A mixture of distributed lag non-linear models to account for spatially heterogeneous exposure-lag-response associations
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Environmental exposures, such as air pollution and extreme temperatures, have complex effects on human health. These effects are often characterized by non-linear exposure-lag-response relationships and delayed impacts over time. Accurately capturing these dynamics is crucial for informing public health interventions. The Distributed Lag Non-Linear Model (DLNM) is a flexible statistical framework for estimating such effects in epidemiological research. However, standard DLNM implementations typically assume a homogeneous exposure-lag-response association across the study region, overlooking potential spatial heterogeneity, which can lead to biased risk estimates. To address this limitation, we introduce DLNM-Clust: a novel mixture of DLNMs that extends the traditional DLNM. Within a Bayesian framework, DLNM-Clust probabilistically assigns each geographic unit to one of $C$ latent spatial clusters, each of which is defined by a distinct DLNM specification. This approach allows capturing both common patterns and singular deviations in the exposure-lag-response surface. We demonstrate the method using municipality-level time-series data on the relationship between air pollution and the incidence of COVID-19 in Belgium. Our results emphasize the importance of spatially aware modeling strategies in environmental epidemiology, facilitating region-specific risk assessment and supporting the development of targeted public health initiatives.
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We propose a Bayesian generalized network autoregressive (BGNAR) model for multivariate time series whose component series are associated with the nodes of a known network. The proposed framework combines the parsimonious network structure of the generalized network autoregressive (GNAR) model with structured shrinkage and persistence priors adapted from Bayesian vector autoregressive (BVAR) modeling. We adapt Minnesota-type shrinkage to both own-lag and network-lag…
用于非线性时间序列的贝叶斯分位数深度回声状态网络
Conditional quantiles are central to asymmetric decision losses, tail-risk assessment, and interval forecasts, but Bayesian quantile regression for nonlinear time series can be difficult when the temporal feature vector is high-dimensional. We develop the quantile deep echo state network (Q-DESN), a Bayesian quantile regression model conditional on fixed features generated by a deep echo state network. Conditional on a specified reservoir construction and feature map,…
学习宏观经济语言
We show how state-of-the-art large language models (LLMs) can be trained effectively on limited historical data for macroeconomic forecasting. We estimate a dynamic stochastic general equilibrium (DSGE) model with stochastic volatility and Student-t shocks on an initial segment of the data to obtain a posterior distribution over structural parameters. We sample from this posterior to generate millions of theory-consistent synthetic panels that, when mixed with macroeconomic…
用 BAND 缓解维度灾难:高维非参数分布估计
Minimax-optimal rates for multivariate distribution estimation are known to suffer from the curse of dimensionality. We propose a sparse Bayesian network approach in which each conditional probability is estimated using sparsity-aware conditional mean methods. The resulting estimator, \textit{BAyesian Network Distribution regression} (BAND), handles mixed data types in high-dimensional time series and achieves polynomial total variation convergence rates while allowing the…
时间序列政策决策中的计量方法与因果结构学习:英国新冠政策证据
Causal machine learning (ML) recovers graphical structures that inform us about potential cause-and-effect relationships. Most progress has focused on cross-sectional data with no explicit time order, whereas recovering causal structures from time series data remains the subject of ongoing research in causal ML. In addition to traditional causal ML, this study assesses econometric methods that some argue can recover causal structures from time series data. The use of these…
Summary The synthetic control method (SCM) is widely used for causal inference with panel data, particularly when the number of treated units is small. It relies on the stable unit treatment value assumption, ruling out spillover effects. However, interventions often affect not only treated but also untreated units. This study proposes a novel panel data method that extends the standard SCM to account for spillovers and estimate both treatment and spillover effects. The…