Inverting Regional Sensitivity Analysis to reveal sensitive model behaviors
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We address the question of sensitivity analysis for model outputs of any dimension using Regional Sensitivity Analysis (RSA). Classical RSA computes sensitivity indices related to the impact of model inputs variations on the occurrence of a target region of the model output space. In this work, we invert this perspective by proposing to find, for a given target model input, the region whose occurrence is best explained by the variations of this input. When it exists, this region can be seen as a model behavior which is particularly sensitive to the variations of the model input under study. We name this method iRSA (for inverse RSA). iRSA is formalized as an optimization problem using region-based sensitivity indices and solved using dedicated numerical algorithms. Using analytical and numerical examples, including an environmental model producing time series, we show that iRSA can provide a new graphical and interpretable characterization of sensitivity for model outputs of various dimensions.
Joint-event forecasts combine an estimated dependence model with current marginal forecasts. Retaining historical transforms at the marginal fits available when each outcome arrived creates overlapping estimation errors. We derive their joint influence with the terminal estimates in a stable Vine Copula VAR with normal innovation margins and a fixed, correctly specified Gaussian or positive Clayton vine. An intercept identity and the stable VAR filter reduce the historical…
Wigner 矩阵时间序列的相变监测
We develop methodology and theory for the detection of a phase transition in a time-series of high-dimensional random matrices. In the model we study, at each time point \( t = 1,2,\ldots \), we observe a deformed Wigner matrix \( \mathbf{M}_t \), where the unobservable deformation represents a latent signal. This signal is detectable only in the supercritical regime, and our objective is to detect the transition to this regime in real time, as new matrix--valued…
I study randomization inference for dynamic causal effects in panels with many units and few periods when treatment is endogenous and an instrument is as good as randomly assigned only through the innovations of a first-order autoregressive assignment mechanism with unknown persistence. The persistence is a nuisance parameter in two senses: it determines which weighted average of heterogeneous causal effects the instrumented local projection estimand measures, and it governs…
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…
Two frequent approaches for identifying structural VARs are external instruments, which carry economic content but are often weak, and non-Gaussianity of the shocks, which provides statistical identification but carries no economic meaning. We combine the two strategies in a single generalized method of moments framework. This hybrid approach point-identifies the target shocks while also identifying the non-target shocks up to sign and ordering. Under suitable rank…
多层主效应矩阵因子模型
We propose a multilevel main effects matrix factor model (MMEFM) to extract meaningful row and column effects from groups of matrix data. As a generalization of a multilevel matrix factor model, we provide rigorous definitions of MMEFM and identifications, together with iterative algorithms for the estimators of all global and local components in the main effects and common component, including global/local main effects and core ranks, with rates of convergence spelt out. An…