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非参数经验贝叶斯预测AI 解读

Henceforth, the Journal of the American Statistical Association 2022 Theory and Methods Invited Paper by Nikolaos Ignatiadis and Stefan Wager, “Nonparametric Empirical Bayes Analysis,” will be refe...

对《非参数经验贝叶斯分析的置信区间》的讨论AI 解读

We would like to start with congratulating the authors. Empirical Bayes estimation is a very old, well studied problem. However, construction of confidence intervals in empirical Bayes setting has ...

作者回复：非参数经验贝叶斯分析的置信区间AI 解读

In our article, we introduced two general methods for conducting inference for empirical Bayes estimands. The discussants have contributed to our work by clarifying and raising important issues reg...

经验贝叶斯区间的覆盖性质：对非参数经验贝叶斯置信区间研究的讨论AI 解读

Empirical Bayes methods are commonly used in the analysis of data coming from multiple related populations or groups, where often the goal is to obtain a parameter estimate for each individual grou...

关于“非参数经验贝叶斯分析的置信区间”的讨论AI 解读

We congratulate Ignatiadis and Wager (IW) on this significant step forward, incorporating uncertainty in the estimated prior into empirical Bayes (EB) analysis. EB analyses have traditionally ignor...

关于非参数经验贝叶斯分析置信区间的讨论AI 解读

I congratulate the authors for a fantastic piece of work about confidence intervals in an inverse problem involving a mixing distribution under an empirical Bayes setup. We can regard the problem a...

脑电脑机接口中神经活动的贝叶斯推断AI 解读

A brain-computer interface (BCI) is a system that translates brain activity into commands to operate technology. A common design for an electroencephalogram (EEG) BCI relies on the classification of the P300 event-related potential (ERP), which is a response elicited by the rare occurrence of target stimuli among common non-target stimuli. Few existing ERP classifiers directly explore the underlying mechanism of the neural activity. To this end, we perform a novel Bayesian…

非参数经验贝叶斯分析的置信区间AI 解读

In an empirical Bayes analysis, we use data from repeated sampling to imitate inferences made by an oracle Bayesian with extensive knowledge of the data-generating distribution. Existing results provide a comprehensive characterization of when and why empirical Bayes point estimates accurately recover oracle Bayes behavior. In this paper, we develop flexible and practical confidence intervals that provide asymptotic frequentist coverage of empirical Bayes estimands, such as…

多元点模式数据的半参数多项 logistic 回归AI 解读

We propose a new method for analysis of multivariate point pattern data observed in a heterogeneous environment and with complex intensity functions. We suggest semiparametric models for the intensity functions that depend on an unspecified factor common to all types of points. This is for example well suited for analyzing spatial covariate effects on events such as street crime activities that occur in a complex urban environment. A multinomial conditional composite…

极值均值回归（Extremile Regression）AI 解读

Regression extremiles define a least squares analogue of regression quantiles. They are determined by weighted expectations rather than tail probabilities. Of special interest is their intuitive meaning in terms of expected minima and maxima. Their use appears naturally in risk management where, in contrast to quantiles, they fulfill the coherency axiom and take the severity of tail losses into account. In addition, they are comonotonically additive and belong to both the…

非离散暴露下因果零假设的非参数检验AI 解读

In many scientific studies, it is of interest to determine whether an exposure has a causal effect on an outcome. In observational studies, this is a challenging task due to the presence of confounding variables that affect both the exposure and the outcome. Many methods have been developed to test for the presence of a causal effect when all such confounding variables are observed and when the exposure of interest is discrete. In this article, we propose a class of…

具有相依贝叶斯非参数先验的生存回归模型AI 解读

We present a novel Bayesian nonparametric model for regression in survival analysis. Our model builds on the classical neutral to the right model of Doksum and on the Cox proportional hazards model of Kim and Lee. The use of a vector of dependent Bayesian nonparametric priors allows us to efficiently model the hazard as a function of covariates while allowing nonproportionality. The model can be seen as having competing latent risks. We characterize the posterior of the…

基于未测量混杂比例的敏感性分析AI 解读

In observational studies, identification of ATEs is generally achieved by assuming that the correct set of confounders has been measured and properly included in the relevant models. Because this assumption is both strong and untestable, a sensitivity analysis should be performed. Common approaches include modeling the bias directly or varying the propensity scores to probe the effects of a potential unmeasured confounder. In this article, we take a novel approach whereby…

