Continuum Regression is Not Always Continuous
连续统回归并不总是连续AI 解读 ↓
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连续统回归并不总是连续AI 解读 ↓
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SUMMARY Continuum regression (CR) is regression of a response y on that linear combination t γ of explanatory variables which maximizes r 2(y, t) var(t)γ, where γ is chosen from a continuum of candidates. CR includes several common methods as special cases: ordinary least squares, principal component regression, partial least squares and a modified ridge regression. We demonstrate that CR, despite its name, can yield a predictor that is a discontinuous function of γ and of the calibration data. We illustrate this with a set of real data. The relationship between CR and ridge regression is the key to understanding this phenomenon.
Schmelzer and Hastie prove that Markowitz's Critical Line Algorithm and the LASSO path trace the same curve. This companion note checks that result numerically with a stock LASSO solver, \texttt{lars\_path} from \texttt{scikit-learn}, and no portfolio software. It covers long--short portfolios under a leverage cap, fixed leverage with varying risk appetite, and the classical long-only, fully invested frontier. Every corner the path returns meets its own optimality conditions…
We propose a dynamic multiplicative factor model for process data arising from complex problem-solving items, an emerging type of data in large-scale educational assessment. The proposed model can be viewed as an extension of the classical frailty models developed in survival analysis for multivariate recurrent event times, but with two important distinctions: (i) the factor (frailty) is of primary interest; (ii) covariates are internal and embedded in the factor. It allows…
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In Bayesian inference problems with non-Gaussian observation noise, the posterior is only as accurate as the noise density, and gradient-based samplers need that density and its gradient evaluable pointwise, whether from an explicit expression or from code, and without an inner solve. We propose Copula Active Subspaces (CAS) to represent this noise density. A componentwise rank transform isolates the noise law's dependence in its copula, and a rank-$r$ reduction keeps only…
商品风险的构成:微观、市场与全经济来源
We study the anatomy of commodity risk by distinguishing micro, market-level, and economy-wide sources. We develop a two-stage "divide-and-conquer" framework that allows sensitivities to these risk sources to vary across commodities while treating economy-wide risk as latent. The first stage uses defactored instrumental-variable estimation to recover commodity-specific sensitivities to micro and market conditions. The second combines principal components with…