and Bayesian approaches are usually adopted to avoid these issues. Blumenthal and Dahiya [81] adopted a conjugate prior Beta(a, b) for p and an improper uniform prior p(N) 1 for N; the ∝ posterior is proper if and only if a > 1 [83]. Blumenthal and Dahiya [81] showed that the posterior mode Nbm is consistent under infill asymptotics, and satisfies 2 √n L 2(1 p) Nbm N N 0, − N − −→ p2 under the outfill regime. In particular, the MSE rate is slower compared to O(1) as in Theorem
8 4.1 when p is known. A special case of the Binomial scenario arises for zero-truncated counts. For example, a registry may record the number of times each unit has been observed, but zero counts are not recorded. Distributional assumptions can be used to estimate the proportion of unobserved zero counts, leading to estimates of the set size. Zero-truncated counting models have been used to estimate size of hard-to-reach populations, including drug users [84, 85], undocumented immigrants [86, 87], criminal population [88, 89], the number of infected households in an epidemic [90], and species richness in ecology [91, 92]. To illustrate, associate to each unit i U a realization of the attribute ∈ Yi Poisson(λ). A sample from U is s = i U : Yi > 0 and an observation on s is Yi : i s , ∼ { ∈ } { ∈ } the set of all positive counts. For one sample, the sampling mechanism is given by P(y1, . . . , y|s| s) = Q y λ | λ i /(e 1)yi!. Estimating λ under this model reveals the proportion of zero counts, p = i∈s − 1 e−λ, and estimation of N proceeds as in the Binomial(N, p) case outlined above. The asymptotic − results in Theorem 4.1 follow.
4.2 Waiting times
Sometimes the state of a hidden unit may change, thereby making it known to an observer. For example, terrorist plots may change state from “hidden” to “executed”, making them observable by intelligence agents [45]. The temporal pattern of such state changes may give insight into the number of hidden units. Properties of waiting times to an event have been exploited to estimate the number of units in studies of terrorism, crime, and estimation of epidemiological risk population sizes [45, 93–95]. Suppose U is a set of N hidden units in existence at time 0, each of which is at risk of “failure” at some future time. To each i U, associate a failure time Ti Exponential(λ), and suppose ∈ ∼ failure times are observed up to some finite observation time T > 0. A sample is the set of units that have failed by the end of study, s = i U : Ti < T with s = n, and an observation on s is { ∈ } | | Ti : i s . With repeated sampling, a new observation is independent of all previous observations, { ∈ } taken after all units are set to be “at risk” over again. We consider the finite-population regime in which T so that all failures are observed, the infill regime in which T and N are fixed → ∞ with the number of repeated observations kt , and the outfill regime in which Tt,Nt → ∞ → ∞ with Tt/Nt c > 0. For example, if U is the set of hidden terrorist plots [e.g. 45, 46], the finite- → population regime keeps U = N constant, while letting the maximum observation time T , | | → ∞ so that eventually every plot in U is executed and thereby revealed to the observer. The infill regime consists of keeping N and T constant, while obtaining (hypothetical) repeated realizations of the same N plots over [0,T ]. The outfill regime lets both the observation time T and number of plots N go to infinity together, so that more plots are added, while the observation time increases. Figure 4 illustrates each regime under the waiting time model.
Let ∆i := Ti Ti−1 be the waiting time between the (i 1)th and ith failure. The sampling − − mechanism is given by
n " n # n Y X P(t1, . . . , tn N, λ) = λ (N i + 1) exp λ (N i + 1)∆i exp[ λ(N n)(T tn)], | · − · − − · − − − i=1 i=1 which gives rise to the likelihood L(t1, . . . , tn; N). Alternatively, if we ignore the timing of events, P N the observed number of events can be characterized by a binomial model (n N, λ) = n (1 −λT n −λT (N−n) | − e ) e , which yields L2(n; N). Maximizing L and L2 lead to two estimates, NbMLE
9 Single sample Finite-population regime
U U
T t T t Infill regime Outfill regime
U
U T t
U U T t
U T t
T t T t
Figure 4: Illustration of the waiting time model. The observed event times are subject to right censoring at t = T , that is, events that occur before T are observed. Solid dots with red shades indicate observed event times. The finite-population regime is that T so that all events are → ∞ observed. Infill asymptotics amounts to generating different realizations of the failure times. Under the outfill regime, T and the total number of units N both increase toward infinity.
0 0 and NbMLE of N. It is easy to verify that ∂ log L/∂N = ∂ log L2/∂N, so NbMLE and NbMLE are identical. The timing of events does not contain more information about N than the total number of events. The asymptotic behavior of NbMLE follows from the discussion in Section 4.1: when λ is known, NbMLE is consistent under finite-population and infill regimes. Under the outfill regime, it is unbiased and asymptotically normal with variance O(1).
4.3 The network scale-up method
Estimating the number of vertices in a hidden network or graph is an important problem in soci- ology, epidemiology, computer science, and intelligence applications [5, 48, 52, 54, 55, 96, 97]. A subgraph of a larger graph may contain information about the size of the larger graph [55, 98, 99]. The network scale-up method (NSUM) [5] provides an estimate for the size of a hidden population by making use of network information from a sub-sample of individuals.