非单调非随机缺失数据的半参数推断：无自我删失模型AI 解读

We study the identification and estimation of statistical functionals of multivariate data missing non-monotonically and not-at-random, taking a semiparametric approach. Specifically, we assume that the missingness mechanism satisfies what has been previously called "no self-censoring" or "itemwise conditionally independent nonresponse," which roughly corresponds to the assumption that no partially-observed variable directly determines its own missingness status. We show…

多尺度分位数分段AI 解读

We introduce a new methodology for analyzing serial data by quantile regression assuming that the underlying quantile function consists of constant segments. The procedure does not rely on any distributional assumption besides serial independence. It is based on a multiscale statistic, which allows to control the (finite sample) probability for selecting the correct number of segments S at a given error level, which serves as a tuning parameter. For a proper choice of this…

异步纵向函数型与标量数据的回归分析AI 解读

Many modern large-scale longitudinal neuroimaging studies, such as the Alzheimer’s Disease Neuroimaging Initiative (ADNI) study, have collected/are collecting asynchronous scalar and functional variables that are measured at distinct time points. The analyses of temporally asynchronous functional and scalar variables pose major technical challenges to many existing statistical approaches. We propose a class of generalized functional partial-linear varying-coefficient models…

高维状态依赖因子模型AI 解读

This article develops an inferential theory for state-varying factor models of large dimensions. Unlike constant factor models, loadings are general functions of some recurrent state process. We develop an estimator for the latent factors and state-varying loadings under a large cross-section and time dimension. Our estimator combines nonparametric methods with principal component analysis. We derive the rate of convergence and limiting normal distribution for the factors,…

断点回归设计中的局部多项式阶数选择AI 解读

Treatment effect estimates in regression discontinuity (RD) designs are often sensitive to the choice of bandwidth and polynomial order, the two important ingredients of widely used local regression methods. While Imbens and Kalyanaraman and Calonico, Cattaneo, and Titiunik provided guidance on bandwidth, the sensitivity to polynomial order still poses a conundrum to RD practitioners. It is understood in the econometric literature that applying the argument of bias reduction…

利用半监督学习插补高缺失率协变量AI 解读

Advancements in data collection techniques and the heterogeneity of data resources can yield high percentages of missing observations on variables, such as block-wise missing data. Under missing-data scenarios, traditional methods such as the simple average, k-nearest neighbor, multiple, and regression imputations may lead to results that are unstable or unable be computed. Motivated by the concept of semi-supervised learning, we propose a novel approach with which to fill…

期权价格隐含状态价格密度的直接半参数估计AI 解读

We present a model for direct semi-parametric estimation of the state price density (SPD) implied by quoted option prices. We treat the observed prices as expected values of possible pay-offs at maturity, weighted by the unknown probability density function. We model the logarithm of the latter as a smooth function, using P-splines, while matching the expected values of the potential pay-offs with the observed prices. This leads to a special case of the penalized composite…

横截面相关数据下扩散指数预测的稳健推断AI 解读

In this article, we propose the time-series average of spatial HAC estimators for the variance of the estimated common factors under the approximate factor structure. Based on this, we provide the confidence interval for the conditional mean of the diffusion-index forecasting model with cross-sectional heteroscedasticity and dependence of the idiosyncratic errors. We establish the asymptotics under very mild conditions, and no prior information about the dependence structure…

右删失持续时间结果的非参数工具变量回归AI 解读

This article analyzes the effect of a discrete treatment Z on a duration T. The treatment is not randomly assigned. The confounding issue is treated using a discrete instrumental variable explaining the treatment and independent of the error term of the model. Our framework is nonparametric and allows for random right censoring. This specification generates a nonlinear inverse problem and the average treatment effect is derived from its solution. We provide local and global…

非对称竞标者升价拍卖的半参数分位数模型AI 解读

The article proposes a parsimonious and flexible semiparametric quantile regression specification for asymmetric bidders within the independent private value framework. Asymmetry is parameterized using powers of a parent private value distribution, which is generated by a quantile regression specification. As noted in Cantillon, this covers and extends models used for efficient collusion, joint bidding and mergers among homogeneous bidders. The specification can be estimated…

不同样本选择校正方法的准实验评估AI 解读

Researchers routinely use datasets where outcomes of interest are unobserved for some cases, potentially creating a sample selection problem. Statisticians and econometricians have proposed many selection correction methods to address this challenge. We use a natural experiment to evaluate different sample selection correction methods’ performance. From 2007, the state of Michigan required that all students take a college entrance exam, increasing the exam-taking rate from…