Adaption of bivariate frailty models for prediction, with application to biological markers as prognostic indicators
适用于预测的二元脆弱性模型:生物标志物预后应用AI 解读 ↓
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适用于预测的二元脆弱性模型:生物标志物预后应用AI 解读 ↓
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Serial biological markers are often used in medicine as prognostic indicators. For example, elevated tumour antigen tests presage tumour recurrence; rapid decrease in the CD4 cell counts of HIV + individuals indicate high risk for developing AIDS. Methods for evaluating the usefulness of markers should address how the prediction of future risk is revised, in a way that assists the making of decisions at the time such an indicator is observed. Proportional hazards modelling with time-varying covariates, a common approach, seems unnatural for this purpose because its orientation is explanatory; it addresses the question ‘Is the individual suffering a failure more likely to have had the marker?’, and allows use of all information prior to the failure, rather than the more relevant predictive question ‘Does the appearance of the marker alter the individual's subsequent risk enough to warrant intervention today?’. Frailty models do address this question, but available methods for their analysis make censoring assumptions which are inappropriate in the predictive setting. We adapt frailty models to relevant censoring processes, and propose a predictively oriented test statistic and a related estimation procedure based on summing concurrent martingales, each representing a ‘landmark’ analysis.
检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…
平均处理效应局部化:合成控制中的投影方法
Many real-world policies and business interventions require assessing short-term effects to inform timely decisions, even though most causal inference methods focus on long-term average treatment effects. In this article, we introduce average treatment effect localization (ATEL), which captures localized, short-term policy impacts in panel data settings with a single treated unit and provides early indicators of policy impact. To accommodate both time-varying and nonlinear…
We revisit tail index regressions. For linear specifications, we find that the usual full rank condition can fail because conditioning on extreme outcomes causes regressors to degenerate to constants. Taking this into account, we provide additional regularity conditions and establish the corresponding asymptotic theory. For more general specifications, the conditional distribution of the covariates in the tails concentrates on the values that minimize the tail index. This…
通过正交化自适应估计发现存在混杂的时间序列因果滞后结构
Finding which variables cause which others in multivariate time series, and at what lags, is central to science and policy, yet existing methods force a choice between flexible confounder adjustment, data-driven lag selection, and inference that controls the false discovery rate (FDR). ORACLE-VARX does all three in one pipeline. First, double/debiased machine learning (DML) removes nonlinear confounder effects from the outcomes and the lagged series. Second, adaptive causal…
Google Play 用户评论情绪指数的统计基础:信号融合、收缩、分布验证与动态平滑
The decision problem is whether valence among the users who write reviews of an app has changed enough to warrant investigation of a release, outage, or support issue. We propose a statistical specification for that decision, applied to written Google Play reviews collected under a declared locale, language, sort order, retrieval cap, and window rule. That endpoint returns a selected collection rather than a random sample, so the index describes review writers under the…
预测比较中的不确定性量化
Skill scores, which measure the relative improvement of a forecasting method over a benchmark via consistent scoring functions and proper scoring rules, are a standard tool in forecast evaluation, yet their sampling uncertainty is rarely rigorously quantified. With modern forecasting applications being increasingly multivariate and involving evaluations across multiple horizons, variables, spatial locations, and forecasting methods, standard tools like the pairwise…