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仿射无套利收益率网络模型及欧债危机应用AI 解读

We develop a parsimonious class of affine arbitrage-free yield net models for consistent bond pricing across maturities and issuers of different risk levels. Containing a core curve and multiple peripheral curves, the yield net is spanned by three layers of factors: base factors spanning all curves, and common and individual spread factors. Under the arbitrage-free assumption, we prove a parsimonious solution to the risk-neutral process that guarantees joint identification…

基于后验分布的 Wald 型假设检验统计量AI 解读

A new Wald-type statistic is proposed for hypothesis testing based on Bayesian posterior distributions under the correct model specification. The new statistic can be explained as a posterior version of the Wald statistic and has several nice properties. First, it is well-defined under improper prior distributions. Second, it avoids Jeffreys–Lindley–Bartlett’s paradox. Third, under the null hypothesis and repeated sampling, it follows a χ2 distribution asymptotically,…

贝叶斯因子调整稀疏回归AI 解读

Many sparse regression methods rely on an assumption that the covariates are weakly correlated, which hardly holds in many economic and financial datasets. To relax this assumption, we model the strongly correlated covariates by a factor structure: strong correlations among covariates are modeled by common factors, while the remaining variations of covariates are modeled as idiosyncratic components. We then propose a factor-adjusted sparse regression model and develop a…

共同基金行业技能分布的贝叶斯非参数学习AI 解读

In this paper, we use Bayesian nonparametric learning to estimate the skill of actively managed mutual funds and also to estimate the population distribution of skill. A nonparametric hierarchical prior, where the hyperprior distribution is unknown and modeled with a Dirichlet Process prior, is used to model the skill parameter, with its posterior predictive distribution being an estimate of the population distribution. Our nonparametric approach is equivalent to an…

VAR 分布误设下渐近有效的贝叶斯推断AI 解读

Inaccurately imposing Gaussian distributional assumptions in standard multivariate time series models does not affect inference on the autoregressive coefficients but distorts both classical and Bayesian inference on the volatility matrix whenever the true error distribution has excess kurtosis relative to the multivariate normal density. Inference on the intercept is also affected whenever the innovations are generated from a non-symmetric distribution. As a result of…

含未观测异质性的大规模面板选择模型：贝叶斯与极大似然分析AI 解读

This paper considers the estimation and inference procedures for the case of a logistic panel regression model with interactive fixed effects, where multiple individual effects are allowed and the model is capable of capturing high-dimensional cross-section dependence. The proposed model also allows for heterogeneous regression coefficients. New Bayesian and non-Bayesian approaches are introduced to estimate the model parameters. We investigate the asymptotic behaviors of…

长期限预测回归的偏差AI 解读

Analogous to Stambaugh (1999), this paper derives the small sample bias of estimators in J-horizon predictive regressions, providing a closed-form solution in terms of the sample size, horizon and persistence of the predictive variable. For large J, the bias is linear in JT with a slope that depends on the predictive variable's persistence. The paper offers a number of other useful results, including (i) important extensions to the original Stambaugh (1999) setting, (ii)…

通过倾向得分实现协变量分布平衡AI 解读

Summary This paper proposes new estimators for the propensity score that aim to maximize the covariate distribution balance among different treatment groups. Heuristically, our proposed procedure attempts to estimate a propensity score model by making the underlying covariate distribution of different treatment groups as close to each other as possible. Our estimators are data‐driven and can be used to estimate different treatment effect parameters under different…

关于《多元依赖的多尺度 Fisher 独立性检验》的讨论AI 解读

We read with interest the work of Gorsky & Ma (2022) on statistical dependence testing using a multi-scale Fisher’s independence test, MultiFIT. The procedure consists of first transforming the data to map to the unit ball, then performing univariate Fisher’s exact tests of independence on a collection of |$2 \times 2$| contingency tables, and finally correcting for the use of multiple testing. The collection is obtained using a divide-and-conquer approach with a…

关于“多元依赖的多尺度 Fisher 独立性检验”的讨论：二进制展开视角AI 解读

The multi-scale Fisher’s independence test, MultiFIT, proposed by Gorsky & Ma (2022) is a novel method to test independence between two random vectors. By its design, this test is particularly useful in detecting local dependence. Moreover, by adopting a resampling-free approach, it can easily accommodate massive sample sizes. Another benefit of the proposed method is its ability to interpret the nature of dependency. We congratulate the authors for their very interesting…

关于“多元依赖的多尺度 Fisher 独立性检验”的讨论：文献定位与选择标准AI 解读

We would like to congratulate the authors on an interesting paper that provides many avenues for discussion. The reduction of a nonparametric problem to a sequence of |$2 \times 2$| contingency tables is very elegant, and Fisher’s exact test is used to great effect. There are now a large number of methods for multivariate independence testing, but the proposed procedure stands out by providing uniform Type I error controls without a large computational burden, combining the…

多元依赖的多尺度 Fisher 独立性检验AI 解读

Summary Identifying dependency in multivariate data is a common inference task that arises in numerous applications. However, existing nonparametric independence tests typically require computation that scales at least quadratically with the sample size, making it difficult to apply them in the presence of massive sample sizes. Moreover, resampling is usually necessary to evaluate the statistical significance of the resulting test statistics at finite sample sizes, further…

