Global Inference for High Dimensional Quantile Regression with Heterogeneity
异质性高维分位数回归的全局推断AI 解读 ↓
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异质性高维分位数回归的全局推断AI 解读 ↓
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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 partial penalized Wald and rank score tests for testing linear hypotheses uniformly over a set of quantiles $\mathcal T$ under a heteroskedastic model. We propose globally adaptive local linear approximation (LLA) algorithms for folded concave penalized estimation and show that our global LLA algorithms recover ``testing oracles'' for the full and reduced models with high probability. We then show that our global LLA estimators achieve the $\sqrt{s/n}$ oracle estimation rate uniformly over $\mathcal T$, establish Bahadur representations, and derive asymptotic distributions for the test statistics under the null and local alternatives. We develop a dual formulation incorporating adaptive penalty weights for the rank scores and use the strong oracle property to establish their oracle equivalence. Using empirical process techniques, we derive reference distributions based on suprema of squared Bessel processes, extending partial penalized inference beyond pointwise chi-square calibration.
空间函数对函数分位数回归
This paper introduces a novel penalized spatial function-on-function quantile regression framework for analyzing spatially indexed functional data, bridging a critical gap between spatial functional models and quantile regression. Our work makes three key contributions. First, we propose the first spatial function-on-function quantile regression model that jointly accounts for spatial correlation across curves through a functional spatial autoregressive structure while…
Sinkhorn 处理效应:一种因果最优传输度量
We introduce the Sinkhorn treatment effect, an entropic optimal transport measure of divergence between counterfactual distributions. Unlike classical quantities such as the average treatment effect, this measure captures differences across entire distributions. We analyze this divergence as a statistical functional and show it can be written as a smooth transformation of counterfactual mean embeddings with an appropriate kernel. This characterization allows us to establish…
利用替代指标辅助缺失主要结局的高效跨总体分布与分位数处理效应估计
We study target-population distributional and quantile treatment effects when a source study observes treatment and post-treatment surrogates for all source units but observes a long-run primary outcome only for a validation subset, while the target population contributes only baseline covariates. The target estimands are transported counterfactual distribution functions $ψ_a(y)=P(Y^a\le y\mid R=0)$, their quantiles $q_a(τ)$, and the quantile treatment effect $Δ(τ)=q_1(τ)-q_0(τ)$…
复杂区域上分位数空间变系数模型的估计与推断
This article presents a flexible quantile spatially varying coefficient model (QSVCM) for the regression analysis of spatial data. The proposed model enables researchers to assess the dependence of conditional quantiles of the response variable on covariates while accounting for spatial nonstationarity. Our approach facilitates learning and interpreting heterogeneity in spatial data distributed over complex or irregular domains. We introduce a quantile regression method that…
lpcde:局部多项式条件密度估计与推断
This paper discusses the R package lpcde, which stands for local polynomial conditional density estimation. It implements the kernel-based local polynomial smoothing methods introduced in Cattaneo, Chandak, Jansson, Ma (2024) for statistical estimation and inference of conditional distributions, densities, and derivatives thereof. The package offers mean square error optimal bandwidth selection and associated point estimators, as well as uncertainty quantification based on…
再生核希尔伯特空间上的非参数期望短缺回归估计与推断
Expected shortfall (ES) has emerged as an important metric for characterizing the tail behavior of a random outcome, specifically associated with rarer events that entail severe consequences. In climate science, the threats of flooding and heatwaves loom large, impacting natural environments and human communities. In actuarial studies, a key observation in modeling insurance claim sizes is that features exhibit distinct effects in explaining small and large claims. This…