每日简报

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…

稠密精度矩阵估计的非渐近框架：复杂度、信号与双重下降AI 解读

Precision matrix estimation is a cornerstone concept in statistics, economics, and finance. Despite advances in recent years, estimation methods that are simultaneously (i) dense, (ii) consistent, and (iii) model-free are lacking. While each of these targets can be met separately, achieving them together is challenging.We address this gap by introducing a general class of estimators that unifies these features within a nonasymptotic framework, allowing for explicit…

逐步放量即可：网络干扰下 A/B 测试回归估计量的去偏AI 解读

Network interference complicates A/B testing on online platforms, such as social networks and marketplaces, where causal methods based on single experiments often suffer from significant bias due to complex interference patterns. This paper demonstrates the statistical benefits of merging data from multiple experiments with varying treatment proportions. Sequential experimentation with increasing traffic, or ramp-up, is widely used in tech companies for risk management and…

整群随机试验中依从效应与网络因果效应的识别和有效估计AI 解读

Treatment noncompliance is pervasive in infectious disease cluster-randomized trials. Although all individuals within a cluster are assigned the same treatment condition, the treatment uptake status may vary across individuals due to noncompliance. We propose a semiparametric framework to evaluate the individual compliance effect and network assignment effect within principal stratum exhibiting different patterns of noncompliance. The individual compliance effect captures…

含时变中介变量与滞后结果的双重差分模型AI 解读

We study difference-in-differences (DiD) designs in which a binary treatment changes an endogenous time-varying (continuous, discrete, or mixed) mediator that in turn affects an outcome. We allow for the inclusion of lagged outcomes in the model. Under our model assumptions, we show that the usual DiD estimand mixes the average direct effect on the treated, the average indirect effect, and a trend bias term. A two-way fixed effects (TWFE) regression that controls for the…

多元结果非可分工具变量模型的识别与估计AI 解读

This paper proposes a novel nonseparable instrumental variable model to address endogeneity in settings with multivariate outcomes. While traditional approaches typically estimate separate one-dimensional quantile models for each outcome, the inherent correlation among different dimensions frequently invalidates their fundamental assumptions. To overcome this limitation, our framework jointly models the distribution of multiple outcomes. By assuming that the structural…

核设定检验的数据驱动调参：选择渐近理论、有效性与功效AI 解读

We develop model checks for conditional moment restrictions whose tuning parameters, the kernel bandwidth and the regularization level, are selected by cross-validation. The tests regress the estimated residuals on the covariates via kernel ridge regression (KRR), yielding a coefficient function in a reproducing kernel Hilbert space (RKHS) that vanishes under the null and is nonzero for any misspecification not annihilated by the Neyman projection. Our central contribution…

BGM-IV：面向高维协变量工具变量回归的贝叶斯生成建模AI 解读

Instrumental-variable (IV) regression enables causal estimation under endogeneity, but modern IV problems often involve nonlinear structural effects and high-dimensional covariates. Existing methods typically operate in observed or generic learned feature spaces, and they often yield point estimates without uncertainty quantification. We introduce BGM-IV, a Bayesian generative modeling approach that performs nonlinear IV regression through posterior inference in a causally…

大面板中的简洁、无需特定参数设定的因果推断AI 解读

We propose a simple and transparent approach to causal inference using panel data with a large number of units and periods. Instead of imposing a particular parametric specification on the untreated potential outcomes, we assume they follow a nonparametric nonseparable factor model. We use long pre-treatment outcome histories to construct a measure of similarity between the latent factors of different units. Using this measure, we impute missing counterfactual means and…

通过Johnson–Lindenstrauss变换实现差分隐私Model-X KnockoffsAI 解读

We introduce a novel privatization framework for high-dimensional controlled variable selection. Our framework enables rigorous False Discovery Rate (FDR) control under differential privacy constraints. While the Model-X knockoff procedure provides FDR guarantees by constructing provably exchangeable ``negative control" features, existing privacy mechanisms like Gaussian noise injection disrupt its core exchangeability conditions. In this work we consider privatizing the…

贝叶斯神经网络辅助多处理混合治愈生存模型：儿科肿瘤应用AI 解读

Estimating covariate-conditional treatment effects in multi-arm oncology studies is complicated when treatment arms have common distributional features and a non-negligible fraction of patients achieve long-term remission. We propose a joint mixture cure model with covariate-dependent mixtures of log-normal kernels with treatment-specific inclusions. Both linear and neural-network-assisted non-linear covariate links are proposed. Specifically, the susceptible survival…

Large language models are increasingly used to classify text at scale. Because their outputs are stochastic, it is common to query a model several times per item and aggregate the results, and latent class models offer a principled way to convert such repeated ratings into estimates of outcome prevalence and of the model's error rates. These models assume that repeated ratings of the same item are conditionally independent given the true label. We examine this assumption…