利用多环境knockoff筛选寻找稳健关联AI 解读

Summary In this article we develop a method based on model-X knockoffs to find conditional associations that are consistent across environments, while controlling the false discovery rate. The motivation for this problem is that large datasets may contain numerous associations that are statistically significant and yet misleading, as they are induced by confounders or sampling imperfections. However, associations replicated under different conditions may be more interesting.…

多元点过程的小波谱AI 解读

Summary Wavelets provide the flexibility for analysing stochastic processes at different scales. In this article we apply them to multivariate point processes as a means of detecting and analysing unknown nonstationarity, both within and across component processes. To provide statistical tractability, a temporally smoothed wavelet periodogram is developed and shown to be equivalent to a multi-wavelet periodogram. Under a stationarity assumption, the distribution of the…

条件随机化检验与knockoff的高维功效分析AI 解读

Summary In many scientific applications, researchers aim to relate a response variable $Y$ to a set of potential explanatory variables $X = (X_1,\dots,X_p)$, and start by trying to identify variables that contribute to this relationship. In statistical terms, this goal can be understood as trying to identify those $X_j$ on which $Y$ is conditionally dependent. Sometimes it is of value to simultaneously test for each $j$, which is more commonly known as variable selection.…

存在不依从时意向治疗Wilcoxon–Mann–Whitney检验的相对效率AI 解读

Summary A general framework is set up to study the asymptotic properties of the intent-to-treat Wilcoxon–Mann–Whitney test in randomized experiments with nonignorable noncompliance. Under location-shift alternatives, the Pitman efficiencies of the intent-to-treat Wilcoxon–Mann–Whitney and $t$ tests are derived. It is shown that the former is superior if the compliers are more likely to be found in high-density regions of the outcome distribution or, equivalently, if the…

析因实验中的回归因果推断：目标量、模型设定与基于设计的性质AI 解读

Summary Factorial designs are widely used because of their ability to accommodate multiple factors simultaneously. Factor-based regression with main effects and some interactions is the dominant strategy for downstream analysis, delivering point estimators and standard errors simultaneously via one least-squares fit. Justification of these convenient estimators from the design-based perspective requires quantifying their sampling properties under the assignment mechanism…

含重复观测数据的渐近分布无关变点检测AI 解读

Summary A nonparametric framework for changepoint detection, based on scan statistics utilizing graphs that represent similarities among observations, is gaining attention owing to its flexibility and good performance for high-dimensional and non-Euclidean data sequences. However, this graph-based framework faces challenges when there are repeated observations in the sequence, which is often the case for discrete data such as network data. In this article we extend the…

概率预测表现的有效序贯推断AI 解读

Summary Probability forecasts for binary events play a central role in many applications. Their quality is commonly assessed with proper scoring rules, which assign forecasts numerical scores such that a correct forecast achieves a minimal expected score. In this paper, we construct e-values for testing the statistical significance of score differences of competing forecasts in sequential settings. E-values have been proposed as an alternative to $p$-values for hypothesis…

广义极值分布最大似然估计的唯一性与全局最优性AI 解读

Summary The three-parameter generalized extreme value distribution arises from classical univariate extreme value theory, and is in common use for analysing the far tail of observed phenomena, yet important asymptotic properties of likelihood-based estimation under this standard model have not been established. In this paper we prove that the maximum likelihood estimator is global and unique. An interesting secondary result entails the uniform consistency of a class of limit…

动态方差分解的工具变量识别AI 解读

Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock without measurement error, existing methods are silent on the importance of that shock for macroeconomic fluctuations. We show that, in a general moving-average model with external instruments, variance decompositions for the instrumented shock are interval-identified, with informative bounds. Various…

高维模型中平滑泛函的估计：自助链与高斯近似AI 解读

Let X(n) be an observation sampled from a distribution Pθ(n) with an unknown parameter θ, θ being a vector in a Banach space E (most often, a high-dimensional space of dimension d). We study the problem of estimation of f(θ) for a functional f:E↦R of some smoothness s>0 based on an observation X(n)∼Pθ(n). Assuming that there exists an estimator θˆn=θˆn(X(n)) of parameter θ such that n(θˆ n−θ) is sufficiently close in distribution to a mean zero Gaussian random vector in E,…

最小范数插值估计与正则化经验风险最小化的稳健性AI 解读

This article develops a general theory for minimum norm interpolating estimators and regularized empirical risk minimizers (RERM) in linear models in the presence of additive, potentially adversarial, errors. In particular, no conditions on the errors are imposed. A quantitative bound for the prediction error is given, relating it to the Rademacher complexity of the covariates, the norm of the minimum norm interpolator of the errors and the size of the subdifferential around…

二元响应下高维个体化阈值的非正则与极小极大估计AI 解读

Given a large number of covariates Z, we consider the estimation of a high-dimensional parameter θ in an individualized linear threshold θTZ for a continuous variable X, which minimizes the disagreement between sign(X−θTZ) and a binary response Y. While the problem can be formulated into the M-estimation framework, minimizing the corresponding empirical risk function is computationally intractable due to discontinuity of the sign function. Moreover, estimating θ even in the…