每日简报

粗化贝叶斯 VAR：修正 BVAR 的模型误设AI 解读

Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or responses to structural shocks, even more so if higher-order forecasts or responses are considered, due to parameter Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or responses to…

弱重叠条件下的双重稳健估计量AI 解读

Doubly robust (DR) estimators guard against model misspecification but remain sensitive to weak covariate overlap. We show that trimming propensity scores reduces variance but eliminates double robustness. We introduce DR estimators that retain double robustness after trimming through bias correction, preserving the original causal targets across unconfoundedness, instrumental variables, and difference-in-differences designs. In four applications, the proposed estimator…

对异质性稳健的颗粒工具变量AI 解读

Granular instrumental variables (GIV) has experienced sharp growth in empirical macro-finance. The methodology's rise showcases granularity's potential for identification across many economic environments, like the estimation of spillovers and demand systems. I propose a new estimator--called robust granular instrumental variables (RGIV)--that enables studying unit-level heterogeneity in spillovers. Unlike existing methods that assume heterogeneity is a function of…

任意噪声加性模型中基于分数匹配的因果发现AI 解读

Causal discovery methods are intrinsically constrained by the set of assumptions needed to ensure structure identifiability. Moreover additional restrictions are often imposed in order to simplify the inference task: this is the case for the Gaussian noise assumption on additive non-linear models, which is common to many causal discovery approaches. In this paper we show the shortcomings of inference under this hypothesis, analyzing the risk of edge inversion under violation…

多元正则变动下边际期望损失的统计推断AI 解读

Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context, results of statistical inference rely on the bivariate extreme values approach, disregarding the extremal dependence among a large number of financial institutions that make up the market. In order to take it into account we propose an…

基于个体特征的分位数因子模型估计AI 解读

This paper studies the estimation of characteristic-based quantile factor models where the factor loadings are unknown functions of observed individual characteristics while the idiosyncratic error terms are subject to conditional quantile restrictions. We propose a three-stage estimation procedure that is easily implementable in practice and has nice properties. The convergence rates, the limiting distributions of the estimated factors and loading functions, and a…

序贯实验结束后的最优检验AI 解读

Recent years have seen tremendous advances in the theory and application of sequential experiments. While these experiments are not always designed with hypothesis testing in mind, researchers may still be interested in performing tests after the experiment is completed. The purpose of this paper is to aid in the development of optimal tests for sequential experiments by analyzing their asymptotic properties. Our key finding is that the asymptotic power function of any test…

基于实验预测广告增量效果：PIE 广告衡量方法AI 解读

Randomized controlled trials (RCTs) provide the most credible estimates of advertising incrementality but are difficult to scale. We propose Predicted Incrementality by Experimentation (PIE), which reframes ad measurement as a campaign-level prediction problem. PIE uses a sample of RCTs to learn a mapping from campaign features to causal effects, then applies it to campaigns not run as RCTs. Because the RCTs identify the causal effects, PIE can incorporate post-determined…

连续处理因果推断的独立性权重AI 解读

Studying causal effects of continuous treatments is important for gaining a deeper understanding of many interventions, policies, or medications, yet researchers are often left with observational studies for doing so. In the observational setting, confounding is a barrier to the estimation of causal effects. Weighting approaches seek to control for confounding by reweighting samples so that confounders are comparable across different treatment values. Yet, for continuous…

什么是随机化检验？AI 解读

The meaning of randomization tests has become obscure in statistics education and practice over the last century. This article makes a fresh attempt at rectifying this core concept of statistics. A new term -- "quasi-randomization test" -- is introduced to define significance tests based on theoretical models and distinguish these tests from the "randomization tests" based on the physical act of randomization. The practical importance of this distinction is illustrated…

分析连续时间系统的深度学习方法AI 解读

Scientists often use observational time series data to study complex natural processes, but regression analyses often assume simplistic dynamics. Recent advances in deep learning have yielded startling improvements to the performance of models of complex processes, but deep learning is generally not used for scientific analysis. Here we show that deep learning can be used to analyze complex processes, providing flexible function approximation while preserving…

因子模型下 Benjamini–Hochberg 错误发现比例的中心极限定理AI 解读

The Benjamini-Hochberg (BH) procedure remains widely popular despite having limited theoretical guarantees in the commonly encountered scenario of correlated test statistics. Of particular concern is the possibility that the method could exhibit bursty behavior, meaning that it might typically yield no false discoveries while occasionally yielding both a large number of false discoveries and a false discovery proportion (FDP) that far exceeds its own well controlled mean. In…

