每日简报

一般线性约束多元时间序列的点预测与概率预测协调AI 解读

Forecast reconciliation is the post-forecasting process aimed to revise a set of incoherent base forecasts into coherent forecasts in line with given data structures. Most of the point and probabilistic regression-based forecast reconciliation results ground on the so called "structural representation" and on the related unconstrained generalized least squares reconciliation formula. However, the structural representation naturally applies to genuine hierarchical/grouped…

人类反馈强化学习：通过悲观策略学习动态选择AI 解读

In this paper, we study offline Reinforcement Learning with Human Feedback (RLHF) where we aim to learn the human's underlying reward and the MDP's optimal policy from a set of trajectories induced by human choices. RLHF is challenging for multiple reasons: large state space but limited human feedback, the bounded rationality of human decisions, and the off-policy distribution shift. In this paper, we focus on the Dynamic Discrete Choice (DDC) model for modeling and…

利用拉普拉斯近似对具有结构化协方差矩阵的层级广义线性混合模型进行边际推断AI 解读

Using a hierarchical construction, we develop methods for a wide and flexible class of models by taking a fully parametric approach to generalized linear mixed models with complex covariance dependence. The Laplace approximation is used to marginally estimate covariance parameters while integrating out all fixed and latent random effects. The Laplace approximation relies on Newton-Raphson updates, which also leads to predictions for the latent random effects. We develop…

随机计量与经验分布：时间相关数据压缩的信息损失AI 解读

We study the problem of parameter estimation in time series stemming from general stochastic processes, where the outcomes may exhibit arbitrary temporal correlations. In particular, we address the question of how much Fisher information is lost if the stochastic process is compressed into a single histogram, known as the empirical distribution. As we show, the answer is non-trivial due to the correlations between outcomes. We derive practical formulas for the resulting…

单研究与多研究贝叶斯因子分析的快速变分推断AI 解读

Factors models are routinely used to analyze high-dimensional data in both single-study and multi-study settings. Bayesian inference for such models relies on Markov Chain Monte Carlo (MCMC) methods which scale poorly as the number of studies, observations, or measured variables increase. To address this issue, we propose variational inference algorithms to approximate the posterior distribution of Bayesian latent factor models using the multiplicative gamma process…

聚合曲线的层级预测及其在日前电价拍卖中的应用AI 解读

Aggregated curves are common structures in economics and finance, and the most prominent examples are supply and demand curves. In this study, we exploit the fact that all aggregated curves have an intrinsic hierarchical structure, and thus hierarchical reconciliation methods can be used to improve the forecast accuracy. We provide an in-depth theory on how aggregated curves can be constructed or deconstructed, and conclude that these methods are equivalent under weak…

基于联合特征函数的多元时间序列非参数分段AI 解读

Modern time series data often exhibit complex dependence and structural changes which are not easily characterised by shifts in the mean or model parameters. We propose a nonparametric data segmentation methodology for multivariate time series termed NP-MOJO. By considering joint characteristic functions between the time series and its lagged values, NP-MOJO is able to detect change points in the marginal distribution, but also those in possibly non-linear serial dependence,…

协变量自适应随机化下平均处理效应的半参数有效估计AI 解读

Experiments that use covariate adaptive randomization (CAR) are commonplace in applied economics and other fields. In such experiments, the experimenter first stratifies the sample according to observed baseline covariates and then assigns treatment randomly within these strata so as to achieve balance according to pre-specified stratum-specific target assignment proportions. In this paper, we compute the semiparametric efficiency bound for estimating the average treatment…

利用期权估计波动率的波动率与杠杆效应AI 解读

We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time, we integrate available options into estimates of the conditional characteristic function of the price increment until the options' expiration and we use these estimates to recover spot volatility. Our volatility of volatility estimator is then formed from the sample variance and first-order…

时变处理的反事实生成模型AI 解读

Estimating the counterfactual outcome of treatment is essential for decision-making in public health and clinical science, among others. Often, treatments are administered in a sequential, time-varying manner, leading to an exponentially increased number of possible counterfactual outcomes. Furthermore, in modern applications, the outcomes are high-dimensional and conventional average treatment effect estimation fails to capture disparities in individuals. To tackle these…

大规模在线A/B测试中的协变量调整AI 解读

Companies offering web services routinely run randomized online experiments to estimate the causal impact associated with the adoption of new features and policies on key performance metrics of interest. These experiments are used to estimate a variety of effects: the increase in click rate due to the repositioning of a banner, the impact on subscription rate as a consequence of a discount or special offer, etc. In these settings, even effects whose sizes are very small can…

CUTS+：不规则时间序列中的高维因果发现AI 解读

Causal discovery in time-series is a fundamental problem in the machine learning community, enabling causal reasoning and decision-making in complex scenarios. Recently, researchers successfully discover causality by combining neural networks with Granger causality, but their performances degrade largely when encountering high-dimensional data because of the highly redundant network design and huge causal graphs. Moreover, the missing entries in the observations further…

