每日简报

条件平均处理效应的近端因果学习AI 解读

Efficiently and flexibly estimating treatment effect heterogeneity is an important task in a wide variety of settings ranging from medicine to marketing, and there are a considerable number of promising conditional average treatment effect estimators currently available. These, however, typically rely on the assumption that the measured covariates are enough to justify conditional exchangeability. We propose the P-learner, motivated by the R- and DR-learner, a tailored…

动态中介分析的强化学习框架AI 解读

Mediation analysis learns the causal effect transmitted via mediator variables between treatments and outcomes and receives increasing attention in various scientific domains to elucidate causal relations. Most existing works focus on point-exposure studies where each subject only receives one treatment at a single time point. However, there are a number of applications (e.g., mobile health) where the treatments are sequentially assigned over time and the dynamic mediation…

多弱工具变量下多变量孟德尔随机化的无偏估计与有效渐近推断AI 解读

Mendelian randomization (MR) is an instrumental variable (IV) approach to infer causal relationships between exposures and outcomes with genome-wide association studies (GWAS) summary data. However, the multivariable inverse-variance weighting (IVW) approach, which serves as the foundation for most MR approaches, cannot yield unbiased causal effect estimates in the presence of many weak IVs. To address this problem, we proposed the MR using Bias-corrected Estimating Equation…

重新研究含滞后因变量的面板离散选择模型AI 解读

This paper revisits the identification and estimation of a class of semiparametric (distribution-free) panel data binary choice models with lagged dependent variables, exogenous covariates, and entity fixed effects. We provide a novel identification strategy, using an "identification at infinity" argument. In contrast with the celebrated Honore and Kyriazidou (2000), our method permits time trends of any form and does not suffer from the "curse of dimensionality". We propose…

因果效应推广与迁移的高效方法AI 解读

When estimating causal effects, it is important to assess external validity, i.e., determine how useful a given study is to inform a practical question for a specific target population. One challenge is that the covariate distribution in the population underlying a study may be different from that in the target population. If some covariates are effect modifiers, the average treatment effect (ATE) may not generalize to the target population. To tackle this problem, we…

含噪声、非光滑与非凸矩条件模型的估计AI 解读

A practical challenge for structural estimation is the requirement to accurately minimize a sample objective function which is often non-smooth, non-convex, or both. This paper proposes a simple algorithm designed to find accurate solutions without performing an exhaustive search. It augments each iteration from a new Gauss-Newton algorithm with a grid search step. A finite sample analysis derives its optimization and statistical properties simultaneously using only…

In multiple domains, statistical tasks are performed in distributed settings, with data split among several end machines that are connected to a fusion center. In various applications, the end machines have limited bandwidth and power, and thus a tight communication budget. In this work we focus on distributed learning of a sparse linear regression model, under severe communication constraints. We propose several two round distributed schemes, whose communication per machine…

高频尾部风险测度：含单位根预测变量的 L1 正则化极值回归AI 解读

We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root predictors to appropriately capture the time-varying behaviour of the distribution of high-frequency extreme losses. To characterize trading activity and market uncertainty, we consider several volatility and liquidity predictors, and propose a…

使用 R 的 smooth 包进行预测AI 解读

There are many forecasting related packages in R with varied popularity, the most famous of all being \texttt{forecast}, which implements several important forecasting approaches, such as ARIMA, ETS, TBATS and others. However, the main issue with the existing functionality is the lack of flexibility for research purposes, when it comes to modifying the implemented models. The R package \texttt{smooth} introduces a new approach to univariate forecasting, implementing ETS and…

序列相关误差下删失回归的贝叶斯方法AI 解读

The problem of estimating censored linear regression models with autocorrelated errors arises in many environmental and social studies. The present work proposes a Bayesian approach to estimate censored regression models with AR(p) errors. The algorithm developed here considers the Gibbs sampler with data augmentation(GDA), in which, at each iteration, both the model parameters and the latent variables are sampled. The data augmentation is achieved from multiple sampling of…

匹配卡尺与指数估计的精度AI 解读

This paper characterizes the precision of index estimation as it carries over into precision of matching. In a model assuming Gaussian covariates and making best-case assumptions about matching quality, it sharply characterizes average and worst-case discrepancies between paired differences of true versus estimated index values. In this optimistic setting, worst-case true and estimated index differences decline to zero if $p=o[n/(\log n)]$, the same restriction on model size…

因子数量未知时的稀疏贝叶斯因子分析AI 解读

There has been increased research interest in the subfield of sparse Bayesian factor analysis with shrinkage priors, which achieve additional sparsity beyond the natural parsimonity of factor models. In this spirit, we estimate the number of common factors in the highly implemented sparse latent factor model with spike-and-slab priors on the factor loadings matrix. Our framework leads to a natural, efficient and simultaneous coupling of model estimation and selection on one…