计数时间序列的概率预测协调AI 解读

Forecast reconciliation is an important research topic. Yet, there is currently neither formal framework nor practical method for the probabilistic reconciliation of count time series. In this paper we propose a definition of coherency and reconciled probabilistic forecast which applies to both real-valued and count variables and a novel method for probabilistic reconciliation. It is based on a generalization of Bayes' rule and it can reconcile both real-value and count…

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…

微生物组数据中组成型中介效应选择的贝叶斯联合模型AI 解读

Analyzing multivariate count data generated by high-throughput sequencing technology in microbiome research studies is challenging due to the high-dimensional and compositional structure of the data and overdispersion. In practice, researchers are often interested in investigating how the microbiome may mediate the relation between an assigned treatment and an observed phenotypic response. Existing approaches designed for compositional mediation analysis are unable to…

存在干扰、不依从和结果缺失的两阶段随机实验贝叶斯分析AI 解读

Three critical issues for causal inference that often occur in modern, complicated experiments are interference, treatment nonadherence, and missing outcomes. A great deal of research efforts has been dedicated to developing causal inferential methodologies that address these issues separately. However, methodologies that can address these issues simultaneously are lacking. We propose a Bayesian causal inference methodology to address this gap. Our methodology extends…

广义椭圆模型下样本协方差矩阵的极端特征值及应用AI 解读

We consider the extreme eigenvalues of the sample covariance matrix $Q=YY^*$ under the generalized elliptical model that $Y=Σ^{1/2}XD.$ Here $Σ$ is a bounded $p \times p$ positive definite deterministic matrix representing the population covariance structure, $X$ is a $p \times n$ random matrix containing either independent columns sampled from the unit sphere in $\mathbb{R}^p$ or i.i.d. centered entries with variance $n^{-1},$ and $D$ is a diagonal random matrix containing…

存在中间混杂时用于因果中介分析的非行动主体干预AI 解读

Recent approaches to causal inference have focused on causal effects defined as contrasts between the distribution of counterfactual outcomes under hypothetical interventions on the nodes of a graphical model. In this article we develop theory for causal effects defined with respect to a different type of intervention, one which alters the information propagated through the edges of the graph. These information transfer interventions may be more useful than node…

非平稳多变量时间序列的状态空间多重填补及数字精神医学应用AI 解读

Mobile technology enables unprecedented continuous monitoring of an individual's behavior, social interactions, symptoms, and other health conditions, presenting an enormous opportunity for therapeutic advancements and scientific discoveries regarding the etiology of psychiatric illness. Continuous collection of mobile data results in the generation of a new type of data: entangled multivariate time series of outcome, exposure, and covariates. Missing data is a pervasive…

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…

带 ARCH 误差的次几何遍历自回归AI 解读

In this paper, we consider subgeometric (specifically, polynomial) ergodicity of univariate nonlinear autoregressions with autoregressive conditional heteroskedasticity (ARCH). The notion of subgeometric ergodicity was introduced in the Markov chain literature in 1980s and it means that the transition probability measures converge to the stationary measure at a rate slower than geometric; this rate is also closely related to the convergence rate of $β$-mixing coefficients.…

平均调整关联：高维混杂变量下的有效估计AI 解读

The log odds ratio is a well-established metric for evaluating the association between binary outcome and exposure variables. Despite its widespread use, there has been limited discussion on how to summarize the log odds ratio as a function of confounders through averaging. To address this issue, we propose the Average Adjusted Association (AAA), which is a summary measure of association in a heterogeneous population, adjusted for observed confounders. To facilitate the use…

时间序列结构变化加权检验统计量的功效AI 解读

We investigate the power of some common change-point tests as a function of the location of the change-point. The test statistics are maxima of weighted U-statistics, with the CUSUM test and the Wilcoxon change-point test as special examples. We study the power under local alternatives, where we vary both the location of the change-point and the magnitude of the change. We quantify in which way weighted versions of the tests are more powerful when the change occurs near the…

Chatterjee 秩相关的 bootstrap 失效AI 解读

While researchers commonly use the bootstrap for statistical inference, many of us have realized that the standard bootstrap, in general, does not work for Chatterjee's rank correlation. In this paper, we provide proof of this issue under an additional independence assumption, and complement our theory with simulation evidence for general settings. Chatterjee's rank correlation thus falls into a category of statistics that are asymptotically normal but bootstrap…