每日简报

This article introduces a framework for evaluating statistical decisions under both prior ambiguity and likelihood misspecification. We begin with an ambiguity set - a frequentist model that pairs a possibly misspecified likelihood with every possible prior - and uniformly expand it by a Kullback-Leibler radius to accommodate likelihood misspecification. We show that optimal decisions under this framework are equivalent to minimax decisions with an exponentially tilted loss…

用于因果推断与模型发现的连续时间集合 Kalman–Bucy 平滑器AI 解读

Data assimilation (DA) integrates observational information with model predictions to improve state estimation in complex systems. While filtering provides the basis for online forecasts by using only past and present observations, it can exhibit delays and biases when the underlying dynamics evolve rapidly or undergo regime transitions. Smoothing, which additionally incorporates future observations, provides a natural pipeline for hindcasting and reanalysis that yields an…

含不可观测异质性的动态离散选择模型序贯估计AI 解读

Unobserved heterogeneity is empirically central in dynamic discrete choice models but computationally costly to incorporate: estimation requires repeatedly solving fixed-point equations for every latent type. We develop EM-NPL($q$), a unified framework combining the sequential pseudo-likelihood (NPL) and finite-mixture Expectation-Maximization (EM) algorithms, truncating the inner solver to $q$ iterations, and accommodating the Bellman, policy valuation, Euler, and Efficient…

基于瞬时波动率的四次变差估计札记AI 解读

We study an estimator of twice the integrated quarticity of a continuous Itô semimartingale, constructed from squared returns and local estimates of spot volatility. For a shrinking estimation window, we establish a functional stable central limit theorem for a bias-corrected version of the estimator. The limiting conditional variance is $56\int_0^t c_s^4\dd s$, where $c$ denotes spot variance. The proof identifies a common martingale approximation for the three components…

目标试验模拟中有效统计推断的样本分割方法AI 解读

\noindent Target trial emulation has improved comparative effectiveness research by making the causal question, assumptions, and analysis plan explicit. However, target trial protocols are usually developed iteratively. That is, after examining the data, investigators revise the protocol to reflect which target trials the observational data can realistically support. This iterative procedure is part of normal scientific practice, but it raises concerns about selective…

含潜变量的多层断点回归模型AI 解读

Regression discontinuity (RD) analysis with latent variables as introduced by Morell et al. (2025), offers a useful augmentation of the conventional RD by incorporating measurement model. This approach is particularly relevant in education research, where noisy proxy (e.g., observed test score) of underlying latent construct is adopted for the running variable. This extension enables extrapolation of average treatment effect (ATE) away from the cutoff score and assessment of…

Under i.i.d. sampling, the maximum score estimator of Manski (1975) converges at the cube-root rate to a non-Gaussian limit. We show that, under multiway dependence and low-level conditions, it is asymptotically normal at a parametric rate in the smallest number of clusters and, when the cluster-level variance is non-degenerate, as fast as regular estimators such as probit. The result rests on a general theory for non-smooth M-estimators, under which a modified bootstrap is…

用于因果分析的预测分解AI 解读

There is rising interest in using Machine Learning (ML) model predictions as outcomes in causal analysis. However, these methods have faced challenges in finding the true treatment effects. It is also challenging to make choices about which prediction models to choose, since we are interested not only in the accuracy of the prediction but in its ability to produce the correct causal effect in the analysis. In this paper I propose a decomposition of the prediction into…

带固定效应的动态面板 Logit 模型识别AI 解读

We show that identification in a general class of dynamic panel logit models with fixed effects is related to the truncated moment problem from the mathematics literature. We use this connection to show that the identified set for structural parameters and functionals of the distribution of latent individual effects can be characterized by a finite set of conditional moment equalities subject to a certain set of shape constraints on the model parameters. In addition to…

多结局因果图的可视分析AI 解读

We introduce a visual analysis method for multiple causal graphs with different outcome variables, namely, multi-outcome causal graphs. Multi-outcome causal graphs are important in healthcare for understanding multimorbidity and comorbidity. To support the visual analysis, we collaborated with medical experts to devise two comparative visualization techniques at different stages of the analysis process. First, a progressive visualization method is proposed for comparing…

带差分隐私的联邦迁移学习AI 解读

Federated learning has emerged as a powerful framework for analysing distributed data, yet two challenges remain pivotal: heterogeneity across sites and privacy of local data. In this paper, we address both challenges within a federated transfer learning framework, aiming to enhance learning on a target data set by leveraging information from multiple heterogeneous source data sets while adhering to privacy constraints. We rigorously formulate the notion of federated…

从时间快照识别漂移、扩散与因果结构AI 解读

Stochastic differential equations (SDEs) are a fundamental tool for modelling dynamic processes, including gene regulatory networks (GRNs), contaminant transport, financial markets, and image generation. However, learning the underlying SDE from data is a challenging task, especially if individual trajectories are not observable. Motivated by burgeoning research in single-cell datasets, we present the first comprehensive approach for jointly identifying the drift and…

