每日简报

平行趋势不成立时，双重差分分析前匹配的收益与成本AI 解读

The Difference in Difference (DiD) estimator is a popular estimator built on the "parallel trends" assumption, which is an assertion that the treatment group, absent treatment, would change "similarly" to the control group over time. To bolster such a claim, one might generate a comparison group, via matching, that is similar to the treated group with respect to pre-treatment outcomes and/or pre-treatment covariates. Unfortunately, as has been previously pointed out, this…

用于时间序列分段的稳健多尺度时间平均方差估计AI 解读

There exist several methods developed for the canonical change point problem of detecting multiple mean shifts, which search for changes over sections of the data at multiple scales. In such methods, estimation of the noise level is often required in order to distinguish genuine changes from random fluctuations due to the noise. When serial dependence is present, using a single estimator of the noise level may not be appropriate. Instead, it is proposed to adopt a…

因果—非因果VAR模型的非线性预测、回溯预测与创新过滤AI 解读

We show that the mixed causal-noncausal Vector Autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce closed-form formulas of forward and backward predictive densities for point and interval forecasting and backcasting out-of-sample. The backcasting formula is used for adjusting the forecast interval to obtain a desired coverage level when the tail quantiles are difficult to estimate. A confidence…

加性噪声下粗糙 Hurst 参数的最优估计AI 解读

We estimate the Hurst parameter $H \in (0,1)$ of a fractional Brownian motion from discrete noisy data, observed along a high frequency sampling scheme. When the intensity $τ_n$ of the noise is smaller in order than $n^{-H}$ we establish the LAN property with optimal rate $n^{-1/2}$. Otherwise, we establish that the minimax rate of convergence is $(n/τ_n^2)^{-1/(4H+2)}$ even when $τ_n$ is of order 1. Our construction of an optimal procedure relies on a Whittle type…

无需网络知识的干扰下因果推断：分阶段随机推广设计AI 解读

Randomized experiments are widely used to estimate causal effects across a variety of domains. However, classical causal inference approaches rely on critical independence assumptions that are violated by network interference, when the treatment of one individual influences the outcomes of others. All existing approaches require at least approximate knowledge of the network, which may be unavailable and costly to collect. We consider the task of estimating the total…

利用次序统计量识别拍卖模型AI 解读

Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this gap by providing a set of positive identification results. First, we show that symmetric auctions with discrete unobserved heterogeneity are identifiable using two consecutive order statistics and an instrument. Second, we extend the results…

线性回归系数子向量推断的稳健置换检验AI 解读

We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then, we show that the test is asymptotically of correct level, consistent and has power against local alternatives when the independence condition is relaxed, under two main conditions. The first is a slight reinforcement of the usual absence of correlation between the regressors and the error term. The…

高阶交互及其对偶：揭示超越香农信息的协同与逻辑依赖AI 解读

Information-theoretic quantities reveal dependencies among variables in the structure of joint, marginal, and conditional entropies, but leave some fundamentally different systems indistinguishable. Furthermore, there is no consensus on how to construct and interpret a higher-order generalisation of mutual information (MI). In this manuscript, we show that a recently proposed model-free definition of higher-order interactions amongst binary variables (MFIs), like mutual…

一类实验设计的渐近效率界AI 解读

We consider an experimental design setting in which units are assigned to treatment after being sampled sequentially from an infinite population. We derive asymptotic efficiency bounds that apply to data from any experiment that assigns treatment as a (possibly randomized) function of covariates and past outcome data, including stratification on covariates and adaptive designs. For estimating the average treatment effect of a binary treatment, our results show that no…

基于广义倾向得分的修正处理政策效应有效估计AI 解读

Continuous treatments have posed a significant challenge for causal inference, both in the formulation and identification of scientifically meaningful effects and in their robust estimation. Traditionally, focus has been placed on techniques applicable to binary or categorical treatments with few levels, allowing for the application of propensity score-based methodology with relative ease. Efforts to accommodate continuous treatments introduced the generalized propensity…

网络结构未知时随机实验的总体处理效应估计AI 解读

Randomized experiments are widely used to estimate the causal effects of a proposed treatment in many areas of science, from medicine and healthcare to the physical and biological sciences, from the social sciences to engineering, to public policy and to the technology industry at large. Here, we consider situations where classical methods for estimating the total treatment effect on a target population are considerably biased due to confounding network effects, i.e., the…

增广逆概率加权估计量的新中心极限定理：方差膨胀与交叉拟合协方差AI 解读

Estimation of the average treatment effect (ATE) is a central problem in causal inference. In recent times, inference for the ATE in the presence of high-dimensional covariates has been extensively studied. Among the diverse approaches that have been proposed, augmented inverse probability weighting (AIPW) with cross-fitting has emerged a popular choice in practice. In this work, we study this cross-fit AIPW estimator under well-specified outcome regression and propensity…