局部单位根自回归中的系数随机性检验AI 解读

In this study, we propose a test for the coefficient randomness in autoregressive models where the autoregressive coefficient is local to unity, which is empirically relevant given the results of earlier studies. Under this specification, we theoretically analyze the effect of the correlation between the random coefficient and disturbance on tests' properties, which remains largely unexplored in the literature. Our analysis reveals that the correlation crucially affects the…

典型多变量缺失机制下因果效应的可恢复性与估计AI 解读

In the context of missing data, the identifiability or "recoverability" of the average causal effect (ACE) depends on causal and missingness assumptions. The latter can be depicted by adding variable-specific missingness indicators to causal diagrams, creating "missingness-directed acyclic graphs" (m-DAGs). Previous research described ten canonical m-DAGs, representing typical multivariable missingness mechanisms in epidemiological studies, and determined the recoverability…

事件时间结局的主分层分析AI 解读

Post-randomization events, also known as intercurrent events, such as treatment noncompliance and censoring due to a terminal event, are common in clinical trials. Principal stratification is a framework for causal inference in the presence of intercurrent events. Despite the extensive existing literature, there lacks generally applicable and accessible methods for principal stratification analysis with time-to-event outcomes. In this paper, we specify two causal estimands…

用于反事实估计的最优传输方法AI 解读

Many problems ask a question that can be formulated as a causal question: "what would have happened if...?" For example, "would the person have had surgery if he or she had been Black?" To address this kind of questions, calculating an average treatment effect (ATE) is often uninformative, because one would like to know how much impact a variable (such as skin color) has on a specific individual, characterized by certain covariates. Trying to calculate a conditional ATE…

混合条件下多变量非参数模型的变化点检测与推断AI 解读

This paper studies multivariate nonparametric change point localization and inference problems. The data consists of a multivariate time series with potentially short range dependence. The distribution of this data is assumed to be piecewise constant with densities in a Hölder class. The change points, or times at which the distribution changes, are unknown. We derive the limiting distributions of the change point estimators when the minimal jump size vanishes or remains…

因果量的 ε 可识别性AI 解读

Identifying the effects of causes and causes of effects is vital in virtually every scientific field. Often, however, the needed probabilities may not be fully identifiable from the data sources available. This paper shows how partial identifiability is still possible for several probabilities of causation. We term this epsilon-identifiability and demonstrate its usefulness in cases where the behavior of certain subpopulations can be restricted to within some narrow bounds.…

时间序列因果结构学习：一种凸优化方法AI 解读

Structural learning, which aims to learn directed acyclic graphs (DAGs) from observational data, is foundational to causal reasoning and scientific discovery. Recent advancements formulate structural learning into a continuous optimization problem; however, DAG learning remains a highly non-convex problem, and there has not been much work on leveraging well-developed convex optimization techniques for causal structural learning. We fill this gap by proposing a data-adaptive…

RobustIV 与 controlfunctionIV：可能无效工具变量下的因果推断软件AI 解读

We present R software packages RobustIV and controlfunctionIV for causal inference with possibly invalid instrumental variables. RobustIV focuses on the linear outcome model. It implements the two-stage hard thresholding method to select valid instrumental variables from a set of candidate instrumental variables and make inferences for the causal effect in both low- and high-dimensional settings. Furthermore, RobustIV implements the high-dimensional endogeneity test and the…

异质因果图中的异质性处理效应AI 解读

Heterogeneity and comorbidity are two interwoven challenges associated with various healthcare problems that greatly hampered research on developing effective treatment and understanding of the underlying neurobiological mechanism. Very few studies have been conducted to investigate heterogeneous causal effects (HCEs) in graphical contexts due to the lack of statistical methods. To characterize this heterogeneity, we first conceptualize heterogeneous causal graphs (HCGs) by…

同时方向性推断AI 解读

We consider the problem of inference on the signs of $n>1$ parameters. We aim to provide $1-α$ post-hoc confidence bounds on the number of positive and negative (or non-positive) parameters. The guarantee is simultaneous, for all subsets of parameters. Our suggestion is as follows: start by using the data to select the direction of the hypothesis test for each parameter; then, adjust the $p$-values of the one-sided hypotheses for the selection, and use the adjusted $p$-values…

大数据分位数回归视角下宏观经济尾部风险的非线性AI 解读

Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large datasets in quantile regression models to forecast the conditional distribution of US GDP growth. To capture possible non-linearities, we include several nonlinear specifications. The resulting models will be huge dimensional and we thus…

利用协变量辅助构造工具变量因果效应界AI 解读

When an exposure of interest is confounded by unmeasured factors, an instrumental variable (IV) can be used to identify and estimate certain causal contrasts. Identification of the marginal average treatment effect (ATE) from IVs relies on strong untestable structural assumptions. When one is unwilling to assert such structure, IVs can nonetheless be used to construct bounds on the ATE. Famously, Balke and Pearl (1997) proved tight bounds on the ATE for a binary outcome, in…