用于已实现波动率预测的量子储备池计算AI 解读

Recent advances in quantum computing have demonstrated its potential to significantly enhance the analysis and forecasting of complex classical data. Among these, quantum reservoir computing has emerged as a particularly powerful approach, combining quantum computation with machine learning for modeling nonlinear temporal dependencies in high-dimensional time series. As with many data-driven disciplines, quantitative finance and econometrics can hugely benefit from emerging…

具有半长记忆误差的动态线性回归预测模型AI 解读

Dynamic linear regression models forecast the values of a time series based on a linear combination of a set of exogenous time series while incorporating a time series process for the error term. This error process is often assumed to follow a stationary autoregressive integrated moving average (ARIMA) model, or its seasonal variants, which are unable to capture a long-range dependence structure (long memory) of the error process. We propose a novel dynamic linear regression…

fixest：快速且功能丰富的 R 计量估计框架AI 解读

fixest is an R package for fast and flexible econometric estimation. It provides a unified framework for applied research, with comprehensive support for a diverse class of models: ordinary least squares, instrumental variables, generalized linear models, maximum likelihood, and difference-in-differences. The package particularly excels at fixed-effects estimation, supported by a novel fixed-point acceleration algorithm implemented in C++. This algorithm achieves rapid…

GDP 的时间分解：机器学习何时有帮助？AI 解读

We propose a modular framework for temporal disaggregation of quarterly GDP into monthly frequency, in which the regression step accommodates any supervised learning model while Mariano-Murasawa reconciliation enforces quarterly consistency. Comparing Chow-Lin, Elastic Net, XGBoost, and a Multi-Layer Perceptron across four countries, we find that regularization, not nonlinearity, drives the gains: Elastic Net achieves $R^2 = 0.87$ for the United States when lagged indicators…

主层可忽略性违反时主层因果效应的部分识别AI 解读

Principal stratification is a general framework for studying causal mechanisms involving post-treatment variables. When estimating principal causal effects, the principal ignorability assumption is commonly invoked, which we study in detail in this manuscript. Our first key contribution is studying a commonly used strategy of using parametric models to jointly model the outcome and principal strata without requiring the principal ignorability assumption. We show that even if…

谱 Rényi 散度的稳健性AI 解读

This paper studies a specific class of statistical divergences for spectral densities of time series: the spectral $α$-Rényi divergences, which include the Itakura-Saito divergence as a limiting case. The aim of this paper is to highlight both information-theoretic and statistical properties of spectral $α$-Rényi divergences. We reveal the connection between the spectral $α$-Rényi divergence and the $γ$-divergence in robust statistics, and a variational representation of the…

面向大规模时空数据的贝叶斯时变随机划分模型AI 解读

Spatio-temporal areal data can be seen as a collection of time series which are spatially correlated, according to a specific neighbouring structure. Motivated by a dataset on mobile phone usage in the Metropolitan area of Milan, Italy, we propose a semi-parametric hierarchical Bayesian model allowing for time-varying as well as spatial model-based clustering. Our approach incorporates the notion of regimes that describe changing patterns over work and night hours as well as…

时间序列函数型线性回归的同时推断AI 解读

We consider the problem of joint simultaneous confidence band (JSCB) construction for regression coefficient functions of time series scalar-on-function linear regression when the regression model is estimated by roughness penalization approach with flexible choices of orthonormal basis functions. A simple and unified multiplier bootstrap methodology is proposed for the JSCB construction which is shown to achieve the correct coverage probability asymptotically. Furthermore,…

双重差分模型中的处理变量误分类AI 解读

The difference-in-differences (DID) design is one of the most popular methods used in empirical economics research. However, there is almost no work examining what the DID method identifies in the presence of a misclassified treatment variable. This paper studies the identification of treatment effects in DID designs when the treatment is misclassified. Misclassification arises in various ways, including when the timing of a policy intervention is ambiguous or when…

多类分类的回归新视角AI 解读

Linear Discriminant Analysis (LDA) is a fundamental method for classification. Its simple linear structure facilitates interpretation, and it is naturally suited to multi-class settings. LDA is also closely connected to several classical multivariate techniques, including Fisher's discriminant analysis, canonical correlation analysis, and linear regression. In this paper, we strengthen the connection between LDA and multivariate response regression by establishing an…

惩罚回归中的自由度：自适应惩罚下的模型选择AI 解读

Model selection in penalized regression critically depends on an accurate assessment of model complexity, commonly quantified through the effective degrees of freedom. While the Lasso admits a simple and unbiased characterization, given by the size of the active set, this property does not extend to adaptive penalization methods, despite the widespread use of this approximation in practice. To solve this issue, in this paper we derive a novel unbiased estimator of the…

高维回归中的差分隐私估计与推断及FDR控制AI 解读

This paper proposes new methodologies for conducting practical differentially private (DP) estimation and inference in high-dimensional linear regression. We first introduce a DP Bayesian Information Criterion (DP-BIC) for selecting the unknown sparsity parameter in differentially private sparse linear regression (DP-SLR), eliminating the need for prior knowledge of model sparsity, which is a requisite in the existing literature. Next, we develop the DP debiased algorithm…