Consider a graph GV = (V,E), where V is a set of M units and i, j E means that i, j V are { } ∈ ∈ connected. V is called the total population, and a subset U V of size N is the hidden population. ⊆ Assume GV is simple, and has no parallel edges or self-loops. The network of U is GU = (U, EU ), where EU = i, j : i U, j U, i, j E . We call V U the general population. A sample from {{ } ∈ ∈ { } ∈ } \ a subset of V , along with network degrees of the sampled units within and outside of that subset provides information for learning about the size of U. Suppose the total population network GV is generated from the Erd˝os-R´enyi random graph model [100] in which each pair of distinct vertices
10 Scenario 1: sampling from V U Scenario 2: sampling from U \
s s V U V = U
Figure 5: Illustration of the two common scenarios for the network scale-up method. In scenario 1, U V and we observe a randomly chosen subset s of V U and number of edges from each unit ⊂ \ in s to U (thick lines) and to V U (thin lines) respectively. In scenario 2, U = V and we observe \ the induced subgraph (edges represented by thin lines) from a randomly chosen subset s of U as well as the pendant edges (thick lines) between s and U s. \ is connected independently by an edge with probability Pr( i, j E) = π. The likelihood of a { } ∈ random graph GV = (V,E) from the Erd˝os-R´enyi model with V = N and connection probability | | π is |E| (N)−|E| Pr(GV ) = π (1 π) 2 − where E is the number of edges and N is the number of unordered distinct pairs of vertices. | | 2 Two common sampling scenarios – sampling from V U and directly from U – are illustrated in \ Figure 5.
4.3.1 Sampling from the general population
We consider sampling uniformly at random from the general population V U with a fixed sample −1 \ P M−N size s = n. The sampling mechanism is (s s = n) = n . For a sample s V , we | | V P | | | U P ∈ observe network degrees d := 1 Eij = 1 and d := 1 Eij = 1 for each i s. As an i j∈V { } i j∈U { } ∈ empirical example, suppose we wish to estimate the number of people who died in an earthquake [e.g. 98]. We cannot survey the dead (members of U) but we can survey living people (V U) to V \ determine how many people they know (di ), and how many they know who died as a result of the U earthquake (di ). Under the Erd˝os-R´enyi model, EdV = (M 1)π Mπ and EdU = Nπ, i V U. Taking the i − ≈ i ∀ ∈ \ ratio and canceling out π yields the MME Pn U i=1 di NbNS = M Pn V . (3) · i=1 di V U Conditional on di , di follows hypergeometric distribution for each i. The same estimator can also be derived under a different model assumption. Killworth et al. [5] considered a model where U V V di is Binomial(di , N/M) given di , and (3) is then the MLE under this binomial model, which is unbiased with variance (M N)N/ P dV . − i i We consider the finite-population regime in which n (M N), i.e. s V U. Under the infill → − → \ regime, M, N, n are fixed and the number kt of repeated samples s V U goes to infinity. The ⊆ \
11 outfill regime is that Mt,Nt, nt such that Nt/Mt c1 (0, 1), nt/(Mt Nt) c2 (0, 1), → ∞ → ∈ − → ∈ and kt = 1. V Sometimes an intermediate step in deriving NbNS is the estimation of personal network sizes di . If ˆV unbiased estimates di are plugged in, NbNS would have a positive bias by Jensen’s inequality since V 1/x is a convex function. Let us assume for now that the di ’s are observed true values. Theorem 4.2 states the asymptotic properties of NbNS under the Erd˝os-R´enyi assumption.
Theorem 4.2. NbNS has a positive bias N/(M 1). It is not necessarily consistent under the finite- population regime, and converges to a positively− biased quantity under infill. It is asymptotically normal with bias c1 and variance O(1) under the outfill regime.
4.3.2 Sampling from the hidden population
When possible, a random sample from the hidden population U can also lead to a valid estimate. Consider a random sample s U where GU follows the Erd˝os-R´enyi model with edge probability ⊆ s P 1 U π. We observe the nodes i s, as well as network degrees di := j∈s Eij = 1 and di := P ∈ P U n{ } P s 1 Eij = 1 , for each individual i s. Then, E d = 2 π and E d = j∈U { } ∈ i∈s i 2 i∈s i πn(N 1). Canceling out π yields the MME, which is often simplified to − Pn U n i=1 di Nb = Pn s . (4) i=1 di
Chen et al. [101] investigated the behavior of Nb with finite-sample as well as with large n, but did not specify the relationship between N and n under the asymptotic setting. In our setting, the finite-population regime is n N with N fixed. The infill regime is that n, N are fixed and the → sampling procedure is infinitely repeated. The outfill asymptotic regime is that nt,Nt with → ∞ nt/Nt c (0, 1). Then we have the following theorem for the asymptotic properties of Nb. → ∈ Theorem 4.3. Under the finite-population regime, Nb converges to N. Under infill asymptotics, Nb is always positively biased conditioning on Es > 0 [101], and is hence inconsistent. Under outfill | | asymptotics, Nb is asymptotically normal with bias (1 c)/c and variance O(1). −
4.4 Estimating a total with unequal sampling probabilities
A generalization of binomial models allows for heterogeneity in the inclusion, or “success” prob- abilities p, that is, when the sampling is not uniformly at random. Horvitz and Thompson [50] proposed unbiased estimators for population means and totals under the setting of sampling without replacement from finite population, where the selection probabilities can be unequal. The Horvitz- P Thompson (HT) estimator for the population total is Nb = 1/pi, where pi = E(1 i s ) is the i∈s { ∈ } probability that unit i U is sampled in s. The estimator Nb is unbiased for the total population ∈ size N. This estimator and its variants have been applied to the estimation of animal abundance [102] and other fields. We consider a deterministic sample size n. Then the variance of Nb is [50]
N N 2 1 X X 1 1 Var(Nb) = (pij pipj) , (5) −2 − p − p i=1 j=1 i j
12 Single sample Finite-population regime
U U
Infill regime Outfill regime
U U
Figure 6: Illustration of the single sample, finite-population, infill and outfill regimes for the general HT estimator. The probability of being sampled for each point here is visualized as its size.
