每日简报

近似稀疏下的极小极大半参数学习AI 解读

Estimating linear, mean-square continuous functionals is a pivotal challenge in statistics. In high-dimensional contexts, this estimation is often performed under the assumption of exact model sparsity, meaning that only a small number of parameters are precisely non-zero. This excludes models where linear formulations only approximate the underlying data distribution, such as nonparametric regression methods that use basis expansion such as splines, kernel methods or…

饮酒对脑白质微结构完整性的影响：不完整表型数据的因果推断框架AI 解读

Although substance use, such as alcohol intake, is known to be associated with cognitive decline during aging, its direct influence on the central nervous system remains incompletely understood. In this study, we investigate the influence of alcohol intake frequency on reduction of brain white matter microstructural integrity in the fornix, a brain region considered a promising marker of age-related microstructural degeneration, using a large UK Biobank (UKB) cohort with…

无需训练数据：利用强化学习生成模型无关的反事实解释AI 解读

Machine learning (ML) methods have experienced significant growth in the past decade, yet their practical application in high-impact real-world domains has been hindered by their opacity. When ML methods are responsible for making critical decisions, stakeholders often require insights into how to alter these decisions. Counterfactual explanations (CFEs) have emerged as a solution, offering interpretations of opaque ML models and providing a pathway to transition from one…

好控制变量为何失效：含协变量的双重差分AI 解读

This paper introduces the two-way common causal covariates (CCC) assumption, which is necessary to get an unbiased estimate of the ATT when using time-varying covariates in existing Difference-in-Differences methods. The two-way CCC assumption implies that the effect of the covariates remain the same between groups and across time periods. This assumption has been implied in previous literature, but has not been explicitly addressed. Through theoretical proofs and a Monte…

近似消息传递的留一法AI 解读

Approximate message passing (AMP) has emerged both as a popular class of iterative algorithms and as a powerful analytic tool in a wide range of statistical estimation problems and statistical physics models. A well established line of AMP theory proves Gaussian approximations for the empirical distributions of the AMP iterate in the high dimensional limit, under the GOE random matrix model and its variants. This paper provides a non-asymptotic, leave-one-out representation…

高维数据中 Lasso 与自适应 Lasso 的比较：三阴性乳腺癌的遗传生存分析AI 解读

In high-dimensional survival analysis, effective variable selection is crucial for both model interpretation and predictive performance. This paper investigates Cox regression with lasso and adaptive lasso penalties in genomic datasets where covariates far outnumber observations. We propose and evaluate four weight calculation strategies for adaptive lasso specifically designed for high-dimensional settings: ridge regression, principal component analysis (PCA), univariate…

高维投资组合优化中样本外夏普比率的估计AI 解读

Portfolio optimization aims at constructing a realistic portfolio with significant out-of-sample performance, which is typically measured by the out-of-sample Sharpe ratio. However, due to in-sample optimism, it is inappropriate to use the in-sample estimated covariance to evaluate the out-of-sample Sharpe, especially in the high dimensional settings. In this paper, we propose a novel method to estimate the out-of-sample Sharpe ratio using only in-sample data, based on…

利用工具变量双重稳健估计生存数据的最优治疗规则AI 解读

In survival contexts, substantial literature exists on estimating optimal treatment regimes, where treatments are assigned based on personal characteristics to maximize the survival probability. These methods assume that a set of covariates is sufficient to deconfound the treatment-outcome relationship. However, this assumption can be limited in observational studies or randomized trials in which non-adherence occurs. Therefore, we propose a novel approach to estimating…

利用高维辅助表型改进基因组预测：遗传潜因子方法AI 解读

Decreasing costs and new technologies have led to an increase in the amount of data available to plant breeding programs. High-throughput phenotyping (HTP) platforms routinely generate high-dimensional datasets of secondary features that may be used to improve genomic prediction accuracy. However, integration of these data comes with challenges such as multicollinearity, parameter estimation in $p > n$ settings, and the computational complexity of many standard approaches.…

两个参数的符号一致性检验AI 解读

We test the null hypothesis that two parameters $(μ_1,μ_2)$ have the same sign, assuming that (asymptotically) normal estimators $(\hatμ_1,\hatμ_2)$ are available. Examples of this problem include the analysis of heterogeneous treatment effects, causal interpretation of reduced-form estimands, meta-studies, and mediation analysis. A number of tests were recently proposed. We recommend a test that is simple and rejects more often than many of these recent proposals. Like all…

LITE：高效估计高斯最大概率AI 解读

We consider the problem of computing the probability of maximality (PoM) of a Gaussian random vector, i.e., the probability for each dimension to be maximal. This is a key challenge in applications ranging from Bayesian optimization to reinforcement learning, where the PoM not only helps with finding an optimal action, but yields a fine-grained analysis of the action domain, crucial in tasks such as drug discovery. Existing techniques are costly, scaling polynomially in…

Lasso 类正则化器的经验贝叶斯估计：自动相关性判定分析AI 解读

This paper focuses on linear regression models with non-conjugate sparsity-inducing regularizers such as lasso and group lasso. Although the empirical Bayes approach enables us to estimate the regularization parameter, little is known on the properties of the estimators. In particular, many aspects regarding the specific conditions under which the mechanism of automatic relevance determination (ARD) occurs remain unexplained. In this paper, we derive the empirical Bayes…

