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稀疏超高维变系数模型的前向变量选择AI 解读

Varying coefficient models have numerous applications in a wide scope of scientific areas. While enjoying nice interpretability, they also allow for flexibility in modeling dynamic impacts of the covariates. But, in the new era of big data, it is challenging to select the relevant variables when the dimensionality is very large. Recently, several works are focused on this important problem based on sparsity assumptions; they are subject to some limitations, however. We…

贝叶斯非参数纵向数据分析AI 解读

Fernando A. Quintanaa*, Wesley O. Johnsonb, L. Elaine Waetjenc & Ellen B. Goldca Departamento de Estadística, Pontificia Universidad Católica de Chile Santiago, Chileb Department of Statistics, University of California Irvine, Irvine, CA, USAc Department of Obstetrics and Gynecology, and Department of Public Health Sciences, Division of Epidemiology, University of California Davis, Davis, CA, USACONTACT Fernando A. Quintana quintana@mat.uc.cl Departamento de Estadística,…

由负二项过程族构造的随机计数矩阵先验AI 解读

We define a family of probability distributions for random count matrices with a potentially unbounded number of rows and columns. The three distributions we consider are derived from the gamma-Poisson, gamma-negative binomial, and beta-negative binomial processes, which we refer to generically as a family of negative-binomial processes. Because the models lead to closed-form update equations within the context of a Gibbs sampler, they are natural candidates for…

基于横截面与序列依赖高斯Copula模型的美国宏观变量非对称预测密度AI 解读

Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast densities produced are symmetric. In this article, we use a copula model with asymmetric margins to produce forecast densities with the scope for severe departures from symmetry. Empirical and skew t distributions are employed for the margins, and a high-dimensional Gaussian copula is used to jointly capture cross-sectional and (multivariate) serial…

大型贝叶斯 VAR 中的共同时变波动率AI 解读

The general pattern of estimated volatilities of macroeconomic and financial variables is often broadly similar. We propose two models in which conditional volatilities feature comovement and study them using U.S. macroeconomic data. The first model specifies the conditional volatilities as driven by a single common unobserved factor, plus an idiosyncratic component. We label this model BVAR with general factor stochastic volatility (BVAR-GFSV) and we show that the loss in…

经济统计数据的最大熵先验不确定性与相关性AI 解读

Empirical estimates of source statistical economic data such as trade flows, greenhouse gas emissions, or employment figures are always subject to uncertainty (stemming from measurement errors or confidentiality) but information concerning that uncertainty is often missing. This article uses concepts from Bayesian inference and the maximum entropy principle to estimate the prior probability distribution, uncertainty, and correlations of source data when such information is…

处理效应半参数估计中的模型平均AI 解读

Choosing the covariates and functional form of the propensity score is an important choice for estimating treatment effects. This paper proposes a data-driven way of averaging the estimators over candidate specifications to resolve the specification uncertainty in the propensity score weighting estimation of the ATT. The proposed procedures minimize the estimated MSE of the ATT estimator in a local asymptotic framework. We formulate model averaging as a statistical decision…

面板结果的贝叶斯处理效应与变量选择：产假对收入的影响AI 解读

We propose two alternative Bayesian treatment effect modeling and inferential frameworks for panel outcomes to estimate dynamic earnings effects of a long maternity leave on mothers’ subsequent earnings. Modeling of the endogeneity of the treatment and the panel structure of the earnings are based on the modeling tradition of the Roy switching regression model and the shared factor approach, respectively. We implement stochastic variable selection to test, for example, for…

一类部分识别模型中的贝叶斯推断AI 解读

This paper develops a Bayesian approach to inference in a class of partially identified econometric models. Models in this class are characterized by a known mapping between a point identified reduced-form parameter μ and the identified set for a partially identified parameter θ. The approach maps posterior inference about μ to various posterior inference statements concerning the identified set for θ, without the specification of a prior for θ. Many posterior inference…

多元非参数回归的上确界范数后验收缩与可信集AI 解读

In the setting of nonparametric multivariate regression with unknown error variance $\sigma^{2}$, we study asymptotic properties of a Bayesian method for estimating a regression function $f$ and its mixed partial derivatives. We use a random series of tensor product of B-splines with normal basis coefficients as a prior for $f$, and $\sigma$ is either estimated using the empirical Bayes approach or is endowed with a suitable prior in a hierarchical Bayes approach. We…

面向高维模型的分层 Metropolis–Hastings 采样器AI 解读

Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the “dynamic striated Metropolis–Hastings (DSMH)” sampler. Grounded in the Metropolis–Hastings algorithm, it pools the strengths from the equi-energy and sequential Monte Carlo samplers while avoiding the weaknesses of the standard Metropolis–Hastings algorithm and those of importance sampling. In particular, the…

多元自回归指数模型的结构分析AI 解读

We address the issue of parameter dimensionality reduction in Vector Autoregressive models (VARs) for many variables by imposing specific reduced rank restrictions on the coefficient matrices that simplify the VARs into Multivariate Autoregressive Index (MAI) models. We derive the Wold representation implied by the MAIs and show that it is closely related to that associated with dynamic factor models. Then, the theoretical analysis is extended to the case of general rank…

