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分组面板数据模型的谱估计与后谱估计AI 解读

In this paper, we develop spectral and post-spectral estimators for grouped panel data models. Both estimators are consistent in the asymptotics where the number of observations $N$ and the number of time periods $T$ simultaneously grow large. In addition, the post-spectral estimator is $\sqrt{NT}$-consistent and asymptotically normal with mean zero under the assumption of well-separated groups even if $T$ is growing much slower than $N$. The post-spectral estimator has,…

合成控制法的预测变量选择AI 解读

Synthetic control methods often rely on matching pre-treatment characteristics (called predictors) of the treated unit. The choice of predictors and how they are weighted plays a key role in the performance and interpretability of synthetic control estimators. This paper proposes the use of a sparse synthetic control procedure that penalizes the number of predictors used in generating the counterfactual to select the most important predictors. We derive, in a linear factor…

探究 SINDy 作为时间序列信号因果发现工具的潜力AI 解读

The SINDy algorithm has been successfully used to identify the governing equations of dynamical systems from time series data. In this paper, we argue that this makes SINDy a potentially useful tool for causal discovery and that existing tools for causal discovery can be used to dramatically improve the performance of SINDy as tool for robust sparse modeling and system identification. We then demonstrate empirically that augmenting the SINDy algorithm with tools from causal…

条件矩模型的谱表示学习AI 解读

Many problems in causal inference and economics can be formulated in the framework of conditional moment models, which characterize the target function through a collection of conditional moment restrictions. For nonparametric conditional moment models, efficient estimation often relies on preimposed conditions on various measures of ill-posedness of the hypothesis space, which are hard to validate when flexible models are used. In this work, we address this issue by…

因果推断中的双重稳健模型选择准则AI 解读

The semiparametric estimation approach, which includes inverse-probability-weighted and doubly robust estimation using propensity scores, is a standard tool in causal inference, and it is rapidly being extended in various directions. On the other hand, although model selection is indispensable in statistical analysis, an information criterion for selecting an appropriate regression structure has just started to be developed. In this paper, based on the original definition of…

条件期望函数之比的正交级数估计AI 解读

In various fields of data science, researchers are often interested in estimating the ratio of conditional expectation functions (CEFR). Specifically in causal inference problems, it is sometimes natural to consider ratio-based treatment effects, such as odds ratios and hazard ratios, and even difference-based treatment effects are identified as CEFR in some empirically relevant settings. This chapter develops the general framework for estimation and inference on CEFR, which…

DeepMed：利用去偏深度学习开展半参数因果中介分析AI 解读

Causal mediation analysis can unpack the black box of causality and is therefore a powerful tool for disentangling causal pathways in biomedical and social sciences, and also for evaluating machine learning fairness. To reduce bias for estimating Natural Direct and Indirect Effects in mediation analysis, we propose a new method called DeepMed that uses deep neural networks (DNNs) to cross-fit the infinite-dimensional nuisance functions in the efficient influence functions.…

重尾变量与混杂因素的因果建模：河流流量应用AI 解读

Confounding variables are a recurrent challenge for causal discovery and inference. In many situations, complex causal mechanisms only manifest themselves in extreme events, or take simpler forms in the extremes. Stimulated by data on extreme river flows and precipitation, we introduce a new causal discovery methodology for heavy-tailed variables that allows the effect of a known potential confounder to be almost entirely removed when the variables have comparable tails, and…

存在私人信息的人类引导人机交互中的离线强化学习AI 解读

Motivated by the human-machine interaction such as training chatbots for improving customer satisfaction, we study human-guided human-machine interaction involving private information. We model this interaction as a two-player turn-based game, where one player (Alice, a human) guides the other player (Bob, a machine) towards a common goal. Specifically, we focus on offline reinforcement learning (RL) in this game, where the goal is to find a policy pair for Alice and Bob…

未测量混杂下个体化处理规则的近端学习AI 解读

Data-driven individualized decision making has recently received increasing research interests. Most existing methods rely on the assumption of no unmeasured confounding, which unfortunately cannot be ensured in practice especially in observational studies. Motivated by the recent proposed proximal causal inference, we develop several proximal learning approaches to estimating optimal individualized treatment regimes (ITRs) in the presence of unmeasured confounding. In…

利用去偏机器学习估计城市交通对行人过街行为的因果效应AI 解读

Before the transition of AVs to urban roads and subsequently unprecedented changes in traffic conditions, evaluation of transportation policies and futuristic road design related to pedestrian crossing behavior is of vital importance. Recent studies analyzed the non-causal impact of various variables on pedestrian waiting time in the presence of AVs. However, we mainly investigate the causal effect of traffic density on pedestrian waiting time. We develop a Double/Debiased…

水力压裂后煤层气井产量预测模型的可解释性与因果发现AI 解读

Machine learning approaches are widely studied in the production prediction of CBM wells after hydraulic fracturing, but merely used in practice due to the low generalization ability and the lack of interpretability. A novel methodology is proposed in this article to discover the latent causality from observed data, which is aimed at finding an indirect way to interpret the machine learning results. Based on the theory of causal discovery, a causal graph is derived with…