Clip-OGD：序贯实验中自适应 Neyman 分配的实验设计AI 解读

From clinical development of cancer therapies to investigations into partisan bias, adaptive sequential designs have become increasingly popular method for causal inference, as they offer the possibility of improved precision over their non-adaptive counterparts. However, even in simple settings (e.g. two treatments) the extent to which adaptive designs can improve precision is not sufficiently well understood. In this work, we study the problem of Adaptive Neyman Allocation…

金融收益协方差矩阵预测的简便方法AI 解读

We consider the well-studied problem of predicting the time-varying covariance matrix of a vector of financial returns. Popular methods range from simple predictors like rolling window or exponentially weighted moving average (EWMA) to more sophisticated predictors such as generalized autoregressive conditional heteroscedastic (GARCH) type methods. Building on a specific covariance estimator suggested by Engle in 2002, we propose a relatively simple extension that requires…

利用路径签名回归进行即时预测AI 解读

We introduce a new method of nowcasting using regression on path signatures. Path signatures capture the geometric properties of sequential data. Because signatures embed observations in continuous time, they naturally handle mixed frequencies and missing data. We prove theoretically, and demonstrate with simulations, that regression on signatures both subsumes the linear Kalman filter and has desirable consistency properties. Nowcasting with signatures is more robust to…

由函数型扩散驱动的随机波动率模型AI 解读

We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to stationary in a function space and are functional analogs of point-to-point daily returns. The between curves dependence is modeled by a latent autoregression. The within curves behavior is modeled by a diffusion process. We establish the…

含未观测异质性的生产函数识别与估计AI 解读

This paper examines the nonparametric identifiability of production functions, considering firm heterogeneity beyond Hicks-neutral technology terms. We propose a finite mixture model to account for unobserved heterogeneity in production technology and productivity growth processes. Our analysis demonstrates that the production function for each latent type can be nonparametrically identified using four periods of panel data, relying on assumptions similar to those employed…

利用筛法自助法与动态更新预测日内金融时间序列AI 解读

Intraday financial data often take the form of a collection of curves that can be observed sequentially over time, such as intraday stock price curves. These curves can be viewed as a time series of functions observed on equally spaced and dense grids. Due to the curse of dimensionality, high-dimensional data poses challenges from a statistical aspect; however, it also provides opportunities to analyze a rich source of information so that the dynamic changes within…

住宅租金的灵活贝叶斯分位数分析AI 解读

This article develops a random effects quantile regression model for panel data that allows for increased distributional flexibility, multivariate heterogeneity, and time-invariant covariates in situations where mean regression may be unsuitable. Our approach is Bayesian and builds upon the generalized asymmetric Laplace distribution to decouple the modeling of skewness from the quantile parameter. We derive an efficient simulation-based estimation algorithm, demonstrate its…

比利时疫情期间供需冲击传播的动态投入产出模型验证AI 解读

This work validates a dynamic production network model, used to quantify the impact of economic shocks caused by COVID-19 in the UK, using data for Belgium. Because the model was published early during the 2020 COVID-19 pandemic, it relied on several assumptions regarding the magnitude of the observed economic shocks, for which more accurate data have become available in the meantime. We refined the propagated shocks to align with observed data collected during the pandemic…

异质矩阵分解：不同数据集具有不同特征时AI 解读

In myriad statistical applications, data are collected from related but heterogeneous sources. These sources share some commonalities while containing idiosyncratic characteristics. One of the most fundamental challenges in such scenarios is to recover the shared and source-specific factors. Despite the existence of a few heuristic approaches, a generic algorithm with theoretical guarantees has yet to be established. In this paper, we tackle the problem by proposing a method…

未测量混杂下观察性研究因果推断的灵活敏感性分析AI 解读

Causal inference with observational studies often suffers from unmeasured confounding, yielding biased estimators based on the unconfoundedness assumption. Sensitivity analysis assesses how the causal conclusions change with respect to different degrees of unmeasured confounding. Most existing sensitivity analysis methods work well for specific types of statistical estimation or testing strategies. We propose a flexible sensitivity analysis framework that can deal with…

因果推断中的双重下降与单调下降：高维合成控制应用AI 解读

Motivated by a recent literature on the double-descent phenomenon in machine learning, we consider highly over-parameterized models in causal inference, including synthetic control with many control units. In such models, there may be so many free parameters that the model fits the training data perfectly. We first investigate high-dimensional linear regression for imputing wage data and estimating average treatment effects, where we find that models with many more…

治疗不依从下因果生存分析的多重稳健估计AI 解读

Comparative effectiveness research frequently addresses a time-to-event outcome and can require unique considerations in the presence of treatment noncompliance. Motivated by the challenges in addressing noncompliance in the ADAPTABLE pragmatic clinical trial, we develop a multiply robust estimator to estimate the principal survival causal effects under the principal ignorability and monotonicity. The multiply robust estimator is consistent even if one, and sometimes two, of…