Kernel-based Adaptive Huber Mean Regression with Heavy Tails and Contamination
重尾与污染下基于核的自适应Huber均值回归AI 解读 ↓
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重尾与污染下基于核的自适应Huber均值回归AI 解读 ↓
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We consider robust conditional mean learning in the mathematical framework of reproducing kernel Hilbert spaces, assuming the errors can be heavy-tailed and at the same time some responses are subject to arbitrary contamination. Simultaneous robustness to both heavy tails and contamination are of interest. When there is no contamination, we establish rates when the (1+θ)-moment ( θ>0) of the error exists, which matches the minimax rate for the least squares regression as soon as θ≥1, although the existing upper bounds for the least squares regression usually assume sub-Gaussian or sub-exponential error distribution. The existence of contamination adds an additional term to the bound. We also consider learning using random features, which is a computationally efficient kernel approximation method to relieve the computational burden of kernel-based learning. We show the same rates can be achieved with the number of random features much smaller than the sample size, extending previous results on random features for least squares kernel regression.
We develop a semiparametric continuous time inferential framework for testing cumulative treatment effects, including both immediate and carryover effects. The latent state process is modeled by an ordinary differential equation (ODE) whose drift depends on state and treatment, while the observed data are noisy measurements of this latent state at irregular, multi resolution time points. We define the average treatment effect (ATE) as the difference of expected cumulative…
RBF 核高斯过程最大似然估计的精确渐近理论
Gaussian processes (GPs) are widely used across machine learning, spatial statistics, time-series analysis, optimization, Bayesian statistics, and scientific applications. A central component of a GP model is its kernel, which is typically specified through a parametric family. Among the most widely used choices is the radial basis function (RBF), also known as the squared exponential or Gaussian kernel, owing to its simple form, smoothness, and flexibility. In practice, the…
自适应 Lasso 解路径单位根检验的自助法改进
We propose sieve wild bootstrap analogues to the adaptive Lasso solution path unit root tests of Arnold and Reinschlüssel (2024) arXiv:2404.06205 to improve finite sample properties and extend their applicability to a generalised framework, allowing for non-stationary volatility. Numerical evidence shows the bootstrap to improve the tests' precision for error processes that promote spurious rejections of the unit root null, depending on the detrending procedure. The…
异质性高维分位数回归的全局推断
Quantile regression has received considerable attention in high dimensional methodology due to its robustness and ability to accommodate heteroskedasticity. Despite this attention, current inferential methods for high dimensional quantile regression have significant limitations---only testing significance, testing at a single quantile at a time, or assuming homoskedasticity. To generalize the inferences that can be drawn in high dimensional quantile regression, we introduce…
Uniform confidence bands are widely used in empirical analysis for uncertainty qualification of nonparametric inference of unknown functions. A variety of simple implementation methods, including multiplier bootstrap, have been proposed and theoretically justified. However, an implementation over a literally continuous index set is generally computationally infeasible, and practitioners therefore compute the critical value by evaluating the statistic on a finite evaluation…
We study nonparametric inference for a continuous-treatment causal dose-response curve and its first derivative under unmeasured confounding, using treatment- and outcome-inducing proxies. We establish a proximal doubly robust pseudo-outcome whose conditional mean given treatment equals the dose-response curve whenever either bridge function is correctly specified. Their (smoothed) efficient influence function representations lead to cross-fitted local-polynomial estimators…