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异质性策略主体下的实例自适应假设检验AI 解读

We study hypothesis testing over a heterogeneous population of strategic agents with private information. Any single test applied uniformly across the population yields statistical error that is sub-optimal relative to the performance of an oracle given access to the private information. We show how it is possible to design menus of statistical contracts that pair type-optimal tests with payoff structures, inducing agents to self-select according to their private…

交错实施下的推断：以《平价医疗法案》为例AI 解读

Panel data consists of a collection of $N$ units that are observed over $T$ units of time. A policy or treatment is subject to staggered adoption if different units take on treatment at different times and remains treated (or never at all). Assessing the effectiveness of such a policy requires estimating the treatment effect, corresponding to the difference between outcomes for treated versus untreated units. We develop inference procedures that build upon a computationally…

代理训练辅助的预测AI 解读

We study a class of prediction problems in which relatively few observations have associated responses, but all observations include both standard covariates as well as additional "helper" covariates. While the end goal is to make high-quality predictions using only the standard covariates, helper covariates can be exploited during training to improve prediction. Helper covariates arise in many applications, including forecasting in time series; incorporation of biased or…

工具变量：非渐近视角AI 解读

We provide a non-asymptotic analysis of the linear instrumental variable estimator allowing for the presence of exogeneous covariates. In addition, we introduce a novel measure of the strength of an instrument that can be used to derive non-asymptotic confidence intervals. For strong instruments, these non-asymptotic intervals match the asymptotic ones exactly up to higher order corrections; for weaker instruments, our intervals involve adaptive adjustments to the instrument…

缺失面板数据的逐元素推断：一种简单且实例最优的方法AI 解读

Longitudinal or panel data can be represented as a matrix with rows indexed by units and columns indexed by time. We consider inferential questions associated with the missing data version of panel data induced by staggered adoption. We propose a computationally efficient procedure for estimation, involving only simple matrix algebra and singular value decomposition, and prove non-asymptotic and high-probability bounds on its error in estimating each missing entry. By…

随机实验中一般回归调整的去相关方法AI 解读

We study regression adjustment with general function class approximations for estimating the average treatment effect in the design-based setting. Standard regression adjustment involves bias due to sample re-use, and this bias leads to behavior that is sub-optimal in the sample size, and/or imposes restrictive assumptions. Our main contribution is to introduce a novel decorrelation-based approach that circumvents these issues. We prove guarantees, both asymptotic and…

双重高维情境老虎机：用于产品组合与定价联合决策的可解释模型AI 解读

Key challenges in running a retail business include how to select products to present to consumers (the assortment problem), and how to price products (the pricing problem) to maximize revenue or profit. Instead of considering these problems in isolation, we propose a joint approach to assortment-pricing based on contextual bandits. Our model is doubly high-dimensional, in that both context vectors and actions are allowed to take values in high-dimensional spaces. In order…

何时估计倾向得分更好？高维分析与偏差校正AI 解读

Anecdotally, using an estimated propensity score is superior to the true propensity score in estimating the average treatment effect based on observational data. However, this claim comes with several qualifications: it holds only if propensity score model is correctly specified and the number of covariates $d$ is small relative to the sample size $n$. We revisit this phenomenon by studying the inverse propensity score weighting (IPW) estimator based on a logistic model with…

自适应线性回归中的近最优推断AI 解读

When data is collected in an adaptive manner, even simple methods like ordinary least squares can exhibit non-normal asymptotic behavior. As an undesirable consequence, hypothesis tests and confidence intervals based on asymptotic normality can lead to erroneous results. We propose a family of online debiasing estimators to correct these distributional anomalies in least squares estimation. Our proposed methods take advantage of the covariance structure present in the…

线性泛函的离策略估计：半参数效率的非渐近理论AI 解读

The problem of estimating a linear functional based on observational data is canonical in both the causal inference and bandit literatures. We analyze a broad class of two-stage procedures that first estimate the treatment effect function, and then use this quantity to estimate the linear functional. We prove non-asymptotic upper bounds on the mean-squared error of such procedures: these bounds reveal that in order to obtain non-asymptotically optimal procedures, the error…

含噪声与缺失数据的高维回归：非凸性下的可证保证AI 解读

Although the standard formulations of prediction problems involve fully-observed and noiseless data drawn in an i.i.d. manner, many applications involve noisy and/or missing data, possibly involving dependence, as well. We study these issues in the context of high-dimensional sparse linear regression, and propose novel estimators for the cases of noisy, missing and/or dependent data. Many standard approaches to noisy or missing data, such as those using the EM algorithm,…