每日简报

用于因果推断中自动混杂发现与子群分析的大语言模型智能体AI 解读

Estimating individualized treatment effects from observational data presents a persistent challenge due to unmeasured confounding and structural bias. Causal Machine Learning (causal ML) methods, such as causal trees and doubly robust estimators, provide tools for estimating conditional average treatment effects. These methods have limited effectiveness in complex real-world environments due to the presence of latent confounders or those described in unstructured formats.…

模型不确定性的综述与分类AI 解读

Model uncertainty is a crucial issue in statistics, econometrics and machine learning, yet its definition remains ambiguous and is subject to various interpretations in the literature. So far, there has not been a universally accepted definition of model uncertainty. We review different understandings of model uncertainty and categorize them into three distinct types: uncertainty about the true model, model selection uncertainty, and model selection instability. We further…

单调连续处理效应曲线的双重稳健逐点置信区间AI 解读

We study nonparametric inference for the causal dose-response (or treatment effect) curve when the treatment variable is continuous rather than binary or discrete. We do this by developing doubly robust confidence intervals for the continuous treatment effect curve (at a fixed point) under the assumption that it is monotonic, based on inverting a likelihood ratio-type test. Monotonicity of the treatment effect curve is often a very natural assumption, and this assumption…

异质时空 GARCH：金融网络波动率预测框架AI 解读

We introduce a heterogeneous spatiotemporal GARCH model for geostatistical data or processes on networks, e.g., for modelling and predicting financial return volatility across firms in a latent spatial framework. The model combines classical GARCH(p, q) dynamics with spatially correlated innovations and spatially varying parameters, estimated using local likelihood methods. Spatial dependence is introduced through a geostatistical covariance structure on the innovation…

基于 Copula 标准化流的未观测混杂敏感性分析AI 解读

We propose a novel method for sensitivity analysis to unobserved confounding in causal inference. The method builds on a copula-based causal graphical normalizing flow that we term $ρ$-GNF, where $ρ\in [-1,+1]$ is the sensitivity parameter. The parameter represents the non-causal association between exposure and outcome due to unobserved confounding, which is modeled as a Gaussian copula. In other words, the $ρ$-GNF enables scholars to estimate the average causal effect…

观点：因果机器学习的广泛应用需要严格的合成实验AI 解读

Causal machine learning has the potential to revolutionize decision-making by combining the predictive power of machine learning algorithms with the theory of causal inference. However, these methods remain underutilized by the broader machine learning community, in part because current empirical evaluations do not permit assessment of their reliability and robustness, undermining their practical utility. Specifically, one of the principal criticisms made by the community is…

近似稀疏函数类与极小极大估计AI 解读

Motivated by the orthogonal series density estimation in $L^2([0,1],μ)$, in this project we consider a new class of functions that we call the approximate sparsity class. This new class is characterized by the rate of decay of the individual Fourier coefficients for a given orthonormal basis. We establish the $L^2([0,1],μ)$ metric entropy of such class, with which we show the minimax rate of convergence. For the density subset in this class, we propose an adaptive density…

序贯自适应实验的有效统计估计及其对自适应设计的启示AI 解读

Adaptive experimental designs have gained popularity in clinical trials and online experiments. Unlike traditional, fixed experimental designs, adaptive designs can dynamically adjust treatment randomization probabilities and other design features in response to data accumulated sequentially during the experiment. These adaptations are useful to achieve diverse objectives, including reducing uncertainty in the estimation of causal estimands or increasing participants'…

用 LIME 与 SHAP 解释时间序列预测：航空旅客数据案例AI 解读

Time-series forecasting underpins critical decisions across aviation, energy, retail and health. Classical autoregressive integrated moving average (ARIMA) models offer interpretability via coefficients but struggle with nonlinearities, whereas tree-based machine-learning models such as XGBoost deliver high accuracy but are often opaque. This paper presents a unified framework for interpreting time-series forecasts using local interpretable model-agnostic explanations (LIME)…

工具变量回归中弱工具稳健推断的统计学指南及 Python 示例AI 解读

We provide an overview of results relating to estimation and weak-instrument-robust inference in instrumental variables regression. Methods are implemented in the ivmodels software package for Python, which we use to illustrate results.

合理量化不确定性：经验贝叶斯歧视检测中的置信区间AI 解读

We revisit empirical Bayes discrimination detection, focusing on uncertainty arising from both partial identification and sampling variability. While prior work has mostly focused on partial identification, we find that some empirical findings are not robust to sampling uncertainty. To better connect statistical evidence to the magnitude of real-world discriminatory behavior, we propose a counterfactual odds-ratio estimand with a attractive properties and interpretation. Our…

评估临床治疗规则效用的非参数界限AI 解读

Evaluating the value of new clinical treatment rules based on patient characteristics is important but often complicated by hidden confounding factors in observational studies. Standard methods for estimating the average patient outcome if a new rule were universally adopted typically rely on strong, untestable assumptions about these hidden factors. This paper tackles this challenge by developing nonparametric bounds - a range of plausible values - for the expected outcome…