where pij is the joint probability that units i and j are both in the sampled set s, and pii = pi. The finite-population regime amounts to letting pi 1 for any i. Under the infill regime, pi, pij,N are → fixed and the number of repeated samples kt . Under the outfill regime, N and n both increase → ∞ to infinity such that n/N c (0, 1). Figure 6 shows the non-uniform sampling mechanism under → ∈ each regime. Specifically, we consider the following setting to illustrate the asymptotic behavior of the HT estimator. Suppose U consists of H clusters, where the hth cluster has Nh units. We assume that H is known in advance, while Nh is observed only if a unit from cluster h is sampled. In each sample, a total of n units are sampled from U by the following procedure: first a cluster h is drawn uniformly at random each with probability 1/H. Then one unit is drawn from the Nh units in that cluster, also uniformly at random, without replacement. We assume that minh∈[H] Nh > n. An observation on sample s consists of the units in s, their cluster membership, and the sizes of clusters that they belong to. When there are repeated observations, we assume they follow the same design and are mutually independent. In this setting, the outfill regime is defined such that each cluster in the original (t) population is replicated and appears t times in Ut. The cluster sizes are fixed at Nh = Nh and the PH number of clusters increases as Ht = tH. N = h=1 is fixed and the estimand is Nt = Nt. The sample size satisfies nt/Nt c (0, 1). We then have the following theorem about the consistency → ∈ of Nb under each regime. In particular, the variance of Nb grows with N under the outfill regime. Theorem 4.4. Nb is consistent under the finite-population regime, and MSE consistent under infill asymptotics. Nb is unbiased and asymptotically normal with variance O(N) under the outfill regime.
13 5 Other unordered sets
5.1 Capture-recapture experiments
Capture-recapture (CRC) refers to a broad class of methods to estimate the size of hidden popu- lations for which random sampling is possible [35, 57, 58, 103–105]. Estimation of the population size is based on the overlap between two or more random samples [8, 15, 31, 32]. While a wide variety of CRC estimators have been developed [103, 104, 106–108], we focus here on the two- and k-sample CRC estimators with homogeneity within a closed population.
5.1.1 Two-sample estimation
We first consider the common case of two-sample CRC. Let U be a hidden finite set of size N, 1 2 where each unit i U has binary attributes (Xi ,Xi ), which are all (0, 0) in the beginning. We ∈ 1 draw a sample s1 U with size n1 from U, and set Xi = 1 for all i s1. Then a second sample ⊆ ∈ 2 s2 with size n2 is drawn, independent from s1 and uniformly at random, and we set Xi = 1 for 1 2 P 1 2 all i s2. We observe (X ,X )i∈s ∪s , and let m = 1 (X ,X ) = (1, 1) . In ecology, to ∈ i i 1 2 i∈U { i i } estimate the abundance of an animal species, researchers could first capture n1 animals from that species, mark them and then release them. After the captured animals have mixed well with the remaining ones, researchers could capture n2 animals again, uniformly at random, and record the number m of animals captured in the first step. Then m follows a hypergeometric distribution conditioning on N, n1 and n2, i.e. the mechanism of generating the observations can be defined as n1 N−n1 N P(m s1, s2) = / . The MME, NbL = n1n2/m, is also known as the Lincoln-Petersen | m n2−m n2 estimator [109, 110].
We consider the finite-population regime with n2 N. The infill regime is that N, n1, n2 are (t) (t) → fixed and repeated sample pairs s1 , s2 are drawn with t . The outfill regime is given by (t) (t) (t) (t) (t{) } → ∞ N , n , n with n /N ci (0, 1) for i = 1, 2. 1 2 → ∞ i → ∈ Previous results exist on the bounds or estimates of biases and variances. These were implicitly based on asymptotic approximations: Chapman [56] showed a lower bound for the bias " # N N 2 E NbL N N + 2 − ≥ n1n2 n1n2 under outfill, and bounded the variance as
" 2# 2 N N Var(NbL) > N + n1n2 n1n2 under asymptotic approximation that was satisfied by the outfill regime. Though these no longer hold under finite-sample setting, calculations in [56] showed that NbL has a considerable bias under a range of settings. A less biased estimator
(n1 + 1)(n2 + 1) NbC = 1, (6) m + 1 − was proposed [56], with bias
14 (N n1)!(N n2)! E(NbC ) N = − − (7) − −N!(N n1 n2 1)! − − − for any n1, n2,N, and variance
" 2 3# 2 N N N Var(NbC ) N + 2 + 6 (8) ∼ n1n2 n1n2 n1n2 under outfill [56], where means the difference between two quantities decay to 0. We have the ∼ following asymptotic result of NbL and NbC . Specifically, both estimators have infinitely increasing estimation error under the outfill asymptotic setting.
