From Risk Sets to Martingales: A Counting-Process Framework for Event-History Learning
从风险集到鞅:事件史学习的计数过程框架AI 解读 ↓
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从风险集到鞅:事件史学习的计数过程框架AI 解读 ↓
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Counting-process notation separates predictable risk-set information from observed event jumps through decompositions of the form dN(t)=Y(t)alpha(t)dt+dM(t). This article develops a unified event-history learning framework for censored, truncated, recurrent, multistate, and covariate-dependent data. Rather than cataloguing survival methods, the treatment translates each partially observed learning target into five recurring objects: risk process, jump process, compensator, estimating equation, and limiting argument. The framework connects right-censored survival curves, product-integral estimators, bivariate and interval-censored survival estimators, log-rank tests, Cox-Andersen-Gill regression, additive hazards, accelerated failure-time models, panel-count data, landmark prediction, semi-Markov models, Bayesian nonparametric transition models, and instrumental-variable methods. The original contribution is threefold. Computationally, the article turns risk-set sweeps, product-integral updates, interval-likelihood calculations, semi-Markov elapsed-time bookkeeping, Bayesian transition-hazard updating, and cross-fitted validation into reusable algorithms and simulation diagnostics. Theoretically, it gives proof templates for the recurring martingale, likelihood, product-integral, and empirical-process arguments, and proves a new out-of-fold compensator validation identity for cross-fitted censored learners. For applications, it maps biomedical, reliability, operational, economic, financial, literary, historical, and causal survival examples onto the same risk-set and compensator language. The resulting account provides a common mathematical language for deriving, checking, and comparing classical and machine-learning methods for censored, recurrent, and multistate event-history data.
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This paper examines the identification and estimation of heterogeneous treatment effects in event studies, emphasizing the importance of both lagged dependent variables and treatment effect heterogeneity. We show that omitting lagged dependent variables can induce omitted variable bias in the estimated time-varying treatment effects. We develop a novel semiparametric approach based on a short-T dynamic linear panel model with correlated random coefficients, where the…
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Instrumental variable models with repeated endogenous treatments are popular in empirical research using pooled cross-sectional or short panel datasets. This paper proposes a novel semi-parametric approach that explicitly considers 1) path dependency in the contemporaneous treatment effect and 2) a direct carryover effect from past treatments. We demonstrate that when either of these new features is present, the standard two-stage least squares estimator is generally…