Analysis of Dispersion with Incomplete Observations on One of the Characters
单个变量观测不完整时的多元离散分析AI 解读 ↓
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Summary In analysis of dispersion (multivariate generalization of the analysis of variance) Wilks' A criterion for testing hypotheses on all the multiple characters simultaneously cannot be applied if some observations on one or more of the characters are missing. In this article is provided a suitable criterion when data become incomplete due to missing observations in one of the characters only. This is the likelihood ratio criterion with a slight modification. The exact moments of this criterion have been found and the distribution has been exhibited in an asymptotic series with the first few terms providing a powerful approximation. Using only the first term one Chi-square and two variance ratio approximations have been suggested, and the Chi-square approximation is recommended for use as the other approximations by themselves without correction terms seem to distort the probabilities.
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
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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…