Theorem 5.1. Under the finite-population regime, NbL and NbC are consistent. Under infill asymp- totics, NbL is positively biased and has MSE O(1) for at least a range of values of n1, n2,N. NbC is negatively biased, but the bias is within 1 if n1 +n2 +1 < N/2 and n1n2/N > log N [56]. Under the outfill regime, NbL has bias at least O(1) and variance at least O(N). NbC is asymptotically unbiased with variance O(N). Furthermore, NbC and NbL are inconsistent with P( NbC N < ε) 0 and | − | → P( NbL N < ε) 0 for some ε > 0 when n1 = c1N, n2 = c2N. | − | → Further, Chapman [56] showed that no estimator can be unbiased for all possible values of N, n1 and n2. A similar but slightly different sampling mechanism gives rise to the multiplier method, also called the method of benchmark multiplier (MBM). In practice, researchers may know the number of hidden units with a certain trait. The overall prevalence of that trait in the hidden population, if available from estimation, would provide an estimate for the size of the hidden population. Often the prevalence is estimated through expert opinion, historical data, or from a separate sample [23, 111, 112]. We consider the last approach. The idea of MBM can be expressed with a sampling mechanism similar to CRC, except that the first sample s1 is fixed under infill asymptotics. That is, the known sub-population of hidden units with a certain trait is fixed. The size n1 of s1 is called the benchmark. The proportion m/n2 gives the multiplier, which is an estimate of the prevalence p. Again, m follows a hypergeometric distribution, so the MME for N is NbMBM = n1n2/m, which is often called the multiplier estimator. NbMBM takes the same form as the Lincoln-Petersen CRC estimator. Asymptotic behaviors of NbMBM , as summarized in Theorem 5.2, are essentially the same as that of NbL for CRC.
Theorem 5.2. NbMBM is consistent under the finite-population regime. Under infill asymptotics, NbMBM is inconsistent with MSE O(1). Under the outfill regime, when n1 = c1N, and n2 = c2N, NbMBM is inconsistent with MSE at least O(N). P( NbMBM N < ε) 0 for some ε > 0. | − | →
5.1.2 k-sample estimation
We now consider the generalized setting of k samples. In this scenario, we draw k samples s1, . . . , sk U with deterministic sizes n1, . . . , nk respectively. We assume the probability pj := ⊆ nj/N of being observed in the jth sample is the same for each unit for j = 1, . . . , k. In each sample (say sj), we give the observed units a label that is different for different j’s, and record (i) (i) the capture history j,i = (I ,...,I ) of each unit i sj, where Il = 1 if i sl and 0 H 1 j ∈ ∈
15 k otherwise (l j). Then an observation on a sequence of samples s = s1, . . . , sk is a 2 ≤ { } contingency table T = TI ...I k [58], where the entry corresponding to I1,...,Ik is { 1 k }I1,...,Ik∈{0,1} P (i) (i) 1(I = I1,...,I = Ik), the number of units with capture history k = (I1,...,Ik). Let i∈U 1 k H r be the sum of known entries in the contingency table – only the entry T0...0 is unobserved. In plain words, following the animal abundance example, researchers could instead draw k random samples. In the first k 1 samples, animals that are captured will be given a mark that is unique − for each sample. The contingency table summarizes the capture history for all observed animals – how many animal(s) are observed in, or absent from, which sample(s). From the contingency table we have mi, the number of already marked individuals in si, and Mi, the total number of marked individuals in U before si is drawn. The sampling scheme then follows a generalized hypergeometric distribution: k −1 P N! Y N (T s1, . . . , sk) = Q . (9) | k TI ...I !(N r)! ni I1,...,Ik∈{0,1} 1 k − i=1 Maximizing the likelihood (9) gives the MLE of N as the solution of
k r Y ni 1 = 1 , (10) − N − N i=1 which is unique, finite and greater than r if s1 ... sk is non-empty and si < r for all i k [57]. ∩ ∩ | | ≤ We restrict our interest to this case only. Setting k = 2 recovers the Lincoln-Petersen estimator NbL. Since finite-population and infill regimes for the two- and k-sample cases are similar in essence, we mainly discuss outfill asymptotics in this setting: for any finite k, we have N, n1, . . . , nk with → ∞ ni/Ni ci (0, 1) for i = 1, . . . , k, and kt may be finite or going to infinity. We assume the ci’s → ∈ are bounded away from 0 and 1. Under outfill asymptotics with finite k, following from the delta method, the bias of the MLE is approximated by [57]
2 2 h k−1 P 1 i k−1 P 1 + 2 N N−ni N N−ni E − − NbMLE N 2 , − ∼ h 1 k−1 P 1 i 2 E + N− [r] N − N−ni which is O(1), and the asymptotic variance is O(N), approximated by [57]
" k #−1 1 k 1 X 1 Var(NbMLE) + − . ∼ N E[r] N − N ni − i=1 −
Under outfill asymptotics with infinite sampling repetitions, we assume infi∈[k] pi > 0. Then the E Qk magnitude of bias is bounded above by N [r], and hence by N i=1(1 pi). The variance is Qk − Qk − O(N (1 pi)). Therefore, as long as k is increasing such that N (1 pi) 0, NbMLE will i=1 − i=1 − → be MSE consistent for N.