大型贝叶斯 VARMA 模型AI 解读

Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parameterization concerns, difficulties in ensuring identification and computational challenges. With the growing interest in multivariate time series models of high dimension, these problems with VARMAs become even more acute, accounting for the dominance of VARs in this…

动态预测组合：金融摩擦与预测表现AI 解读

We apply a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions for output growth and inflation from 1992 to 2011. We find strong evidence of time variation in the pool’s weights, reflecting the fact that the DSGE model with financial frictions produces superior forecasts in periods of financial distress…

贝叶斯渐近计算中的指数倾斜AI 解读

We use exponential tilting to obtain versions of asymptotic formulae for Bayesian computation that do not involve conditional maxima of the likelihood function, yielding a more stable computational procedure and significantly reducing computational time. In particular we present an alternative version of the Laplace approximation for a marginal posterior density. Implementation of the asymptotic formulae and a modified signed root based importance sampler are illustrated…

基于拒绝采样的模型的数据增广AI 解读

We present a data augmentation scheme to perform Markov chain Monte Carlo inference for models where data generation involves a rejection sampling algorithm. Our idea is a simple scheme to instantiate the rejected proposals preceding each data point. The resulting joint probability over observed and rejected variables can be much simpler than the marginal distribution over the observed variables, which often involves intractable integrals. We consider three problems:…

异质专业能力下的贝叶斯决策问题估计AI 解读

We consider the recent novel two-step estimator of Iaryczower and Shum (American Economic Review 2012; 102: 202–237), who analyze voting decisions of US Supreme Court justices. Motivated by the underlying theoretical voting model, we suggest that where the data under consideration display variation in the common prior, estimates of the structural parameters based on their methodology should generally benefit from including interaction terms between individual and time…

静态与动态因子模型的贝叶斯分析：旋转问题的事后处理AI 解读

Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimator. The indeterminacy of the parameter estimator with respect to an orthogonal transformation is known as the rotation problem. The typical strategy in Bayesian factor analysis to solve the rotation problem is to introduce ex-ante constraints on certain model parameters via degenerate and truncated prior distributions. This strategy,…

已实现协方差矩阵的贝叶斯半参数建模AI 解读

This paper introduces several new Bayesian nonparametric models suitable for capturing the unknown conditional distribution of realized covariance (RCOV) matrices. Existing dynamic Wishart models are extended to countably infinite mixture models of Wishart and inverse-Wishart distributions. In addition to mixture models with constant weights we propose models with time-varying weights to capture time dependence in the unknown distribution. Each of our models can be combined…

理解卒中对脑运动功能的影响：层级贝叶斯方法AI 解读

Stroke is a disturbance in blood supply to the brain resulting in the loss of brain functions, particularly motor function. A study was conducted by the UCI Neurorehabilitation Lab to investigate the impact of stroke on motor-related brain regions. Functional MRI (fMRI) data were collected from stroke patients and healthy controls while the subjects performed a simple motor task. In addition to affecting local neuronal activation strength, stroke might also alter…

刻画决策过程中神经元间相互作用的动态贝叶斯模型AI 解读

The goal of this paper is to develop a novel statistical model for studying cross-neuronal spike train interactions during decision making. For an individual to successfully complete the task of decision-making, a number of temporally-organized events must occur: stimuli must be detected, potential outcomes must be evaluated, behaviors must be executed or inhibited, and outcomes (such as reward or no-reward) must be experienced. Due to the complexity of this process, it is…

心肌细胞离子通道模型中函数型参数的校准AI 解读

Computational modeling is a popular tool to understand a diverse set of complex systems. The output from a computational model depends on a set of parameters that are unknown to the designer, but a modeler can estimate them by collecting physical data. In the described study of the ion channels of ventricular myocytes, the parameter of interest is a function as opposed to a scalar or a set of scalars. This article develops a new modeling strategy to nonparametrically study…

聚类鼓励设计中因果机制的识别与估计：用贝叶斯主分层分解蚊帐干预效应AI 解读

Exploration of causal mechanisms is often important for researchers and policymakers to understand how an intervention works and how it can be improved. This task can be crucial in clustered encouragement designs (CED). Encouragement design studies arise frequently when the treatment cannot be enforced because of ethical or practical constrains and an encouragement intervention (information campaigns, incentives, etc) is conceived with the purpose of increasing the uptake of…

计数型调查数据的贝叶斯空间支撑转换：美国社区调查应用AI 解读

Jonathan R. Bradley*, Christopher K. Wikle & Scott H. HolanCONTACT Jonathan R. Bradley bradleyjr@missouri.edu Department of Statistics, University of Missouri, 146 Middlebush Hall, Columbia, MO 65211-6100Color versions of one or more of the figures in the article can be found online at www.tandfonline.com/r/JASA.ABSTRACTWe introduce Bayesian spatial change of support (COS) methodology for count-valued survey data with known survey variances. Our proposed methodology is…