每日简报

结合图形与代数方法识别潜变量结构方程模型参数AI 解读

Measurement error is ubiquitous in many variables - from blood pressure recordings in physiology to intelligence measures in psychology. Structural equation models (SEMs) account for the process of measurement by explicitly distinguishing between latent variables and their measurement indicators. Users often fit entire SEMs to data, but this can fail if some model parameters are not identified. The model-implied instrumental variables (MIIVs) approach is a more flexible…

二元结局随机试验中协变量调整无条件处理效应的稳健方差估计AI 解读

To improve precision of estimation and power of testing hypothesis for an unconditional treatment effect in randomized clinical trials with binary outcomes, researchers and regulatory agencies recommend using g-computation as a reliable method of covariate adjustment. However, the practical application of g-computation is hindered by the lack of an explicit robust variance formula that can be used for different unconditional treatment effects of interest. To fill this gap,…

理解异质性处理效应估计中的模型选择困境AI 解读

Personalized treatment effect estimates are often of interest in high-stakes applications -- thus, before deploying a model estimating such effects in practice, one needs to be sure that the best candidate from the ever-growing machine learning toolbox for this task was chosen. Unfortunately, due to the absence of counterfactual information in practice, it is usually not possible to rely on standard validation metrics for doing so, leading to a well-known model selection…

带因果正则化的神经算法推理AI 解读

Recent work on neural algorithmic reasoning has investigated the reasoning capabilities of neural networks, effectively demonstrating they can learn to execute classical algorithms on unseen data coming from the train distribution. However, the performance of existing neural reasoners significantly degrades on out-of-distribution (OOD) test data, where inputs have larger sizes. In this work, we make an important observation: there are many different inputs for which an…

流行病学因果推断中的通用双重差分AI 解读

Difference-in-differences is undoubtedly one of the most widely used methods for evaluating the causal effect of an intervention in observational (i.e., nonrandomized) settings. The approach is typically used when pre- and post-exposure outcome measurements are available, and one can reasonably assume that the association of the unobserved confounder with the outcome has the same absolute magnitude in the two exposure arms, and is constant over time; a so-called parallel…

分布随机森林的置信与不确定性评估AI 解读

The Distributional Random Forest (DRF) is a recently introduced Random Forest algorithm to estimate multivariate conditional distributions. Due to its general estimation procedure, it can be employed to estimate a wide range of targets such as conditional average treatment effects, conditional quantiles, and conditional correlations. However, only results about the consistency and convergence rate of the DRF prediction are available so far. We characterize the asymptotic…

实时预测宏观经济尾部风险：文本数据是否提供增量价值AI 解读

We examine the incremental value of news-based data relative to the FRED-MD economic indicators for quantile predictions of employment, output, inflation and consumer sentiment in a high-dimensional setting. Our results suggest that news data contain valuable information that is not captured by a large set of economic indicators. We provide empirical evidence that this information can be exploited to improve tail risk predictions. The added value is largest when media…

高维时间序列的时变网络估计AI 解读

We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over time. Two types of time-varying graphs are investigated: one containing directed edges of Granger causality linkages, and the other containing undirected edges of partial correlation linkages. Under the sparse structural assumption, we propose a penalised local linear method…

Cox 模型的通信高效分布式估计与推断AI 解读

Motivated by multi-center biomedical studies that cannot share individual data due to privacy and ownership concerns, we develop communication-efficient iterative distributed algorithms for estimation and inference in the high-dimensional sparse Cox proportional hazards model. We demonstrate that our estimator, even with a relatively small number of iterations, achieves the same convergence rate as the ideal full-sample estimator under very mild conditions. To construct…

结合统计识别与潜在内生代理变量估计财政乘数AI 解读

Different proxy variables used in fiscal policy SVARs lead to contradicting conclusions regarding the size of fiscal multipliers. Our analysis suggests that the conflicting results may stem from violations of the proxy exogeneity assumptions. We propose a novel approach to include proxy variables into a Bayesian non-Gaussian SVAR, tailored to accommodate potentially endogenous proxies. Using our model, we find that increasing government spending is more effective in…

多协变量完全随机实验中的回归调整AI 解读

This paper investigates estimation and inference for average treatment effects in completely randomized experiments when researchers observe potentially many covariates. Within Neyman's (1923) design-based framework, allowing the number of covariates to grow more slowly than the sample size, we demonstrate that a cross-fitted regression adjustment estimator--adapted from Aronow and Middleton (2013)--exhibits more favorable asymptotic properties than existing alternatives,…

马尔可夫数据下非线性随机逼近的在线统计推断AI 解读

Many stochastic approximation (SA) algorithms evolve along a single trajectory, making uncertainty quantification challenging under nonlinear dynamics and Markov dependence. We develop an online inference framework for nonlinear SA with decreasing step sizes. Under local stability and verifiable conditions, we establish a functional central limit theorem for the partial-sum path. The proof uses a Poisson-equation decomposition to handle Markov dependence and a uniform bound…