6 Discussion
Several features determine researchers’ ability to learn about the size of a hidden set. First, the structure of the set – labeled units, ordering of the labels, or relational (network/graph) information
16 Problem Trait Sample Estimator Consistency
Consecutive Uniform random Infill: consistent German tank N , N , N , N integers draw from U bMLE bG b2 b3 Outfill: MSE O(1) Infill: consistent NbMLE, NbMME, 0 Binomial NYi Bernoulli(p) i U : Yi = 1 Outfill: NbMME, Nb ∼ { ∈ } Q , N 0 MLE (k) bMLE have MSE O(1)1
Waiting times Ti Exponential(λ) i U : Ti < T Equivalent to Binomial N ∼ { ∈ } P U Network degree Uniform random di Infill: inconsistent U V NbNS = M P dV NSUM d , d draw from V U i Outfill: MSE O(1) i i \ P U 2 Network degree Uniform random di Infill: inconsistent s U Nb = n P ds di , di draw from U i Outfill: MSE O(1) Uniform random Infill: consistent HT Cluster membership draw from each N = P 1/p b i Outfill: MSE O(N) sampled cluster Infill: inconsistent Outfill k = 2: MSE O(N) k-sample CRC Capture history P(i sj) = nj/N, i NbL, NbC , NbMLE ∈ ∀ Outfill k : NbMLE consistent→ ∞ 3 MBM Similar to two-sample CRC
Table 1: Summary of models, estimators, and asymptotic results for estimating the size of a hidden set. Notes: 1. the error rate of NbMLE and Q(k) are given in Section 4.1 in terms of relative error; Qk 2. conditioning on Es > 0; 3. if N (1 pi) 0. | | i=1 − →
– can permit researchers to learn about the number of remaining units when a subset is observed. Second, a feasible probabilistic query mechanism – random sampling, or observation conditional on a unit trait or attribute – must be available. Third, a statistical estimator that enjoys desirable statistical properties must be chosen. Some of these features may be under the control of researchers, while others may be intrinsic to the problem. Table 1 summarizes the models that have been discussed in this paper, as well as consistency results of estimators in each model. How should empirical researchers evaluate the statistical properties of estimators, design a study or choose a sample size? Many of these tasks are based on asymptotic arguments, and statistical claims about the large-sample performance of hidden set size estimators depend on specification of an appropriate asymptotic (or even non-asymptotic) regime. It is crucial to identify how the sample size increases, especially in relation to the target population, when asymptotic approximation or comparison is involved in population size estimation tasks. When designing a study, this may include determining the minimum sample size that leads to a desired precision [113, 114], or selecting an “optimal” sampling strategy (e.g. one-time larger sample versus multi-time repeated smaller samples). In data analysis, this may include establishing valid approximation to biases and variances or comparing the efficiency of different statistical approaches [113, 115–117]. If the vast majority of the target population can be observed in one-step sampling, consistency under the trivial finite- population regime may be a goal when developing estimators. If the total population is fixed, and arbitrarily repeated i.i.d. samples can be obtained, then consistency under infill may justify the use of a statistical approach. If instead only one-time or finite-time sampling is permitted, in which the
17 sample size is believed to reflect a proportion of the potentially large population, performance of estimators under outfill may be of more interest. We have shown that different asymptotic regimes can lead to dramatically different statistical properties. Some seemingly sensible estimators are inconsistent with different rates of MSE, and asymptotic claims for population size estimators under one regime may be of limited value for analyzing the general situation. In this review, we have focused on technical claims about the asymptotic properties of estimators, and have not discussed considerations for practical data collection. For example, the waiting time model does not accommodate censoring or truncation of observations, but could be easily extended to do so. Respondent recall bias in the network scale-up method may make the reported network degrees noisy estimates of the truth. The Horvitz-Thompson estimator relies on knowledge about marginal inclusion probabilities of each sampled individual, which may not be readily available when the size of the population is unknown. While improved data collection strategies may not be able to mitigate poor asymptotic properties – like inconsistency – under a particular regime, better data may be able to reduce variance in finite samples. While we have discussed many of the most popular settings and methods for estimating the size of a hidden set, there are several other settings we have not covered. Respondent-driven sampling (RDS), snowball sampling and link-tracing sampling generate samples from hidden networks, and modeling the stochastic process underlying such sampling mechanism can be used to estimate hidden population sizes [2, 95, 118, 119]. There is a large literature on CRC beyond what we have covered here. For example, there are approaches for CRC with an open population, with immigration, emigration, birth, and death [106, 107] or with heterogeneity in capture probabilities [103, 104]. CRC is also possible using data from network sampling designs [108]. We have also not discussed species number estimation [120], “count distinct” and streaming estimation problems [121–123], and genetic methods for population size estimation [124, 125]. In addition, we have not addressed the issue of entity resolution, or record de-duplication [47]. The results presented in this paper suggest that researchers employing methods for estimating the size of a hidden set should evaluate the performance of estimators under deliberately specified asymptotic assumptions.
Acknowledgements
This work was supported by NIH grants NICHD/BD2K DP2 HD091799, NIH/NCATS KL2TR000140, NIMH P30MH062294, the Center for Interdisciplinary Research on AIDS, and the Yale Center for Clinical Investigation. We are grateful to Peter M. Aronow, Heng Chen, Xi Fu, and Edward H. Kaplan for helpful comments.
