每日简报

利用无标签汇总统计量的半监督推断AI 解读

Semi-supervised inference assumes access to a labeled dataset together with a large unlabeled dataset in which the outcome variable is missing, and it is widely used to improve statistical efficiency and support generalizability across populations. In many modern applications, however, individual-level unlabeled data may not be directly accessible due to privacy restrictions, data-sharing limits, or storage constraints, while summary statistics such as sample means and…

使用遥感结果变量的项目评估AI 解读

We study causal inference in experiments and quasi-experiments, where the economic outcome is imperfectly measured by a remotely sensed variable. The remotely sensed variable is low-cost, scalable, and predictive of the economic outcome in observational data; examples include satellite imagery and mobile phone activity. We model the remotely sensed variable as post-outcome: variation in the economic outcome causes variation in the remotely sensed variable. For example,…

一阶差分真的是随机分配的吗？AI 解读

We consider a first-difference regression of an outcome evolution $ΔY$ on a treatment evolution $ΔD$. If the treatment effect changes over time, the regression residual is a function of the period-one treatment $D_{1}$. Then, researchers should test if $ΔD$ and $D_{1}$ are correlated: if they are, the regression may suffer from an omitted variable bias. To solve it, researchers may control for $E(ΔD|D_{1})$. We revisit Acemoglu et al (2016), who study the effect of imports…

放宽可迁移性假设的随机试验效应外推：美国选举政治广告案例AI 解读

During the 2020 U.S. presidential election, Aggarwal et al. (2023) conducted a large-scale randomized experiment to evaluate a digital ad campaign against Trump in five battleground states. While the study found no effect on voter turnout, it's unclear whether this null result generalizes to other battleground states, notably Georgia, which played a unique role in the 2020 election and differs from the battleground states. Inspired by the study, we present a transfer…

非可分选择模型估计：函数压缩映射方法AI 解读

We propose a novel method for estimating nonseparable selection models. We show that, for a given selection function and under suitable contraction conditions, the potential outcome distributions are nonparametrically identified from the selected outcome distributions and can be recovered using a simple iterative algorithm. This result enables a full-information approach to estimating selection models without imposing parametric or separability assumptions on the outcome…

融合多种已实现测度的金融波动率与风险预测AI 解读

Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volatility estimators, each with unique advantages and limitations, selecting an optimal estimator may introduce challenges. In this thesis, aiming to synthesise the impact of various realised volatility measures on volatility forecasting, we propose an extension of the Realised GARCH model that…

右删失结果回归与推断的双重稳健学习器AI 解读

This paper introduces a general framework for doubly robust nonparametric regression with right-censored outcomes, adapting the strategy of the 'DR-learner' for heterogeneous treatment effects to the censored data setting. Our method generalizes censoring unbiased transformations to generate pseudo-outcomes, which serve as inputs for a second-stage nonparametric regression with sample-splitting or cross-fitting. We derive a novel representation of the conditional bias of…

交叉拟合折数较多时的去偏机器学习AI 解读

This paper studies debiased machine learning (DML) when the number of cross-fitting folds, $K_n$, may grow with the sample size $n$. Existing fixed-$K$ asymptotic theory implies that DML1 and DML2, the two main DML variants, are asymptotically equivalent, providing no guidance on which variant to use or how to choose $K_n$. We show that this equivalence can break down when $K_n$ grows proportionally to $\sqrt{n}$: DML1 can exhibit asymptotic bias, in which case standard…

参数数量发散时的估计渐近理论：稀疏与非稀疏情形AI 解读

We develop a general asymptotic theory for estimating equations whose dimension diverges with the sample size. For both unpenalized and sparse penalized problems, we establish population-level conditions for existence, consistency, uniqueness, and asymptotic normality; in the penalized setting, we also establish selection consistency under a generalized version of the mutual incoherence condition. Our results cover stepwise procedures with a diverging number of steps,…

主方案试验：从目标量定义到治疗效应的稳健推断AI 解读

Master protocol trials use a single overarching protocol to evaluate multiple interventions, diseases, or disease subtypes, where individuals are often randomized to different subsets of intervention arms based on individual characteristics, enrollment timing, and intervention availability. While offering increased flexibility, this constrained and non-uniform intervention assignment poses two fundamental inferential challenges: the precise definition of treatment effects…

时变调节效应的选择后推断AI 解读

Causal effect moderation investigates how the effect of interventions (or treatments) on outcome variables changes based on observed characteristics of individuals, known as potential effect moderators. With advances in data collection, datasets containing many observed features as potential moderators have become increasingly common. High-dimensional analyses often lack interpretability, with important moderators masked by noise, while low-dimensional, marginal analyses…

通过校准实现双重稳健推断AI 解读

Doubly robust estimators are widely used for estimating average treatment effects and other linear summaries of regression functions. While consistency requires only one of two nuisance functions to be estimated consistently, asymptotic normality for linear functionals typically requires sufficiently fast convergence of both. We address this mismatch by showing that calibrating the nuisance estimators within a doubly robust procedure can yield doubly robust asymptotic…

