每日简报

结合卷积神经网络与 Transformer 的金融时间序列预测AI 解读

Time series forecasting is important across various domains for decision-making. In particular, financial time series such as stock prices can be hard to predict as it is difficult to model short-term and long-term temporal dependencies between data points. Convolutional Neural Networks (CNN) are good at capturing local patterns for modeling short-term dependencies. However, CNNs cannot learn long-term dependencies due to the limited receptive field. Transformers on the…

用纵向修正处理政策研究连续、时变及复杂暴露AI 解读

This tutorial discusses methodology for causal inference using longitudinal modified treatment policies. This method facilitates the mathematical formalization, identification, and estimation of many novel parameters, and mathematically generalizes many commonly used parameters, such as the average treatment effect. Longitudinal modified treatment policies apply to a wide variety of exposures, including binary, multivariate, and continuous, and can accommodate time-varying…

洛伦兹曲线的通用模型：含零值与极端不平等数据的应用AI 解读

Given that the existing parametric functional forms for the Lorenz curve do not fit all possible size distributions, a universal parametric functional form is introduced. By using the empirical data from different scientific disciplines and also the hypothetical data, this study shows that, the proposed model fits not only the data whose actual Lorenz plots have a typical convex segment but also the data whose actual Lorenz plots have both horizontal and convex segments…

存在样本构成变化时的双重差分AI 解读

This paper studies Difference-in-Differences (DiD) setups with repeated cross-sectional data and potential compositional changes across time periods. We begin our analysis by deriving the efficient influence function and the semiparametric efficiency bound for the average treatment effect on the treated (ATT). We introduce nonparametric estimators that attain the semiparametric efficiency bound under mild rate conditions on the estimators of the nuisance functions,…

分析多维数字表型的混合响应状态空间模型AI 解读

Digital technologies (e.g., mobile phones) can be used to obtain objective, frequent, and real-world digital phenotypes from individuals. However, modeling these data poses substantial challenges since observational data are subject to confounding and various sources of variabilities. For example, signals on patients' underlying health status and treatment effects are mixed with variation due to the living environment and measurement noises. The digital phenotype data thus…

有偏样本选择下的政策学习AI 解读

Practitioners often use data from a randomized controlled trial to learn a treatment assignment policy that can be deployed on a target population. A recurring concern in doing so is that, even if the randomized trial was well-executed (i.e., internal validity holds), the study participants may not represent a random sample of the target population (i.e., external validity fails)--and this may lead to policies that perform suboptimally on the target population. We consider a…

结合模型平均与匹配估计异方差下的条件平均处理效应AI 解读

We propose a model averaging approach, combined with a partition and matching method to estimate the conditional average treatment effects under heteroskedastic error settings. The proposed approach has asymptotic optimality and consistency of weights and estimator. Numerical studies show that our method has good finite-sample performances.

利用代理变量对因果效应进行部分识别AI 解读

Proximal causal inference is a framework for evaluating the causal effects in the presence of unmeasured confounding. For point identification, it leverages a pair of proxy variables to identify a bridge function that matches the dependence of potential outcomes or treatment variables on the hidden factors to corresponding functions of observed proxies. Unique identification requires that proxies are sufficiently relevant for hidden factors, a requirement that has previously…

PStrata：用于主分层分析的 R 软件包AI 解读

Post-treatment confounding is a common problem in causal inference, including special cases of noncompliance, truncation by death, surrogate endpoint, etc. Principal stratification (Frangakis and Rubin 2002) is a general framework for defining and estimating causal effects in the presence of post-treatment confounding. A prominent special case is the instrumental variable approach to noncompliance in randomized experiments (Angrist, Imbens, and Rubin 1996). Despite its…

无需排除限制的工具变量回归AI 解读

We study identification and estimation of endogenous linear and nonlinear regression models without excluded instrumental variables, based on the standard mean independence condition and a nonlinear relevance condition. Based on the identification results, we propose two semiparametric estimators as well as a discretization-based estimator that does not require any nonparametric regressions. We establish their asymptotic normality and demonstrate via simulations their robust…

基尼稳定的洛伦兹曲线及其与广义帕累托分布的关系AI 解读

We introduce an iterative discrete information production process where we can extend ordered normalised vectors by new elements based on a simple affine transformation, while preserving the predefined level of inequality, G, as measured by the Gini index. Then, we derive the family of empirical Lorenz curves of the corresponding vectors and prove that it is stochastically ordered with respect to both the sample size and G which plays the role of the uncertainty parameter.…

用于异质性处理效应元推断的贝叶斯因果综合AI 解读

The estimation of heterogeneous treatment effects in the potential outcome setting is biased when there exists model misspecification or unobserved confounding. As these biases are unobservable, what model to use when remains a critical open question. In this paper, we propose a novel Bayesian methodology to mitigate misspecification and improve estimation via a synthesis of multiple causal estimates, which we call Bayesian causal synthesis. Our development is built upon…