A Asymptotic normality and consistency
We first introduce a simple lemma that helps to prove consistency or inconsistency based on asymp- totic normality.
L 2 Lemma 1 (Asymptotic normality and consistency). Suppose at (Xt νt) N(0, σ ) for a finite P − −→ σ. Then Xt νt 0 if and only if at as t . − −→ → ∞ → ∞
Proof. Assume at when t . Then for any ε > 0, there exists T > 0 such that E(Xt → ∞ → ∞ | −
18 νt) < ε/2 for any t > T . For such t, since Xt νt Xt νt E(Xt νt) + E(Xt νt) , applying | | − | ≤ | − − − | | − | the union bound and Chebyshev’s inequality yields
P Xt νt > ε = P Xt νt E(Xt νt) + E(Xt νt) > ε {| − | } {| − − − − | } n εo n εo 2σ 2 P Xt νt E(Xt νt) > + P E(Xt νt) > 0. ≤ | − − − | 2 | − | 2 ≤ εat →
If at does not go to infinity, then for some m > 0 and any M > 0, there exists t > M such that at < m for such t. Pick ε > 0, then there exists T > 0 such that P at(Xt νt) > εm 1/2 P Y > εm 2 { − } ≥ · { } for Y N(0, σ ) for all t > T . Specially, for any M > 0, there exists t0 > max T,M such that ∼ { } at0 < m holds. Then 1 P Xt νt > ε P at (Xt νt ) > εm P(Y > εm) > 0, {| 0 − 0 | } ≥ { 0 0 − 0 } ≥ 2 indicating that Xt νt does not converge to 0. { − }
B Proof of theorems
Proof of Theorem 3.1. Rates of biases and variances of NbG, Nb2 and Nb3 follow from the non-asymptotic claims of biases and variances given by Goodman [43], as stated in the main text. Consistency un- der the finite-population regime follows directly from setting n = N in each of the estimators. Consistency under infill of NbG, Nb2, Nb3 follows from the unbiasedness of these estimators, while that P of NbMLE follows from the fact that maxi∈[k ] Xi(n) N as kt . t −→ → ∞ We show the inconsistency of NbG (when the initial label is 1) and Nb3 (when the initial label is unknown) under outfill. The results can be derived similarly for NbMLE and Nb2, since they are shifted and scaled versions of NbG, and the corresponding proofs for inconsistency also amount to bounding the probability that X(n) equals a specific value (as done below).
For NbG, recall that n + 1 NbG = X(n) 1, n − where NbG, n and N are implicitly indexed by t as defined under outfill asymptotics. However, we omit the subscript for simpler notation. For any 0 < ε < 1/c 1, there exists T0 N+ such that − ∈ N 1 ε n ε + , and 1 (11) n + 1 ≤ c 2 n + 1 ≥ − 2 for any t > T0, where n, N are indexed by t. Then when t > T0, n + 1 P(NbG = N) = P X(n) 1 = N n − N n = P X N = + (n) − −n + 1 n + 1 1 P X N + 1 ε ≤ (n) ≥ − c − c 1 1 P X = N + − ε 1 ≤ − (n) d c − e −
19 N−1 N + c−1 ε 2 = 1 d c − e − − n n 1 − !n−1 n N + c−1 ε n c 1 d c − e − 1 exp < 1. (12) ≤ − N N n + 1 → − −1 c − −
Then we show the inconsistency of Nb3 with unknown initial number u. Let Y = X u, then − Y Y and X X follow the same distribution. Likewise, for any ε > 0, there exists T1 (n) − (1) (n) − (1) such that n 1 ε 2N 2 ε − 1 , and (13) n + 1 ≥ − 2 − n + 1 ≥ − c − 2 for any t > T1. Then
n 1 2N P Nb3 = N = P Y(n) Y(1) N = − − − − n + 1 2 P Y Y N + 1 ε ≤ (n) − (1) ≥ − c − 2 1 P Y = N + 1 ε 1 ≤ − (n) d − c − e − N−1 N + 1 2 ε 2 = 1 d − c − e − − n n 1 − !n−1 n N + 1 2 ε n c 1 d − c − e − 1 exp < 1. (14) ≤ − N N n + 1 → − −1 c − −
Since NbG and Nb3 take discrete values, (12) and (14) imply the inconsistency of NbG and Nb3.