不平等研究中不存在的结果：一种因果方法AI 解读

Scholars of social stratification often study exposures that shape life outcomes. But some outcomes (such as wage) only exist for some people (such as those who are employed). We show how a common practice -- dropping cases with non-existent outcomes -- can obscure causal effects when a treatment affects both outcome existence and outcome values. The effects of both beneficial and harmful treatments can be underestimated. Drawing on existing approaches for principal…

元分析中研究内与跨研究的亚组比较AI 解读

Subgroup-specific meta-analysis synthesizes treatment effects for patient subgroups across randomized trials. Methods include joint or separate modeling of subgroup effects and treatment-by-subgroup interactions, but inconsistencies arise when subgroup prevalence differs between studies (e.g., proportion of non-smokers). A key distinction is between study-generated evidence within trials and synthesis-generated evidence obtained by contrasting results across trials. This…

随机实验中实现无偏机器学习协变量调整的条件交叉拟合AI 解读

Randomized experiments are the gold standard for estimating the average treatment effect (ATE). While covariate adjustment can reduce the asymptotic variances of the unbiased Horvitz-Thompson estimators for the ATE, it suffers from finite-sample biases due to data reuse in both prediction and estimation. Traditional sample-splitting and cross-fitting methods can address the problem of data reuse and obtain unbiased estimators. However, they require that the data are…

基于加权 PCA 的高维因子分析AI 解读

Principal component analysis (PCA) is arguably the most widely used approach for large-dimensional factor analysis. While it is effective when the factors are sufficiently strong, it can be inconsistent when the factors are weak and/or the noise has complex dependence structure. We argue that the inconsistency often stems from bias and introduce a general approach to restore consistency. Specifically, we propose a general weighting scheme for PCA and show that with a…

何时可以进行因果推断？未测量混杂的统计检验AI 解读

This paper clarifies a fundamental difference between causal inference and traditional statistical inference by formalizing a mathematical distinction between their respective parameters. We connect two major approaches to causal inference, the potential outcomes framework and causal structure graphs, which are typically studied separately. While the unconfoundedness assumption in the potential outcomes framework cannot be assessed from an observational dataset alone, causal…

时间序列嵌入与预测组合：强化学习方法AI 解读

The forecasting combination puzzle is a well-known phenomenon in forecasting literature, stressing the challenge of outperforming the simple average when aggregating forecasts from diverse methods. This study proposes a Reinforcement Learning - based framework as a dynamic model selection approach to address this puzzle. Our framework is evaluated through extensive forecasting exercises using simulated and real data. Specifically, we analyze the M4 Competition dataset and…

平稳多变量时间序列的条件指定图模型AI 解读

Graphical models are ubiquitous for summarizing conditional relations in multivariate data. In many applications involving multivariate time series, it is of interest to learn an interaction graph that treats each individual time series as nodes of the graph, with the presence of an edge between two nodes signifying conditional dependence given the others. Typically, the partial covariance is used as a measure of conditional dependence. However, in many applications, the…

高维时间序列中具有实际意义的变点：按活跃分量衡量信号强度AI 解读

We consider the change point testing problem for high-dimensional time series. Unlike conventional approaches, where one tests whether the difference $δ$ of the mean vectors before and after the change point is equal to zero, we argue that the consideration of the null hypothesis $H_0:\|δ\|\leΔ$, for some norm $\|\cdot\|$ and a threshold $Δ>0$, is better suited. By the formulation of the null hypothesis as a composite hypothesis, the change point testing problem becomes…

边际上的处理效应：每个人都处于边际AI 解读

This paper develops a framework for identifying treatment effects when a policy simultaneously alters both the incentive to participate and the outcome of interest -- such as hiring decisions and wages in response to employment subsidies; or working decisions and wages in response to job trainings. This framework was inspired by my PhD project on a Belgian reform that subsidised first-time hiring, inducing entry by marginal firms yet meanwhile changing the wages they pay.…

具有信息性处理时点的因果效应估计AI 解读

Epidemiological studies are often concerned with estimating causal effects of a sequence of treatment decisions on survival outcomes. In many settings, treatment decisions do not occur at fixed, pre-specified followup times. Rather, timing varies across subjects in ways that may be informative of subsequent treatment decisions and potential outcomes. Awareness of the issue and its potential solutions is lacking in the literature, which motivate this work. Here, we formalize…

G-HIVE：含隐藏变量的多响应广义线性模型参数估计与近似推断AI 解读

In practice, there often exist unobserved variables, also termed hidden variables, associated with both the response and covariates. Existing works in the literature mostly focus on linear regression with hidden variables. However, when the regression model is non-linear, the presence of hidden variables leads to new challenges in parameter identification, estimation, and statistical inference. This paper studies multivariate response generalized linear models (GLMs) with…

具有延迟治疗效应的随机免疫治疗试验贝叶斯最优二期设计AI 解读

Immunotherapy has transformed cancer treatment, yet its delayed therapeutic effects often lead to non-proportional hazards, rendering many conventional phase II designs underpowered and prone to type I error inflation. To address this issue, we propose a novel Bayesian Optimal Phase II design (DTE-BOP2) that explicitly models the uncertainty in the separation timing of treatment effect. The treatment separation timepoint (denoted by S) is endowed with a truncated-Gamma…