因果估计量的样本外评分与自动选择AI 解读

Recently, many causal estimators for Conditional Average Treatment Effect (CATE) and instrumental variable (IV) problems have been published and open sourced, allowing to estimate granular impact of both randomized treatments (such as A/B tests) and of user choices on the outcomes of interest. However, the practical application of such models has ben hampered by the lack of a valid way to score the performance of such models out of sample, in order to select the best one for…

组合因果多臂老虎机AI 解读

In combinatorial causal bandits (CCB), the learning agent chooses at most $K$ variables in each round to intervene, collects feedback from the observed variables, with the goal of minimizing expected regret on the target variable $Y$. We study under the context of binary generalized linear models (BGLMs) with a succinct parametric representation of the causal models. We present the algorithm BGLM-OFU for Markovian BGLMs (i.e. no hidden variables) based on the maximum…

连接计量经济学与连续最大熵网络模型AI 解读

In the study of economic networks, econometric approaches interpret the traditional Gravity Model specification as the expected link weight coming from a probability distribution whose functional form can be chosen arbitrarily, while statistical-physics approaches construct maximum-entropy distributions of weighted graphs, constrained to satisfy a given set of measurable network properties. In a recent, companion paper, we integrated the two approaches and applied them to…

利用分层对二元结局进行预后协变量调整AI 解读

Covariate adjustment and methods of incorporating historical data in randomized clinical trials (RCTs) each provide opportunities to increase trial power. We unite these approaches for the analysis of RCTs with binary outcomes based on the Cochran-Mantel-Haenszel (CMH) test for marginal risk ratio (RR). In PROCOVA-CMH, subjects are stratified on a single prognostic covariate reflective of their predicted outcome on the control treatment (e.g. placebo). This prognostic score…

基于机器学习的稳健价格敏感度估计及航空定价应用AI 解读

We consider the problem of dynamic pricing of a product in the presence of feature-dependent price sensitivity. Developing practical algorithms that can estimate price elasticities robustly, especially when information about no purchases (losses) is not available, to drive such automated pricing systems is a challenge faced by many industries. Based on the Poisson semi-parametric approach, we construct a flexible yet interpretable demand model where the price related part is…

模型皆有误，何者有用？有限样本中参数与非参数因果效应估计的比较AI 解读

There is a long-standing debate in the statistical, epidemiological and econometric fields as to whether nonparametric estimation that uses data-adaptive methods, like machine learning algorithms in model fitting, confer any meaningful advantage over simpler, parametric approaches in real-world, finite sample estimation of causal effects. We address the question: when trying to estimate the effect of a treatment on an outcome, across a universe of reasonable data…

极端依赖结构的因果协变量发现AI 解读

Determining the causes of extreme events is a fundamental question in many scientific fields. An important aspect when modelling multivariate extremes is the tail dependence. In application, the extreme dependence structure may significantly depend on covariates. As for the general case of modelling including covariates, only some of the covariates are causal. In this paper, we propose a methodology to discover the causal covariates explaining the tail dependence structure…

用于分析自由贸易协定决定因素的二元组双重去偏机器学习AI 解读

This paper presents novel methods and theories for estimation and inference about parameters in econometric models using machine learning for nuisance parameters estimation when data are dyadic. We propose a dyadic cross fitting method to remove over-fitting biases under arbitrary dyadic dependence. Together with the use of Neyman orthogonal scores, this novel cross fitting method enables root-$n$ consistent estimation and inference robustly against dyadic dependence. We…

用加权 z 差衡量倾向得分加权分析的协变量平衡AI 解读

Propensity score (PS) methods have been increasingly used in recent years when assessing treatment effects in nonrandomized studies. In terms of statistical methods, a number of new PS weighting methods were developed, and it was shown that they can outperform PS matching in efficiency of treatment effect estimation in different simulation settings. For assessing balance of covariates in treatment groups, PS weighting methods commonly use the weighted standardized…

面板数据平均治疗效应的稳健估计AI 解读

In order to evaluate the impact of a policy intervention on a group of units over time, it is important to correctly estimate the average treatment effect (ATE) measure. Due to lack of robustness of the existing procedures of estimating ATE from panel data, in this paper, we introduce a robust estimator of the ATE and the subsequent inference procedures using the popular approach of minimum density power divergence inference. Asymptotic properties of the proposed ATE…

有序数据的因果结构发现AI 解读

Causal discovery for purely observational, categorical data is a long-standing challenging problem. Unlike continuous data, the vast majority of existing methods for categorical data focus on inferring the Markov equivalence class only, which leaves the direction of some causal relationships undetermined. This paper proposes an identifiable ordinal causal discovery method that exploits the ordinal information contained in many real-world applications to uniquely identify the…

持续时间结局上动态治疗效应的工具变量估计AI 解读

This paper considers identification and estimation of the causal effect of the time Z until a subject is treated on a survival outcome T. The treatment is not randomly assigned, T is randomly right censored by a random variable C and the time to treatment Z is right censored by min(T,C). The endogeneity issue is treated using an instrumental variable explaining Z and independent of the error term of the model. We study identification in a fully nonparametric framework. We…