处理是否有益？有序结局因果推断的贝叶斯方法AI 解读

Randomized experiments with ordinal outcomes are common across scientific applications, but conventional causal estimands such as the average treatment effect are difficult to interpret because ordinal categories lack meaningful numerical spacing. Two interpretable estimands, the probabilities that the treatment is beneficial and strictly beneficial, depend on the joint distribution of the potential outcomes and are therefore not identifiable from observed data. The sharp…

具有平稳有向无环图结构的高维时间序列贝叶斯推断AI 解读

In multivariate time series analysis, understanding the underlying causal relationships among variables is often of interest for various applications. Directed acyclic graphs (DAGs) provide a powerful framework for representing causal dependencies. This paper proposes a novel Bayesian approach for modeling multivariate time series where conditional independencies and causal structure are encoded by a DAG. The proposed model allows structural properties such as stationarity…

高维波动率模型的稳健且可扩展估计AI 解读

This paper introduces a robust and computationally efficient estimation framework for high-dimensional volatility models in the BEKK-ARCH class. The proposed approach employs data truncation to ensure robustness against heavy-tailed distributions and utilizes a regularized least squares method for efficient optimization in high-dimensional settings. Non-asymptotic error bounds are established for the resulting estimators under heavy-tailed regimes, and the minimax optimal…

因果状态依赖局部投影AI 解读

State-dependent local projections (LPs) are widely used to study how causal effects vary as a function of economic states, but shock exogeneity alone does not identify this response function. We show that identification follows when the underlying conditional mean is linear in the shock with a state-dependent coefficient, a condition satisfied in canonical micro-macro environments, including first-order perturbation solutions of heterogeneous-agent and macro-finance models.…

部分干扰与增量倾向得分政策下的高效双重差分估计AI 解读

This paper develops efficient difference-in-differences (DID) estimation under partial interference with a cluster incremental propensity score (CIPS) policy. We define direct and spillover average treatment effects on the treated, establish their identification, and derive their efficient influence functions, from which we construct a cross-fitted estimator. Simulations evaluate its finite-sample performance. An application to China's New Rural Pension Scheme recovers the…

用于企业生存预测的高维删失 MIDAS 逻辑回归AI 解读

This paper addresses the challenge of forecasting corporate distress, a problem marked by three key statistical hurdles: (i) right censoring, (ii) high-dimensional predictors, and (iii) mixed-frequency data. To overcome these complexities, we introduce a novel high-dimensional censored MIDAS (Mixed Data Sampling) logistic regression. Our approach handles censoring through inverse probability weighting and achieves accurate estimation with numerous mixed-frequency predictors…

组成型双重差分AI 解读

Many causal questions involve outcomes distributed across mutually exclusive categories, such as votes by party, employment by status, or electricity generation by energy source, where researchers care about both the shares and the total quantity. It is well known that linear Difference-in-Differences (DiD) methods applied to category shares can produce incoherent counterfactuals and lack a discrete-choice foundation. This paper develops Compositional…

存在低报的有序选择模型中的变化中变化方法AI 解读

We develop a Difference-in-Differences framework for discrete, ordered outcomes subject to underreporting. Such outcomes commonly arise in self-reported surveys on socially undesirable or stigmatized behaviors, where respondents may conceal their true behavior. For a discrete Changes-in-Changes model that is shown to admit an equivalent threshold-crossing representation, we derive nonparametric bounds for the counterfactual and factual outcome distributions as well as for…

分位数网络向量自回归中的双向同质性分组AI 解读

We propose a two-way grouped network quantile (TGNQ) autoregression model for time series data observed on networks with substantial heterogeneity and complex directional interactions. Motivated by prior studies on network effects in directed networks, our model assigns each node two latent group memberships to flexibly capture asymmetric and heterogeneous interactions among users. These memberships, along with model parameters, can be consistently estimated using the…

函数型时间序列的近似因子模型AI 解读

We propose a novel approximate factor model tailored for analyzing time-dependent curve data. Our model decomposes such data into two distinct components: a low-dimensional predictable factor component and an unpredictable error term. These components are identified through the autocovariance structure of the underlying functional time series. The model parameters are consistently estimated using the eigencomponents of a cumulative autocovariance operator and an information…

类别数据的稳健估计与推断AI 解读

Categorical data pose a distinctive robustness challenge: contingency-table cells need not have a meaningful magnitude, ordering, or metric, so departures must instead be assessed through discrepancies between observed cell frequencies and model-implied probabilities. We develop $C$-estimation, a unifying framework for robust estimation in structured categorical models. $C$-estimation limits the influence of large frequency discrepancies and can be applied to unconditional,…

仅含当前治疗的 Cox 模型在因果推断中的局限AI 解读

Cox models with time-varying treatments often include only the current treatment level. Translating such a model into causally meaningful intervention-specific survival probabilities relies on the Markov property: that the hazard is independent of treatment history conditional on current treatment. For the Markov property to not be population-specific, it needs to hold also conditional on any unmeasured prognostic heterogeneity (frailty). Using a discrete-time argument,…