每日简报

GEAR：利用辅助数据进行最优个性化决策AI 解读

Personalized optimal decision making, finding the optimal decision rule (ODR) based on individual characteristics, has attracted increasing attention recently in many fields, such as education, economics, and medicine. Current ODR methods usually require the primary outcome of interest in samples for assessing treatment effects, namely the experimental sample. However, in many studies, treatments may have a long-term effect, and as such the primary outcome of interest cannot…

用潜在结果框架界定实验对照AI 解读

The goal of a well-controlled study is to remove unwanted variation when estimating the causal effect of the intervention of interest. Experiments conducted in the basic sciences frequently achieve this goal using experimental controls, such as "negative" and "positive" controls, which are measurements designed to detect systematic sources of unwanted variation. Here, we introduce clear, mathematically precise definitions of experimental controls using potential outcomes.…

线性面板数据模型的稳健设定检验AI 解读

The presence of outlying observations may adversely affect statistical testing procedures that result in unstable test statistics and unreliable inferences depending on the distortion in parameter estimates. In spite of the fact that the adverse effects of outliers in panel data models, there are only a few robust testing procedures available for model specification. In this paper, a new weighted likelihood based robust specification test is proposed to determine the…

降秩与协整向量自回归的约束参数化AI 解读

The paper provides a parametrization of Vector Autoregression (VAR) that enables one to look at the parameters associated with unit root dynamics and those associated with stable dynamics separately. The task is achieved via a novel factorization of the VAR polynomial that partitions the polynomial spectrum into unit root and stable and zero roots via polynomial factors. The proposed factorization adds to the literature of spectral factorization of matrix polynomials. The…

核范数与 l₁ 范数惩罚的大型因子模型估计AI 解读

This paper provides a comprehensive estimation framework via nuclear norm plus $l_1$ norm penalization for high-dimensional approximate factor models with a sparse residual covariance. The underlying assumptions allow for non-pervasive latent eigenvalues and a prominent residual covariance pattern. In that context, existing approaches based on principal components may lead to misestimate the latent rank, due to the numerical instability of sample eigenvalues. On the…

用因果计量方法重新估计高速公路交通流基本关系AI 解读

The fundamental relationship of traffic flow is empirically estimated by fitting a regression curve to a cloud of observations of traffic variables. Such estimates, however, may suffer from the confounding/endogeneity bias due to omitted variables such as driving behaviour and weather. To this end, this paper adopts a causal approach to obtain an unbiased estimate of the fundamental flow-density relationship using traffic detector data. In particular, we apply a Bayesian…

大型谱密度矩阵的代数估计量AI 解读

We propose a new estimator of high-dimensional spectral density matrices, called UNshrunk ALgebraic Spectral Estimator (UNALSE), under the assumption of an underlying low rank plus sparse structure, as typically assumed in dynamic factor models. The UNALSE is computed by minimizing a quadratic loss under a nuclear norm plus $l_1$ norm constraint to control the latent rank and the residual sparsity pattern. The loss function requires as input the classical smoothed…

混合类型数据的多元时间序列模型AI 解读

We introduce a general approach for modeling the dynamic of multivariate time series when the data are of mixed type (binary/count/continuous). Our method is quite flexible and conditionally on past values, each coordinate at time $t$ can have a distribution compatible with a standard univariate time series model such as GARCH, ARMA, INGARCH or logistic models whereas past values of the other coordinates play the role of exogenous covariates in the dynamic. The simultaneous…

风险与模糊性下的稳健决策AI 解读

Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision problem to misspecification, and ultimately leads to post-decision disappointment. Using statistical decision theory, we develop a framework to explore, evaluate, and optimize robust decision rules that explicitly account for estimation…

半 G 正态：经典正态与 G 正态之间的混合结构（完整版本）AI 解读

The $G$-expectation framework is a generalization of the classical probabilistic system motivated by Knightian uncertainty, where the $G$-normal plays a central role. However, from a statistical perspective, $G$-normal distributions look quite different from the classical normal ones. For instance, its uncertainty is characterized by a set of distributions which covers not only classical normal with different variances, but additional distributions typically having non-zero…

序贯搜索模型：成对最大秩方法AI 解读

This paper studies sequential search models that (1) incorporate unobserved product quality, which can be correlated with endogenous observable characteristics (such as price) and endogenous search cost variables (such as product rankings in online search intermediaries); and (2) do not require researchers to know the true distribution of the match value between consumers and products. A likelihood approach to estimate such models gives biased results. Therefore, I propose a…

利用贝叶斯神经网络与非参数噪声模型进行系统辨识AI 解读

System identification is of special interest in science and engineering. This article is concerned with a system identification problem arising in stochastic dynamic systems, where the aim is to estimate the parameters of a system along with its unknown noise processes. In particular, we propose a Bayesian nonparametric approach for system identification in discrete time nonlinear random dynamical systems assuming only the order of the Markov process is known. The proposed…

