Characterization of Best Model-Based Predictors in Survey Sampling
调查抽样中最优模型预测量的刻画AI 解读 ↓
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调查抽样中最优模型预测量的刻画AI 解读 ↓
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This paper presents the necessary and sufficient conditions for the optimality of an arbitrary linear predictor of the total of a finite population in survey sampling under a general linear model with a symmetric and positive-definite covariance matrix. Results of the paper extend and unify earlier work on robust estimation in survey sampling under more restrictive conditions.
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…
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…
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…
多因子线性资产定价模型 GMM 估计中的效率与定价精度权衡
Even though a multi-factor linear asset pricing model can be equivalently represented in a Beta or in a stochastic discount factor (SDF) form, its inferential efficiency and pricing accuracy features may differ when estimated by the generalized method of moments (GMM), both in small and in large samples. We derive the analytical asymptotic variance of the Beta and the SDF estimators under GMM and find that the SDF approach is likely to be less efficient but to yield more…