非参数FBST用于线性模型验证AI 解读

The Full Bayesian Significance Test (FBST) possesses many desirable aspects, such as dismissing the need for hypotheses to have positive prior probability and providing a measure of evidence against $H_0$. Still, few attempts have been made to bring the FBST to nonparametric settings, with the main drawback being the need to obtain the highest posterior density (HPD) in a function space. In this work, we use a Gaussian processes prior to derive the FBST for hypotheses of the…

高维空间面板网络的一致有效推断AI 解读

We propose employing a high-dimensional generalized method of moments (GMM) estimator, regularized for dimension reduction and subsequently debiased to correct for shrinkage bias (referred to as a debiased-regularized estimator), for inference on large-scale spatial panel networks. In particular, the network structure, which incorporates a flexible sparse deviation that can be regarded either as a latent component or as a misspecification of a predetermined adjacency matrix,…

Lyapunov 方程的 Trek 路径规则AI 解读

The Lyapunov equation is a linear matrix equation characterizing the cross-sectional steady-state covariance matrix of a Gaussian Markov process. We show a new version of the trek rule for this equation, which links the graphical structure of the drift of the process to the entries of the steady-state covariance matrix. In general, the trek rule is a power series expansion of the covariance matrix in the entries of the drift and volatility matrices. For acyclic models it…

仅利用目标总体汇总数据的可迁移性分析：目标聚合数据调整法AI 解读

Transportability analysis is a causal inference framework used to evaluate the external validity of randomized clinical trials (RCTs) or observational studies. Most existing transportability analysis methods require individual patient-level data (IPD) for both the source and the target population, narrowing its applicability when only target aggregate-level data (AgD) is available. Besides, accounting for censoring is essential to reduce bias in longitudinal data, yet…

无需凸性：光滑矩条件模型的估计AI 解读

Generalized and Simulated Method of Moments are often used to estimate structural Economic models. Yet, it is commonly reported that optimization is challenging because the corresponding objective function is non-convex. For smooth problems, this paper shows that convexity is not required: under conditions involving the Jacobian of the moments, certain algorithms are globally convergent. These include a gradient-descent and a Gauss-Newton algorithm with appropriate choice of…

迈向机器学习与经典模型型调查方法的融合AI 解读

The usage of machine learning methods in traditional surveys including official statistics, is still very limited. Therefore, we propose a predictor supported by these algorithms, which can be used to predict any population or subpopulation characteristics. Machine learning methods have already been shown to be very powerful in identifying and modelling complex and nonlinear relationships between the variables, which means they have very good properties in case of strong…

用于资本建模与系统性风险分析的主成分 CopulaAI 解读

We introduce a class of copulas that we call Principal Component Copulas (PCCs). This class combines the strong points of copula-based techniques with principal component analysis (PCA), which results in flexibility when modelling tail dependence along the most important directions in high-dimensional data. We obtain theoretical results for PCCs that are important for practical applications. In particular, we derive tractable expressions for the high-dimensional copula…

更好地理解三重差分估计量AI 解读

Triple Differences (DDD) designs are widely used in empirical work to relax parallel trends assumptions in Difference-in-Differences (DiD) settings. This paper highlights that common DDD implementations -- such as taking the difference between two DiDs or applying three-way fixed effects regressions -- are generally invalid when identification requires conditioning on covariates. In staggered adoption settings, the common DiD practice of pooling all not-yet-treated units as…

病态线性回归的扩展潜在因子框架AI 解读

In many applications, particularly in the natural sciences, the available high-dimensional set of features may contain variables that are not correlated with the response under consideration. Such irrelevant features can, in certain cases, hinder both the accurate estimation and meaningful interpretation of the effects of the relevant features on the response. At the same time, the relevant features may also be well-approximated within a low-dimensional linear subspace,…

Hilbert 空间可逆过程的估计及其函数型 ARMA 应用AI 解读

Invertible processes are central to functional time series analysis, making the estimation of their defining operators a key problem. While asymptotic error bounds have been established for specific ARMA models on $L^2[0,1]$, a general theoretical framework has not yet been considered. This paper fills in this gap by deriving consistent estimators for the operators characterizing the invertible representation of a functional time series with white noise innovations in a…

从非干预复杂系统中解析干预型动力因果关系AI 解读

Detecting and quantifying causality is a focal topic in the fields of science, engineering, and interdisciplinary studies. However, causal studies on non-intervention systems attract much attention but remain extremely challenging. Delay-embedding technique provides a promising approach. In this study, we propose a framework named Interventional Dynamical Causality (IntDC) in contrast to the traditional Constructive Dynamical Causality (ConDC). ConDC, including Granger…

结果延迟实现时治疗效应的分解与解释AI 解读

This paper studies settings where the analyst is interested in identifying and estimating the average \emph{direct} causal effect of a binary treatment on an outcome. We consider a setup in which the outcome realization does not get immediately realized after the treatment assignment, a feature that is ubiquitous in empirical settings. The period between the treatment and the realization of the outcome allows other observed actions to occur and affect the outcome. In this…