从适度相互作用随机粒子系统严格推导退化抛物-椭圆Keller-Segel系统：第二部分 混沌传播AI 解读

This work is a series of two articles. The main goal is to rigorously derive the degenerate parabolic-elliptic Keller-Segel system in the sub-critical regime from a moderately interacting stochastic particle system. In the first article [7], we establish the classical solution theory of the degenerate parabolic-elliptic Keller-Segel system and its non-local version. In the second article, which is the current one, we derive a propagation of chaos result, where the classical…

利用卫星 InSAR 时间序列谱分析监测尾矿坝溃坝风险AI 解读

Slope failures possess destructive power that can cause significant damage to both life and infrastructure. Monitoring slopes prone to instabilities is therefore critical in mitigating the risk posed by their failure. The purpose of slope monitoring is to detect precursory signs of stability issues, such as changes in the rate of displacement with which a slope is deforming. This information can then be used to predict the timing or probability of an imminent failure in…

利用潜因子模型子群结构的众包标注AI 解读

Crowdsourcing has emerged as an alternative solution for collecting large scale labels. However, the majority of recruited workers are not domain experts, so their contributed labels could be noisy. In this paper, we propose a two-stage model to predict the true labels for multicategory classification tasks in crowdsourcing. In the first stage, we fit the observed labels with a latent factor model and incorporate subgroup structures for both tasks and workers through a…

大规模数据因果推断的快速自助法算法AI 解读

Estimating causal effects from large experimental and observational data has become increasingly prevalent in both industry and research. The bootstrap is an intuitive and powerful technique used to construct standard errors and confidence intervals of estimators. Its application however can be prohibitively demanding in settings involving large data. In addition, modern causal inference estimators based on machine learning and optimization techniques exacerbate the…

用机器学习重新评估泰勒规则AI 解读

This paper aims to reevaluate the Taylor Rule, through a linear and a nonlinear method, such that its estimated federal funds rates match those actually previously implemented by the Federal Reserve Bank. In the linear method, this paper uses an OLS regression model to find more accurate coefficients within the same Taylor Rule equation in which the dependent variable is the federal funds rate, and the independent variables are the inflation rate, the inflation gap, and the…

用半参数 G 计算估计依从性不可观测时的纵向因果效应AI 解读

Participant noncompliance, in which participants do not follow their assigned treatment protocol, often obscures the causal relationship between treatment and treatment effect in randomized trials. In the longitudinal setting, the G-computation algorithm can adjust for confounding to estimate causal effects. Typically, G-computation assumes that both 1) compliance is observed; and 2) the densities of the confounders can be correctly specified. We aim to develop a…

奇异谱分析中不同对象的自动识别AI 解读

Approaches to automated grouping in singular spectrum analysis are considered. A new method for the identification of periodic components is proposed. The possibilities of extensions to multivariate time series and images are discussed.

异质性处理效应的因果保序校准AI 解读

We propose causal isotonic calibration, a novel nonparametric method for calibrating predictors of heterogeneous treatment effects. Furthermore, we introduce cross-calibration, a data-efficient variant of calibration that eliminates the need for hold-out calibration sets. Cross-calibration leverages cross-fitted predictors and generates a single calibrated predictor using all available data. Under weak conditions that do not assume monotonicity, we establish that both causal…

基于Cornish–Fisher展开的条件方差、偏度与峰度分位数估计AI 解读

The conditional variance, skewness, and kurtosis play a central role in time series analysis. These three conditional moments (CMs) are often studied by some parametric models but with two big issues: the risk of model mis-specification and the instability of model estimation. To avoid the above two issues, this paper proposes a novel method to estimate these three CMs by the so-called quantiled CMs (QCMs). The QCM method first adopts the idea of Cornish-Fisher expansion to…

用于因果推断的变量重要性匹配AI 解读

Our goal is to produce methods for observational causal inference that are auditable, easy to troubleshoot, accurate for treatment effect estimation, and scalable to high-dimensional data. We describe a general framework called Model-to-Match that achieves these goals by (i) learning a distance metric via outcome modeling, (ii) creating matched groups using the distance metric, and (iii) using the matched groups to estimate treatment effects. Model-to-Match uses variable…

方差依赖界下渐近最优的固定预算最佳臂识别AI 解读

We investigate the problem of fixed-budget best arm identification (BAI) for minimizing expected simple regret. In an adaptive experiment, a decision maker draws one of multiple treatment arms based on past observations and observes the outcome of the drawn arm. After the experiment, the decision maker recommends the treatment arm with the highest expected outcome. We evaluate the decision based on the expected simple regret, which is the difference between the expected…

稀有结局下的政策学习AI 解读

Machine learning (ML) estimates of conditional average treatment effects (CATE) can guide policy decisions, either by allowing targeting of individuals with beneficial CATE estimates, or as inputs to decision trees that optimise overall outcomes. There is limited information available regarding how well these algorithms perform in real-world policy evaluation scenarios. Using synthetic data, we compare the finite sample performance of different policy learning algorithms,…