U V Proof of Theorem 4.2. We first show the conditional distribution of di given di . Recall that π is the edge probability P( i, j E) for any i V U and j V . Then, { } ∈ ∈ \ ∈ N M−N−1 V V U V k N−k di −k M−N−1−di +k P(d = k, d ) k π (1 π) dV −k π (1 π) P U V i i − i − (di = k di ) = V = M−1 V V | P(d ) di M−1−di i dV π (1 π) i − N M−N−1 V k di −k = M−1 , V di
U V di follows a hypergeometric distribution given di . Therefore,
P V N V di M−1 MN E NbNS d , i = 1, . . . , n = M · = , | i P dV M 1 i − and E(NbNS) N = N/(M 1). − − Since we impose no assumption on the distribution of network degrees within U, even when we sample all units in V U, we cannot recover N deterministically. (For example, when there exists V \U\ j U such that d = 0.) Under infill asymptotics, repeated i.i.d. samples are taken and the ∈ j estimates are averaged. The final estimate therefore converges to a quantity with constant bias
20 N/(M 1). We now derive the asymptotic distribution of NbNS under outfill, where N/M c1 − → and n/(M N) c2. First, − → V \s P dV P ds n 1 P d M n i = i − + i − , (15) nM n(n 1) M n(M n) M − − V \s where P ds/2 Binomial n, π, and P d Binomial(n(M n), π). By the central limit i ∼ 2 i ∼ − theorem and Slutsky’s theorem, P s p d L n(n 1) i π N(0, 2π(1 π)), (16) − n(n 1) − −→ − − P V \s ! p d L (M n)n i π N(0, π(1 π)). (17) − (M n)n − −→ − − p p Multiply (16-17) by (n 1)/ n(n 1) and (M n)/n respectively and by Slutsky’s theorem − − − we have P s d n 1 π(n 1) L M i − − N(0, 2π(1 π)), (18) n(n 1) · M − M −→ − − P V \s ! d M n π(M n) L 1 c2(1 c1) M i − − N 0, π(1 π) − − . (19) (M n)n · M − M −→ − c2(1 c1) − − P s P V \s Since di and di are mutually independent, combining (15), (18) and (19) yields P V di π L √nN + π N (0, π(1 π)c1[1 + c2(1 c1)]) . (20) nM M − −→ − −
Also, P U d L √nN i π N(0, π(1 π)). nN − −→ − P V Divide both sides by di /nM, and Slutsky’s theorem yields
P U √ di nN n N √nNπ L 1 π P V · P V N 0, − , di /(nM) − di /(nM) −→ π which can be rewritten as √ nN √ π L 1 π Nb N + nN 1 P V N 0, − . (21) N − − di /nM −→ π
Learning about the asymptotic behavior of Nb N requires characterizing the second term on the − left-hand side of (21). Define a sequence of random variables and functions
P V di π π Xt = + and gt(x) = 1 , nM M − x π − M where n, M are indexed by t, and a function g(x) = 1 π/x. Then − √ π √ √ √ nN 1 P V = nNgt(Xt) = nN[gt(Xt) g(Xt)] + nN[g(Xt) g(π)] (22) − di /nM − −
21 since g(π) = 0. The first term in (22) satisfies √ √ π π nN[gt(Xt) g(Xt)] = nN P V P V − di /nM + π/M − di /nM 2 π √nN 1 P p = P V P V c1c2(1 c2), − M · di di π −→− − nM nM + M and the second term in (22) satisfies
L 0 2 √nN[g(Xt) g(π)] N 0, [g (π)] π(1 π)c1[1 + c2(1 c1)] − −→ − − by the delta method. Therefore the quantity in (22) √ π L p (1 π)c1[1 + c2(1 c1)] nN 1 P V N c1c2(1 c2), − − (23) − di /nM −→ − − π
L 2 2 by Slutsky’s theorem. Combining (21) and (22), we have Nb N N(c1, σ ), where σ is bounded − −→ between, (1 π)c1 h p i − 1 + c1(1 + c2(1 c1)) 2 c1(1 + c2(1 c1)) . πc2(1 c1) − ± − − Therefore, Nb is asymptotically normal with bias c1 and variance O(1), and following from Lemma 1, inconsistent under the outfill regime.
Proof of Theorem 4.3. We derive the asymptotic normal distribution of Nb under the outfill regime that n/N c (0, 1). Note that → ∈ P U\s di Nb = n + n P s , di P and P ds/n(n 1) π. Also, i − −→ P U\s ! p d L n(N n) i π N(0, π(1 π)) (24) − (N n)n − −→ − − by the central limit theorem. Therefore, by Slutsky’s theorem, P U\s ! p d n(n 1) n(n 1) L 1 π n(N n) i − π − N 0, − . − P ds · (N n)n − · P ds −→ π i − i p Multiply both sides by n(N n)/(n 1) and Slutsky’s theorem yields − − P U\s ! di n(N n) L (1 π)(1 c) n P s π P−s N 0, − − , di − di −→ πc which can be rewritten as " P U\s # di π L (1 π)(1 c) n P s (N n) + (N n) 1 P s 2 N 0, − − . (25) di − − − − di /n −→ πc
22 We need to characterize the second term on the left-hand side of (25) in order to derive the asymptotic distribution of Nb. By the central limit theorem, P s p d L n(n 1) i π N(0, 2π(1 π)), − n(n 1) − −→ − − and therefore P s 2 d π L 2π(1 π)(1 c) (N n) i + π N 0, − − . (26) − n2 n − −→ c2 Define P s di π π Yt = + , and ht(y) = 1 , n2 n − y π − n where n is indexed by t. Also define h(y) = 1 π/y. Then − π (N n) 1 P s 2 = (N n)[ht(Yt) h(Yt)] + (N n)[h(Yt) h(π)] (27) − − di /n − − − − since h(π) = 0. The first term in (27) is
π π (N n)[ht(Yt) h(Yt)] = (N n) P s 2 P s 2 − − − di /n + π/n − di /n π2 n P 1 c = (N n) P s P s − , − − di di π −→− c n2 n2 + n and for the second term in (27),
2 L 0 2 2π(1 π)(1 c) (N n)[h(Yt) h(π)] N 0, [h (π)] − − − − −→ c2 by the delta method. Hence the quantity on the left-hand side of (27) satisfies
2 π L 1 c 2(1 π)(1 c) (N n) 1 P s 2 N − , − 2 − . (28) − − di /n −→ − c c π Combine (25) and (28), P U\s di L 1 c 2 n P s (N n) N − , τ , di − − −→ c where τ 2 is bounded between " r # (1 π)(1 c) 2(1 c) 2(1 c) − − 1 + − 2 − . πc c ± c
Nb is therefore asymptotically normal with bias (1 c)/c and variance O(1) under outfill. Following − from Lemma 1, it is inconsistent under the outfill regime.
