Convergence and Consistency Results for Self-Modeling Nonlinear Regression
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自建模非线性回归的收敛与一致性结果AI 解读 ↓
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This paper is concerned with parametric regression models of the form $Y_{ij} = f(t_{ij}, \theta_i) + \text{error}, i = 1, \ldots, n, j = 1, \ldots, T_i$, where the continuous function $f$ may depend nonlinearly on the known regressors $t_{ij}$ and the unknown parameter vectors $\theta_i$. The assumption of an a priori known $f$ is dropped and replaced by the requirement that qualitative information about the structure of the model is available or can be generated by a preliminary exploratory data analysis. This framework--allowing both $f$ and the individual parameter vectors to be unknown--necessitates a detailed discussion of identifiability of model and parameters. A method is then proposed for the simultaneous estimation of $f$ and $\theta_i$ by making use of the prior information. An iterative algorithm simplifying computation of the estimates is presented, and for $\min\{n, T_1, \ldots, T_n\} \rightarrow \infty$ conditions for strong uniform consistency of the resulting estimators of $f$ and strong consistency of the estimators of $\theta_i$ are established. Some examples illustrating the method are included.
Normality pre-tests on reduced-form innovations cannot detect whether two or more underlying structural shocks are Gaussian, and hence cannot detect a failure of identification in non-Gaussian SVARs. We propose a bootstrap-based approach that reveals such a failure. Under the null of valid identification and certain regularity conditions, the conditional bootstrap distribution of the maximum likelihood estimator of the impact matrix is asymptotically normal, so the…
Principal stratification (PS) is a commonly used approach for understanding the mechanisms through which a treatment affects an outcome. The goal of this work is to extend the PS framework to studies with continuous treatments, which introduces a number of both challenges and opportunities in terms of defining causal effects and performing inference. This manuscript provides multiple key methodological contributions: 1) we introduce principal causal estimands for continuous…
Background: Generalized Odds (Gen Odds) provide summaries for ordinal outcomes without requiring the proportional odds assumption. However, conventional Gen Odds compares independently drawn treatment and control outcomes and targets a population-level contrast rather than an individual-level contrast. We developed an individual-level causal formulation of Gen Odds and examined its identification. Methods: We defined the Causal Gen Odds using the joint distribution of…
We develop a semiparametric continuous time inferential framework for testing cumulative treatment effects, including both immediate and carryover effects. The latent state process is modeled by an ordinary differential equation (ODE) whose drift depends on state and treatment, while the observed data are noisy measurements of this latent state at irregular, multi resolution time points. We define the average treatment effect (ATE) as the difference of expected cumulative…
We study inference for continuous linear functionals of solutions to ill-posed inverse problems, including Euclidean parameters arising in nonparametric instrumental variables, proximal causal inference, and shadow-variable models. Although pointwise root-$n$ inference is possible under standard conditions, we show that this need not translate into locally reliable inference. Under a model imposing only minimal regularity conditions, the target is Hellinger discontinuous…
近端估计与推断
Abstract We develop a convex-analytic framework for constructing and analyzing a broad class of penalized estimators. Our method defines penalized estimators by applying proximal operators to benchmark estimators, rather than by penalizing the benchmark criterion itself. We establish general finite-sample properties, derive unified asymptotic distribution results, and provide tractable conditions for oracle selection and oracle asymptotic efficiency. We then apply the…