通过留一变量法交叉验证因果发现AI 解读

We propose a new approach to falsify causal discovery algorithms without ground truth, which is based on testing the causal model on a variable pair excluded during learning the causal model. Specifically, given data on $X, Y, \boldsymbol{Z}=X, Y, Z_1,\dots,Z_k$, we apply the causal discovery algorithm separately to the 'leave-one-out' data sets $X, \boldsymbol{Z}$ and $Y, \boldsymbol{Z}$. We demonstrate that the two resulting causal models, in the form DAGs, ADMGs, CPDAGs…

双侧最近邻：自适应且极小极大最优的矩阵补全方法AI 解读

Nearest neighbor (NN) algorithms have been extensively used for missing data problems in recommender systems and sequential decision-making systems. Prior theoretical analysis has established favorable guarantees for NN when the underlying data is sufficiently smooth and the missingness probabilities are lower bounded. Here we analyze NN with non-smooth non-linear functions with vast amounts of missingness. In particular, we consider matrix completion settings where the…

特征定价预算约束下的经验福利分析AI 解读

We analyze demand settings where heterogeneous consumers maximize utility for product attributes subject to a nonlinear budget constraint. We develop nonparametric methods for welfare-analysis of interventions that change the constraint. Two new findings are Roy's identity for smooth, nonlinear budgets, which yields a Partial Differential Equation system, and a Slutsky-like symmetry condition for demand. Under scalar unobserved heterogeneity and single-crossing preferences,…

线性模型中的最优检验及其因果推断含义AI 解读

Despite its widespread use in practice, multiple regression suffers from two important limitations due to ignoring the structure between predictors. First, reported coefficients are, in fact, direct effects in a causal context. These are often less meaningful than total effects when accounting for a factor's contribution, however, estimating the latter typically requires a causal diagram to be specified among predictors. The second limitation is multicollinearity, which…

基于中位数后验推断的可扩展高斯过程回归：估计多污染物混合健康效应AI 解读

Humans are exposed to complex mixtures of environmental pollutants rather than single chemicals, necessitating methods to quantify the health effects of such mixtures. Research on environmental mixtures provides insights into realistic exposure scenarios, informing regulatory policies that better protect public health. However, statistical challenges, including complex correlations among pollutants and nonlinear multivariate exposure-response relationships, complicate such…

研发与人工智能投资对经济增长和信用评级的影响AI 解读

The research and development (R&D) phase is essential for fostering innovation and aligns with long-term strategies in both public and private sectors. This study addresses two primary research questions: (1) assessing the relationship between R&D investments and GDP through regression analysis, and (2) estimating the economic value added (EVA) that Georgia must generate to progress from a BB to a BBB credit rating. Using World Bank data from 2014-2022, this analysis found…

利用主要进展速率量化和比较研究中的疾病进展AI 解读

In comparative studies of progressive diseases, such as randomized controlled trials (RCTs), the mean Change From Baseline (CFB) of a continuous outcome at a pre-specified follow-up time across subjects in the target population is a standard estimand used to summarize the overall disease progression. Despite its simplicity in interpretation, the mean CFB may not efficiently capture important features of the trajectory of the mean outcome relevant to the evaluation of the…

候选集中包含真实模型时最小二乘模型平均的渐近最优性AI 解读

Asymptotic optimality is a key theoretical property in model averaging. Due to technical difficulties, existing studies rely on restricted weight sets or the assumption that there is no true model with fixed dimensions in the candidate set. The focus of this paper is to overcome these difficulties. Surprisingly, we discover that when the penalty factor in the weight selection criterion diverges with a certain order and the true model dimension is fixed, asymptotic loss…

气候变化过程时间可逆性的无模型检验AI 解读

Time-reversibility is a crucial feature of many time series models, while time-irreversibility is the rule rather than the exception in real-life data. Testing the null hypothesis of time-reversibilty, therefore, should be an important step preliminary to the identification and estimation of most traditional time-series models. Existing procedures, however, mostly consist of testing necessary but not sufficient conditions, leading to under-rejection, or sufficient but…

可能存在多维聚类时的推断与实践AI 解读

We show how clustering standard errors in one or more dimensions can be justified in M-estimation when there is sampling or assignment uncertainty. Since existing procedures for variance estimation are either conservative or invalid, we propose a variance estimator that refines a conservative procedure and remains valid. We then interpret environments where clustering is frequently employed in empirical work from our design-based perspective and provide insights on their…

加州电价预测中的异常检测：利用主成分分析提高准确性与可靠性AI 解读

Accurate and reliable electricity price forecasting has significant practical implications for grid management, renewable energy integration, power system planning, and price volatility management. This study focuses on enhancing electricity price forecasting in California's grid, addressing challenges from complex generation data and heteroskedasticity. Utilizing principal component analysis (PCA), we analyze CAISO's hourly electricity prices and demand from 2016-2021 to…

近似邻域干扰下的辅助变量调整AI 解读

Randomized experiments are the gold standard for causal inference. However, traditional assumptions, such as the Stable Unit Treatment Value Assumption (SUTVA), often fail in real-world settings where interference between units is present. Network interference, in particular, has garnered significant attention. Structural models, like the linear-in-means model, are commonly used to describe interference; but they rely on the correct specification of the model, which can be…