Proof of Theorem 4.4. We denote the first and second order inclusion probability of any individual (t) (t) (t) from the h, lth cluster as ph , pl and phl respectively. The superscript (t) corresponds to the sequence of samples and populations specified by the asymptotic regime. Let Xh be the number of
23 (t) (t) T 1 1 T individuals sampled from the hth cluster. Then [X ,...,X ] Multinomial nt, ( ,..., ) 1 H ∼ H H for t = 1, 2, .... The marginal probability that unit i in cluster h is sampled is n j n−j X n 1 1 j n pi(h) = 1 = , j H − H Nh H Nh j=0 · and the joint probability that two units i, j are sampled from clusters h and l (h = l) is 6 p q n−p−q X n 1 1 2 pq n2 n pi(h)j(l) = 1 = 2 − . p q n p q H H − H NhNl H NhNl p,q − −
Since the marginal and joint probabilities are uniform for different i or different combinations of (i, j), we omit the subscripts i or j for simplicity. We now calculate the variance of the HT estimator Nb (for one-time sampling). First, according to Horvitz and Thompson [50], when kt = 1, !2 1 X (t) (t) (t) (t) (t) 1 1 Var Nb (t) = N N p p p 2 h l h l − hl (t) − (t) h6=l∈[Ht] ph pl (t) (t)2 Ht Ht X X Nh Nl = − . (29) nt h=1 l=h+1
(t) 1) Under the infill regime, nt = n, Ht = H and N = Nh for any t, so (29) is O(1). The number h of samples k goes to infinity as t increases, and under k -time sampling, Var N (t) = O( 1 ). t t b kt Therefore Nb is MSE consistent, and also consistent, under infill asymptotics. (t) 2) Under the outfill regime, nt = ctNt, Ht = Ht and Nh = Nh, where ct c (0, 1). The (t) (t) → ∈ HT estimator is N (t) = PHt X /p , where X(t) is multinomial c Nt, ( 1 ,..., 1 )T . Then b h=1 h h t Ht Ht (t) d PH (t) (t) (t) 1 1 T Nb = h=1 Yh /ph , where Y is multinomial ctNt, ( H ,..., H ) . Then (t) T ! p Y 1 1 L ctNt ,..., MVN(0, Σ), (30) ctNt − H H −→ where 1 1 1 1 H 1 H H2 H2 −1 1 − 1 · · · − 1 2 H 1 H 2 Σ = − H − · · · − H . H×H . . .. . . . . . 1 1 1 1 1 − H2 − H2 ··· H − H T h iT T Denote ω(t) = 1 ,..., 1 = HN1 ,..., HNH , then N (t) = ω(t) Y (t). Also, define ω = (t) (t) ctN ctN b p1 pH h iT (t) HN1 HNH limt→∞ ω = cN ,..., cN . Applying the delta method to (30) yields
T (t) T ! p ω Y T 1 1 L T ctNt ω ,..., N(0, ω Σω). (31) ctNt − H H −→
24 Since ct c, by Slutsky’s theorem, (31) leads to →
1 L 2 Nb Nt N 0, cNσ , (32) √t − −→ PH 2 2 2 T H h=1 Nh−N (t) where σ = ω Σω = c2N 2 . i.e. the variance of Nb is O(t), which goes to infinity as t increases. It follows from Lemma 1 that the HT estimator is inconsistent under outfill asymptotics.
Proof of Theorem 5.1. Finite-sample claims follow from Chapman [56]. Setting n2 = N leads to consistency under the finite-population regime. Behavior under infill asymptotics follows from the biases of NbL and NbC .
We show the inconsistency of NbL and NbC under the special outfill regime that n1 = c1N, n2 = c2N with N increasing, and n1, n2,N are indexed by t but the subscripts are omitted for simplicity.
For NbL, we prove that P( NbL N < ε) 0 for some ε > 0. If c1c2N/ Z, there exists b > 0 such | − | → ∈ that c1c2N c1c2N 1/b and c1c2N c1c2N 1/b. Arbitrarily choose η > 0, pick d e − ≥ − b c ≥ 1 0 < ε < . 2b(c1 + η)(c2 + η)
There exists T0 > 0 such that
n1n2 n1n2 (c1 + η)(c2 + η), (c1 + η)(c2 + η) N(N ε) ≤ N(N + ε) ≤ − for all t > T0. Note that by the choice of ε,
n1n2 n1n2 1 n1n2 n1n2 1 , (33) N ε − N ≤ 2b N − N + ε ≤ 2b − for all t > T0. Then n1n2 n1n2 1 1 P( NbL N < ε) = P m P c1c2N m c1c2N + . (34) | − | N + ε ≤ ≤ N ε ≤ − 2b ≤ ≤ 2b −
Note that the interval in (34) contains no integer, i.e. P( NbL N < ε) = 0, if c1c2N is not an | − | integer. Otherwise, it contains exactly one integer c1c2N. Therefore, continuing from (34), we have (denote x = c1c2N)