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何时不应将线性IV估计量解释为LATE？AI 解读

Abstract In this paper I revisit the interpretation of the linear instrumental variables (IV) estimand as a weighted average of conditional local average treatment effects (LATEs). I focus on a situation in which additional covariates are required for identification while the reduced-form and first-stage regressions may be misspecified due to an implicit homogeneity restriction on the effects of the instrument. I show that the weights on some conditional LATEs are negative…

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Perturb-seq 中基于代理变量与工具变量的混杂稳健因果发现与推断AI 解读

Emerging single-cell technologies that combine CRISPR-based genetic perturbations with single-cell RNA sequencing, such as Perturb-seq, offer unprecedented opportunities to uncover cause-and-effect relationships among genes. Nonetheless, Perturb-seq experiments are subject to unobserved factors that, if not properly handled, can severely bias the inferred causal relationships between genes. These latent factors may arise not only from intrinsic molecular features of the…

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可加全局Fréchet回归的变量选择AI 解读

We present a novel framework for variable selection in Fréchet regression with responses in general metric spaces, a setting increasingly relevant for analyzing non-Euclidean data such as probability distributions and covariance matrices. Building on the concept of (weak) Fréchet conditional means, we develop an additive regression model that represents the metric-based discrepancy of the response as a sum of covariate-specific nonlinear functions in reproducing kernel…

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考虑人口流动的多变量连续处理空气污染研究中的空间干扰方法AI 解读

We develop new methodology to improve our understanding of the causal effects of multivariate air pollution exposures on public health accounting for mobility. Typically, in environmental health studies, exposure to air pollution for an individual is assigned based on their residential address, though many people spend time in different regions with potentially different levels of air pollution. To account for this, we incorporate estimates of the mobility of individuals…

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真实参数与伪真实参数AI 解读

Parameter estimates in misspecified models converge to pseudo-true parameter values, which minimize a population objective function. Pseudo-true values often differ from quantities of economic interest, raising questions of how, if at all, they are relevant for decision-making. To study this question, we consider Bayesian decision-makers facing a linear population minimum distance problem. Within a class of priors motivated by the minimum distance objective, we characterize…

离散抽样连续时间 ARMA 过程的 Phillips–Solo 渐近理论AI 解读

Phillips and Solo (1992, Annals of Statistics 20, 971–2001) provided sets of conditions concerning the summability of coefficients and the properties of innovations in discrete-time linear processes such that normalized sums satisfy certain asymptotic properties, such as laws of large numbers, central limit theorems, and invariance principles. In this article, we consider ARMA processes in continuous time that are sampled at discrete-time intervals and provide conditions on…

In this paper, we propose STRAP (Smooth Tests using RAdom Projections), projected smooth tests for the equality of two multivariate distributions. We employ random projections to map the multivariate data into one-dimensional data and transform the projected data via the probability integral transformation. Under the null hypothesis of homogeneity, the transformed data follow the standard uniform distribution, reducing the problem to testing for uniformity. Building on…

插件式重抽样的鞍点近似AI 解读

Abstract Resampling-based procedures can improve on normal approximations in sparse, large-scale testing problems, but their computational cost can be prohibitive. We recognize that several existing procedures belong to a faster plug-in resampling subclass, fixing fitted nuisance parameters during resampling. When the resampled statistic is a sum of conditionally independent terms, the saddlepoint approximation for the resampling p -value offers further acceleration,…

无限阶 U 统计量的刀切经验似然AI 解读

Infinite-order U -statistics play a vital role in modern statistics. However, given their degree k n $k_n$ k Subscript n depends on the sample size n , quantifying their variability is quite challenging, as fixed-degree theories cannot be directly adopted. In this article, we propose a jackknife empirical likelihood (EL) framework that can be used to construct confidence intervals for an infinite-order U -statistic. We establish sufficient conditions for the limiting…

基于流行度回归的潜空间模型：大规模稀疏网络分析AI 解读

Degree heterogeneity is one of the most important properties of network data. It is widely observed that degree heterogeneity is often related to the nodal features. In this study, we investigate the estimation and statistical inference for a popularity regression-based latent space model with nodal features. Given the complex dependence structure induced by the latent space model, we aim to derive analytically tractable objective functions that effectively account for this…

含时间趋势的非线性自回归分布滞后模型的OLS估计与推断AI 解读

This study examines the large-sample behavior of an ordinary least squares (OLS) estimator within a correctly specified nonlinear autoregressive distributed lag (NARDL) model for nonstationary data. Although the OLS estimator suffers from an asymptotically singular matrix problem, it remains consistent for unknown model parameters and asymptotically follows a mixed normal distribution. Additionally, we examine the large-sample behavior of the standard Wald test, as defined…

