每日简报

不完整矩阵回归AI 解读

Matrix completion seeks to recover a low-rank matrix from a sparse and noisy subset of its entries. In many applications, such as recommendation systems and urban mobility, the observed matrix is accompanied by auxiliary covariates on its rows and columns and exhibits dependence across them. We propose Incomplete Matrix Regression (IMR), a distribution-free penalized regression framework that integrates such information into matrix completion. The target matrix is modeled as…

复杂抽样设计下多分格相关的稳健最小散度估计AI 解读

Standard maximum likelihood estimation of polychoric correlations is highly sensitive to contamination in survey data, including response errors, interviewer effects, and careless responding, yet assigns equal weight to all observations regardless of data quality. We develop robust estimators for polychoric correlation under complex survey designs based on two minimum divergence criteria -- Hellinger distance (HD) and negative exponential disparity (NED) -- incorporating…

正则化最优传输的有限样本界AI 解读

We study the sample complexity of regularized optimal transport for general convex regularizations including the Kullback--Leibler divergence and $L^p$ penalties. Our main results are non-asymptotic bias and variance bounds for the empirical cost, with explicit dependence on the regularization parameter and on the intrinsic dimension of the marginals. Our approach simultaneously improves, unifies, and extends existing finite-sample bounds. In particular, we improve the state…

若干广义变分推断问题的闭式解AI 解读

The Donsker--Varadhan formula characterizes the ordinary Bayesian posterior as the solution of an unrestricted $\mathsf{KL}$-regularized variational problem. Generalized variational inference replaces this regularizer by other divergences, but the resulting measure-valued optimization problem is often studied only after restriction to a parametric variational family. This paper studies the unrestricted measure-level problem. Given a measurable space $(\mathcal{Z},\mathfrak{Z})$…

高维数据的椭圆正则化Hotelling检验AI 解读

We consider one-sample testing of a high-dimensional location parameter under elliptically symmetric distributions with heavy tails and pervasive cross-sectional dependence. We propose an elliptical regularized Hotelling test with Cauchy combination (ERHT--CC), based on the sample spatial median and the spatial-sign covariance matrix centered at that median. We derive its null asymptotic normality, consistent estimators of the centering and variance, and an explicit local…

多层网络向量自回归的时变模型平均AI 解读

In this paper, we introduce a flexible time-varying multi-layer network vector autoregression (VAR) model framework for large-scale time series, allowing agents in dynamic systems to interact through multiple channels and incorporating multiple adjacency matrices to capture network spillover effects. We propose a penalized model averaging method to determine a time-varying optimal combination of multi-layer network VAR candidate models whose number may be divergent. Under…

结构模型中哪些参数应校准、哪些应估计？AI 解读

Structural models often fix (calibrate) some parameters and estimate the rest, but this calibration-estimation partition is usually chosen by convention. This paper treats that choice as an econometric partition-selection problem. For each admissible partition, we construct a scalar sensitivity statistic measuring the local response of a target object -- such as a policy effect, welfare measure, impulse response, or treatment effect -- to perturbations of the calibrated…

通过尺度累积逐点估计 Hurst 参数：粗糙波动率的抗噪方法AI 解读

We introduce an estimator for the pointwise, time-varying Hölder exponent (Hurst parameter) of a stochastic process, based on the geometry accumulation integral G_Lambda(t) = integral from Lambda to 1 of |eth_s X(t)| s^{-1} ds, where eth_s X(t) = (X(t+s)-X(t))/s is the scale derivative at resolution s. We prove consistency, noise robustness with explicit threshold Lambda* = sigma^{1/H}, and a CLT at rate (log Lambda)^{-1/2}. The estimator is pointwise in time, defined at…

方差差量：后验不确定性的可视化与解释AI 解读

In observational settings, where the data generating process and possibly the sample size are not controlled, it is typically impossible to guarantee a priori that quantities of interest will be estimated with sufficient precision. However, even when the data do not determine the quantities of interest, they may still allow determination of what is missing -- unobserved information which, if observed, would meaningfully reduce uncertainty. We propose an interactive…

将基础模型预测嵌入具有结构保证的离散选择模型AI 解读

Tabular foundation models achieve strong accuracy on choice prediction tasks, but their predictions often violate the economic logic those tasks require: raising a price can increase predicted demand, implied willingness-to-pay estimates are frequently negative or implausible, and unavailable alternatives receive nonzero probability. We propose a two-stage adapter that takes a foundation model's predicted choice probabilities as a precomputed feature and embeds them inside a…

从大语言模型提示中获得部分识别AI 解读

Large language models are increasingly used as binary classifiers when the true label is latent. We study partial identification of the prevalence $θ= P(X^* = 1)$ from panels of LLM reports whose errors may be arbitrarily dependent given the truth. The design of replication determines the observable, and hence the identifying content: repeated prompts to one model yield a count, several named models a response vector, and both a response matrix. Cast as a two-component…

Lasso 中 K 折交叉验证的渐近理论与 Bootstrap 有效性AI 解读

Least absolute shrinkage and selection operator or Lasso is one of the widely used regularization methods in regression. Statisticians usually implement Lasso in practice by choosing the penalty parameter in a data-dependent way, the most popular being the $K-$fold cross-validation (or $K-$fold CV). However, inferential properties, such as the variable selection consistency and $n^{1/2}-$consistency, of the $K-$fold CV based Lasso estimator and validity of the Bootstrap…

弱矩方法用于统计推断：兼论稳健估计应用AI 解读

A companion paper develops a generalised framework in which a probability law is represented by a tempered distribution $T\in\mathcal{S}'$ - on the same footing as a density or characteristic function - and information is extracted by pairing $T$ with a positive Schwartz kernel $\varphi$ that acts as a measurement instrument rather than as part of the law; the resulting weak moments of all orders exist unconditionally. The present paper turns this into a methodology for…

双边市场双重随机化实验的回归调整AI 解读

Multiple randomization designs (MRDs) are a class of experimental designs used to handle interference in two-sided marketplaces. We investigate regression adjustment strategies for estimating total, spillover, and direct effects in MRDs. We derive minimum asymptotic variance estimators among a broad class of linearly adjusted estimators, without assuming a linear model on the potential outcomes. Surprisingly, the optimal regression adjustments are estimable from data and are…

平稳情形下 VAR(1) 模型的可识别性AI 解读

We consider a classical First-order Vector AutoRegressive (VAR(1)) model, where we interpret the autoregressive interaction matrix as influence relationships among the components of the VAR(1) process that can be encoded by a weighted directed graph. A majority of previous work studies the structural identifiability of the graph based on time series observations and therefore relies on dynamical information. In this work we assume that an equilibrium exists, and study…

模型无关的纵向变量重要性轨迹摘要推断及其自杀预防应用AI 解读

Risk of suicide attempt varies over time. Understanding the importance of risk factors measured at a mental health visit can help clinicians evaluate future risk and provide appropriate care during the visit. In prediction settings where data are collected over time, such as in mental health care, it is often of interest to understand both the importance of variables for predicting the response at each time point and the importance summarized over the time series. Building…