干预有何伤害？处理导致负面影响的人群比例的锐界AI 解读

The fundamental problem of causal inference -- that we never observe counterfactuals -- prevents us from identifying how many might be negatively affected by a proposed intervention. If, in an A/B test, half of users click (or buy, or watch, or renew, etc.), whether exposed to the standard experience A or a new one B, hypothetically it could be because the change affects no one, because the change positively affects half the user population to go from no-click to click while…

多重处理下的两阶段最小二乘法AI 解读

We study what two-stage least squares (2SLS) identifies in models with multiple treatments under treatment effect heterogeneity. Two conditions are shown to be necessary and sufficient for the 2SLS to identify positively weighted sums of agent-specific effects of each treatment: average conditional monotonicity and no cross effects. Our identification analysis allows for any number of treatments, any number of continuous or discrete instruments, and the inclusion of…

近端估计与推断AI 解读

We build a unifying convex analysis framework characterizing the statistical properties of a large class of penalized estimators, both under a regular and an irregular design. Our framework interprets penalized estimators as proximal estimators, defined by a proximal operator applied to a corresponding initial estimator. We characterize the asymptotic properties of proximal estimators, showing that their asymptotic distribution follows a closed-form formula depending only on…

即时预测中计量经济学与机器学习方法的基准比较AI 解读

Nowcasting can play a key role in giving policymakers timelier insight to data published with a significant time lag, such as final GDP figures. Currently, there are a plethora of methodologies and approaches for practitioners to choose from. However, there lacks a comprehensive comparison of these disparate approaches in terms of predictive performance and characteristics. This paper addresses that deficiency by examining the performance of 12 different methodologies in…

带时间分位数调整的共形预测AI 解读

We develop Temporal Quantile Adjustment (TQA), a general method to construct efficient and valid prediction intervals (PIs) for regression on cross-sectional time series data. Such data is common in many domains, including econometrics and healthcare. A canonical example in healthcare is predicting patient outcomes using physiological time-series data, where a population of patients composes a cross-section. Reliable PI estimators in this setting must address two distinct…

博弈中的稳定结果与信息：一个实证框架AI 解读

Empirically, many strategic settings are characterized by stable outcomes in which players' decisions are publicly observed, yet no player takes the opportunity to deviate. To analyze such situations in the presence of incomplete information, we build an empirical framework by introducing a novel solution concept that we call Bayes stable equilibrium. Our framework allows the researcher to be agnostic about players' information and the equilibrium selection rule. The Bayes…

时间依赖下高维线性模型的最优变点检验AI 解读

In this paper, we study change-point testing for high-dimensional linear models, an important problem that has not been well explored in the literature. Specifically, we propose a quadratic-form cumulative sum (CUSUM) statistic to test the stability of regression coefficients in high-dimensional linear models. The test controls type-I error at any desired level and is robust to temporally dependent observations. We establish its asymptotic distribution under the null…

因果可解释元分析中的系统性数据缺失AI 解读

Causally interpretable meta-analysis combines information from a collection of randomized controlled trials to estimate treatment effects in a target population in which experimentation may not be possible but covariate information can be collected from a simple random sample. In such analyses, a key practical challenge is systematically missing data when some baseline covariates are not collected in all trials. Here, we provide identification results for potential…

未知软干预下贝叶斯因果推断的干预型高斯等价评分AI 解读

Describing the causal relations governing a system is a fundamental task in many scientific fields, ideally addressed by experimental studies. However, obtaining data under intervention scenarios may not always be feasible, while discovering causal relations from purely observational data is notoriously challenging. In certain settings, such as genomics, we may have data from heterogeneous study conditions, with soft (partial) interventions only pertaining to a subset of the…

从差异丰度到代谢物全基因组关联：非可忽略缺失与潜在因子下的方法AI 解读

Metabolomics is the high-throughput study of small molecule metabolites. Besides offering novel biological insights, these data contain unique statistical challenges, the most glaring of which is the many non-ignorable missing metabolite observations. To address this issue, nearly all analysis pipelines first impute missing observations, and subsequently perform analyses with methods designed for complete data. While clearly erroneous, these pipelines provide key practical…

可微分的不变因果发现AI 解读

Learning causal structure from observational data is a fundamental challenge in machine learning. However, the majority of commonly used differentiable causal discovery methods are non-identifiable, turning this problem into a continuous optimization task prone to data biases. In many real-life situations, data is collected from different environments, in which the functional relations remain consistent across environments, while the distribution of additive noises may vary.…

存在时间依赖时的保形预测区间AI 解读

Cross-sectional prediction is common in many domains such as healthcare, including forecasting tasks using electronic health records, where different patients form a cross-section. We focus on the task of constructing valid prediction intervals (PIs) in time series regression with a cross-section. A prediction interval is considered valid if it covers the true response with (a pre-specified) high probability. We first distinguish between two notions of validity in such a…