离散时间与连续时间仿射期权定价模型之间的关系AI 解读

This article studies the weak convergence of discrete-time generalized autoregressive conditional heteroskedasticity (GARCH) and stochastic volatility (SV) option pricing models that allow for fat tails, multi-component volatilities, and non-monotonic pricing kernels. We introduce a general affine framework that enables the simultaneous derivation of new diffusion limits for Gaussian and inverse Gaussian GARCH models based on distributional invariant parametric convergence…

Rao-Blackwell 化的 e-变量AI 解读

Summary We show that for any concave utility, the expected utility of an e-variable can only increase after conditioning on a sufficient statistic, echoing the classic Rao-Blackwell theorem. The simplest form of the result has a straightforward proof using Jensen’s inequality, but we prove more sophisticated versions. We provide several applications of this insight, including a derivation of the log-optimal e-variable for testing the variance in a linear regression model.

马尔可夫采样下随机梯度下降的在线协方差估计AI 解读

We investigate the online overlapping batch-means covariance estimator for Stochastic Gradient Descent (SGD) under Markovian sampling. Convergence rates of order $O\big(\sqrt{d}\,n^{-1/8}(\log n)^{1/4}\big)$ and $O\big(\sqrt{d}\,n^{-1/8}\big)$ are established under state-dependent and state-independent Markovian sampling, respectively, where $d$ is the dimensionality and $n$ denotes observations or SGD iterations. These rates match the best-known convergence rate for…

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多因子线性资产定价模型 GMM 估计中的效率与定价精度权衡AI 解读

Even though a multi-factor linear asset pricing model can be equivalently represented in a Beta or in a stochastic discount factor (SDF) form, its inferential efficiency and pricing accuracy features may differ when estimated by the generalized method of moments (GMM), both in small and in large samples. We derive the analytical asymptotic variance of the Beta and the SDF estimators under GMM and find that the SDF approach is likely to be less efficient but to yield more…

近端估计与推断AI 解读

Abstract We develop a convex-analytic framework for constructing and analyzing a broad class of penalized estimators. Our method defines penalized estimators by applying proximal operators to benchmark estimators, rather than by penalizing the benchmark criterion itself. We establish general finite-sample properties, derive unified asymptotic distribution results, and provide tractable conditions for oracle selection and oracle asymptotic efficiency. We then apply the…

内生性检验：一种基于矩的贝叶斯方法AI 解读

A standard assumption in the Bayesian estimation of linear regression models is that the regressors are exogenous in the sense that they are uncorrelated with the model error term. In practice, however, this assumption can be invalid. In this article, using the exponentially tilted empirical likelihood (ETEL) framework, we develop a Bayes factor test for endogeneity that compares a base model that is correctly specified under exogeneity but misspecified under endogeneity…

基于偏 Gini 协方差的重尾误差高维线性模型稳健推断AI 解读

This paper introduces a novel robust high-dimensional inference framework based on partial Gini covariance. We specifically address the practically important problem of quantifying how changes in features affect the conditional mean in high-dimensional linear regression when the random noises are heavy-tailed and possibly asymmetric. Conventional high-dimensional regression inference methods suffer from inaccurate type I errors and reduced power in heavy-tailed contexts.…

跨疾病临床治疗指标的关联：基于 SEER-Medicare 的深度神经网络分析AI 解读

In outcomes research, clinical treatment measures are routinely analyzed. Most existing studies focus on individual diseases, and increasing recent evidence suggests that clinical treatment measures of different diseases can be “correlated” (or interconnected). Existing studies on such interconnections are usually limited to a small number of diseases. In this study, for U.S. older patients with common cancers, we complement the existing literature and conduct a pan-disease…

依赖结构下的聚类后推断AI 解读

Recent work by Gao et al. (2024) has laid the foundations for post-clustering inference, establishing a theoretical framework allowing to test for differences between means of estimated clusters. Additionally, they studied the estimation of unknown parameters while controlling the selective type I error. However, their theory was developed for independent observations identically distributed as p-dimensional Gaussian variables, where the parameter estimation could only be…

MOSAiC：多站点压缩风险函数的一次性聚合AI 解读

Multi-center research has strengthened the generalizability and reproducibility of scientific findings, yet multi-site inference in modern distributed research networks remains constrained by privacy regulations, heterogeneous site characteristics, and the logistical burden of human-in-the-loop, multi-round communication. In this work, we distill these operational constraints into four mathematical requirements for practical distributed inference and introduce MOSAiC, a…