高维函数型时间序列的结构突变检测与估计AI 解读

In this paper, we consider detecting and estimating breaks in heterogeneous mean functions of high-dimensional functional time series which are allowed to be cross-sectionally correlated and temporally dependent. A new test statistic combining the functional CUSUM statistic and power enhancement component is proposed with asymptotic null distribution theory comparable to the conventional CUSUM theory derived for a single functional time series. In particular, the extra power…

文本挖掘与技术分析在金融时间序列预测中的表现评估AI 解读

Forecasting financial time series (FTS) is an essential field in finance and economics that anticipates market movements in financial markets. This paper investigates the accuracy of text mining and technical analyses in forecasting financial time series. It focuses on the S&P500 stock market index during the pandemic, which tracks the performance of the largest publicly traded companies in the US. The study compares two methods of forecasting the future price of the S&P500:…

因果推断不只是统计问题AI 解读

This paper introduces a collection of four data sets, similar to Anscombe's Quartet, that aim to highlight the challenges involved when estimating causal effects. Each of the four data sets is generated based on a distinct causal mechanism: the first involves a collider, the second involves a confounder, the third involves a mediator, and the fourth involves the induction of M-Bias by an included factor. The paper includes a mathematical summary of each data set, as well as…

函数型结果的因果推断AI 解读

This paper presents methods to study the causal effect of a binary treatment on a functional outcome with observational data. We define a Functional Average Treatment Effect and develop an outcome regression estimator. We show how to obtain valid inference on the FATE using simultaneous confidence bands, which cover the FATE with a given probability over the entire domain. Simulation experiments illustrate how the simultaneous confidence bands take the multiple comparison…

机器学习同行评审中用于指数族估计的保序机制AI 解读

In 2023, the International Conference on Machine Learning (ICML) required authors with multiple submissions to rank their submissions based on perceived quality. In this paper, we aim to employ these author-specified rankings to enhance peer review in machine learning and artificial intelligence conferences by extending the Isotonic Mechanism to exponential family distributions. This mechanism generates adjusted scores that closely align with the original scores while…

用约束线性回归估计混合分位数AI 解读

We study the problem of modeling univariate distributions via their quantile functions. We introduce a flexible family of distributions whose quantile function is a linear combination of basis quantiles. Because the model is linear in its parameters, estimation reduces to constrained linear regression, yielding a convex optimization problem that readily accommodates cardinality constraints as well as L1 or smoothness regularization. For Lq-type objectives we show the…

TSCI：利用无效工具变量进行因果推断的两阶段曲率识别AI 解读

TSCI implements treatment effect estimation from observational data under invalid instruments in the R statistical computing environment. Existing instrumental variable approaches rely on arguably strong and untestable identification assumptions, which limits their practical application. TSCI does not require the classical instrumental variable identification conditions and is effective even if all instruments are invalid. TSCI implements a two-stage algorithm. In the first…

特异性处理效应异质性的检验AI 解读

This paper provides asymptotically valid tests for the null hypothesis of no treatment effect heterogeneity. Importantly, I consider the presence of heterogeneity that is not explained by observed characteristics, or so-called idiosyncratic heterogeneity. When examining this heterogeneity, common statistical tests encounter a nuisance parameter problem in the average treatment effect which renders the asymptotic distribution of the test statistic dependent on that parameter.…

共形化无条件分位数回归AI 解读

We develop a predictive inference procedure that combines conformal prediction (CP) with unconditional quantile regression (QR) -- a commonly used tool in econometrics that involves regressing the recentered influence function (RIF) of the quantile functional over input covariates. Unlike the more widely-known conditional QR, unconditional QR explicitly captures the impact of changes in covariate distribution on the quantiles of the marginal distribution of outcomes.…

纠缠缺失的图模型AI 解读

Despite the growing interest in causal and statistical inference for settings with data dependence, few methods currently exist to account for missing data in dependent data settings; most classical missing data methods in statistics and causal inference treat data units as independent and identically distributed (i.i.d.). We develop a graphical modeling based framework for causal inference in the presence of entangled missingness, defined as missingness with data…

OFTER：用于时间序列预测的在线流程AI 解读

We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and Generalized Regression Neural Networks, integrated with a dimensionality reduction component. To circumvent the curse of dimensionality, we employ a weighted norm based on a modified version of the maximal correlation coefficient. The pipeline we introduce is specifically designed for online tasks, has an…

纵向中介分析的目标最大似然估计AI 解读

Causal mediation analysis with random interventions has become an area of significant interest for understanding time-varying effects with longitudinal and survival outcomes. To tackle causal and statistical challenges due to the complex longitudinal data structure with time-varying confounders, competing risks, and informative censoring, there exists a general desire to combine machine learning techniques and semiparametric theory. In this manuscript, we focus on targeted…