Adaptive Penalized Doubly Robust Regression for Longitudinal Data
纵向数据的自适应惩罚双稳健回归AI 解读 ↓
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纵向数据的自适应惩罚双稳健回归AI 解读 ↓
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Longitudinal data often involve heterogeneity, sparse signals, and contamination from response outliers or high-leverage observations especially in biomedical science. Existing methods usually address only part of this problem, either emphasizing penalized mixed effects modeling without robustness or robust mixed effects estimation without high-dimensional variable selection. We propose a doubly adaptive robust regression (DAR-R) framework for longitudinal linear mixed effects models. It combines a robust pilot fit, doubly adaptive observation weights for residual outliers and leverage points, and folded concave penalization for fixed effect selection, together with weighted updates of random effects and variance components. We develop an iterative reweighting algorithm and establish estimation and prediction error bounds, support recovery consistency, and oracle-type asymptotic normality. Simulations show that DAR-R improves estimation accuracy, false-positive control, and covariance estimation under both vertical outliers and bad leverage contamination. In the TADPOLE/ADNI Alzheimer's disease application, DAR-R achieves accurate and stable prediction of ADAS13 while selecting clinically meaningful predictors with strong resampling stability.
通过正则化最优传输推断部分识别矩模型
Many statistical and econometric problems involve parameters defined by moments of a joint distribution when only marginal distributions are observed, leading naturally to partial identification. We develop a methodology for identification, estimation, and inference in the corresponding partially identified GMM model. We characterize the sharp identified set for the parameter of interest via a support-function/optimal-transport (OT) representation. To estimate the identified…
面板数据政策评价方法的预测区间
ABSTRACT We consider the inference on individual and time specific treatment effects on the treated within the framework of panel data approach for programme evaluation. We formulate the target problem as constructing prediction intervals for high‐dimensional linear regressions with weakly dependent data. Post‐LASSO OLS is used for estimation, while dependent wild bootstrap and simple residual bootstrap are used for the construction of prediction intervals. The proposed…
存在偏差时的自助法推断
We consider bootstrap inference for estimators which are (asymptotically) biased. We show that, even when the bias term cannot be consistently estimated, valid inference can be obtained by proper implementations of the bootstrap. Specifically, we show that the prepivoting approach of Beran (1987, 1988), originally proposed to deliver higher-order refinements, restores bootstrap validity by transforming the original bootstrap p-value into an asymptotically uniform random…
纵向数据惩罚分位数回归的野生 bootstrap 推断
The existing theory of penalized quantile regression for longitudinal data has focused primarily on point estimation. In this work, we investigate statistical inference. We propose a wild residual bootstrap procedure and show that it is asymptotically valid for approximating the distribution of the penalized estimator. The model puts no restrictions on individual effects, and the estimator achieves consistency by letting the shrinkage decay in importance asymptotically. The…
共同相关效应估计的正则化方法
Summary Cross‐section average‐augmented panel regressions introduced by Pesaran (2006) have been a popular empirical tool to estimate panel data models with common factors. However, the corresponding common correlated effects (CCEs) estimator can be sensitive to the number of cross‐section averages used and/or the static factor representation for observables. In this paper, we show that most of the corresponding problems documented in the literature can be solved once…
测度线性表示模型中识别、计算与推断的对抗方法
We develop a framework for identification, computation, and inference in econometric models with a linear-in-measures representation. These models express maintained restrictions as moment conditions linear in the joint probability measure of observed and latent inputs, and map that measure linearly to the distribution of outputs, even with nonlinear outcome equations. We construct an adversarial discrepancy function whose zeros characterize the identified set for structural…