未测混杂的简明且锐利的敏感性分析AI 解读

We present a method for assessing the sensitivity of the true causal effect to unmeasured confounding. The method requires the analyst to set two intuitive parameters. Otherwise, the method is assumption-free. The method returns an interval that contains the true causal effect, and whose bounds are arbitrarily sharp, i.e. practically attainable. We show experimentally that our bounds can be tighter than those obtained by the method of Ding and VanderWeele (2016a) which,…

同伴群体误设下同伴效应的识别：数据缺失与群体不确定性AI 解读

We consider identification of peer effects under peer group miss-specification. Two leading cases are missing data and peer group uncertainty. Missing data can take the form of some individuals being entirely absent from the data. The researcher need not have any information on missing individuals and need not even know that they are missing. We show that peer effects are nevertheless identifiable under mild restrictions on the probabilities of observing individuals, and…

含辅助协变量的平滑概率 PARAFAC 模型AI 解读

In immunological and clinical studies, matrix-valued time-series data clustering is increasingly popular. Researchers are interested in finding low-dimensional embedding of subjects based on potentially high-dimensional longitudinal features and investigating relationships between static clinical covariates and the embedding. These studies are often challenging due to high dimensionality, as well as the sparse and irregular nature of sample collection along the time…

平稳多元时间序列的频谱子抽样 MCMC 及向量 ARTFIMA 应用AI 解读

Spectral subsampling MCMC was recently proposed to speed up Markov chain Monte Carlo (MCMC) for long stationary univariate time series by subsampling periodogram observations in the frequency domain. This article extends the approach to multivariate time series using a multivariate generalisation of the Whittle likelihood. To assess the computational gains from spectral subsampling in challenging problems, a multivariate generalisation of the autoregressive tempered…

稳健滤波与预测的随机缺失数据方法AI 解读

We put forward a simple new randomized missing data (RMD) approach to robust filtering of state-space models, motivated by the idea that the inclusion of only a small fraction of available highly precise measurements can still extract most of the attainable efficiency gains for filtering latent states, estimating model parameters, and producing out-of-sample forecasts. In our general RMD framework we develop two alternative implementations: endogenous (RMD-N) and exogenous…

协变量不完整时的处理效应推广：识别假设与多重插补算法AI 解读

We focus on the problem of generalizing a causal effect estimated on a randomized controlled trial (RCT) to a target population described by a set of covariates from observational data. Available methods such as inverse propensity sampling weighting are not designed to handle missing values, which are however common in both data sources. In addition to coupling the assumptions for causal effect identifiability and for the missing values mechanism and to defining appropriate…

无效工具变量下的因果推断：选择后问题与搜索、抽样解法AI 解读

Instrumental variable methods are among the most commonly used causal inference approaches to deal with unmeasured confounders in observational studies. The presence of invalid instruments is the primary concern for practical applications, and a fast-growing area of research is inference for the causal effect with possibly invalid instruments. This paper illustrates that the existing confidence intervals may undercover when the valid and invalid instruments are hard to…

有效的异方差稳健检验AI 解读

Tests based on heteroskedasticity robust standard errors are an important technique in econometric practice. Choosing the right critical value, however, is not simple at all: conventional critical values based on asymptotics often lead to severe size distortions; and so do existing adjustments including the bootstrap. To avoid these issues, we suggest to use smallest size-controlling critical values, the generic existence of which we prove in this article for the commonly…

聚类多时间序列波动率的非参数检验AI 解读

Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility, rendering a parametric test (relying on asymptotic distribution) to suffer from issues on size and power. We propose a test on volatility based on the bootstrap method for multiple time series, intended to account for possible presence of contagion effect. While the test is fairly robust to distributional assumptions, it depends…

存在干扰时的平均直接与间接因果效应AI 解读

We propose a definition for the average indirect effect of a binary treatment in the potential outcomes model for causal inference under cross-unit interference. Our definition is analogous to the standard definition of the average direct effect, and can be expressed without needing to compare outcomes across multiple randomized experiments. We show that the proposed indirect effect satisfies a decomposition theorem whereby, in a Bernoulli trial, the sum of the average…

滞后与溢出处理效应的多个条件随机化检验AI 解读

We consider the problem of constructing multiple independent conditional randomization tests using a single dataset. Because the tests are independent, the randomization p-values can be interpreted individually and combined using standard methods for multiple testing. We give a simple, sequential construction of such tests, and then discuss its application to three problems: Rosenbaum's evidence factors for observational studies, lagged treatment effect in stepped-wedge…

交叉验证后自助法选择高维 M 估计的惩罚参数AI 解读

We develop a new method for selecting the penalty parameter for $\ell_{1}$-penalized M-estimators in high dimensions, which we refer to as bootstrapping after cross-validation. We derive rates of convergence for the corresponding $\ell_1$-penalized M-estimator and also for the post-$\ell_1$-penalized M-estimator, which refits the non-zero entries of the former estimator without penalty in the criterion function. We demonstrate via simulations that our methods are not…