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用于高维数据聚类的混合式t因子分析器混合模型AI 解读

This paper develops a novel hybrid approach for estimating the mixture model of $t$-factor analyzers (MtFA) that employs multivariate $t$-distribution and factor model to cluster and characterize grouped data. The traditional estimation method for MtFA faces computational challenges, particularly in high-dimensional settings, where the eigendecomposition of large covariance matrices and the iterative nature of Expectation-Maximization (EM) algorithms lead to scalability…

断点回归设计中的结构外推：学校支出公投应用AI 解读

We propose a structural approach to extrapolate average partial effects away from the cutoff in regression discontinuity designs (RDDs). Our focus is on applications that exploit closely contested school district referenda to estimate the effects of changes in education spending on local economic outcomes. We embed these outcomes in a spatial equilibrium model of local jurisdictions in which fiscal policy is determined by majority rule voting. This integration provides a…

非线性孟德尔随机化研究中的因果估计与推断AI 解读

Mendelian randomization (MR) is widely used to uncover causal relationships in the presence of unmeasured confounders. However, most existing MR methods presuppose linear causality, risking bias when the true relationships are nonlinear, which is a common empirical scenario. In this paper, we compared two prevalent instrumental variable techniques (the two-stage prediction method and the control function method) under both linear and nonlinear settings, and addressed key…

利用观测数据估计因果效应：农业与应用经济学研究指南AI 解读

Most research questions in agricultural and applied economics are of a causal nature, i.e., how one or more variables (e.g., policies, prices, the weather) affect one or more other variables (e.g., income, crop yields, pollution). Only some of these research questions can be studied experimentally. Most empirical studies in agricultural and applied economics thus rely on observational data. However, estimating causal effects with observational data requires appropriate…

鞅的Yurinskii耦合AI 解读

Yurinskii's coupling is a popular theoretical tool for non-asymptotic distributional analysis in mathematical statistics and applied probability, offering a Gaussian strong approximation with an explicit error bound under easily verifiable conditions. Originally stated in $\ell_2$-norm for sums of independent random vectors, it has recently been extended both to the $\ell_p$-norm, for $1 \leq p \leq \infty$, and to vector-valued martingales in $\ell_2$-norm, under some…

基于协变量平衡倾向得分的双重差分估计量AI 解读

This article develops a covariate balancing approach for the estimation of treatment effects on the treated (ATT) in a difference-in-differences (DID) research design when panel data are available. We show that the proposed covariate balancing propensity score (CBPS) DID estimator possesses several desirable properties: (i) local efficiency, (ii) double robustness in terms of consistency, (iii) double robustness in terms of inference, and (iv) faster convergence to the ATT…

用于因果推断的结构保持表征学习神经网络AI 解读

Recent developments in causal inference have greatly shifted the interest from estimating the average treatment effect to the individual treatment effect. In this article, we improve the predictive accuracy of representation learning and adversarial networks in estimating individual treatment effects by introducing a structure keeper which maintains the correlation between the baseline covariates and their corresponding representations in the high dimensional space. We train…

基于锚定的因果设计：估计信念的影响AI 解读

A central challenge in any study of the effects of beliefs on outcomes, such as decisions and behavior, is the risk of omitted variables bias. Omitted variables, frequently unmeasured or even unknown, can induce correlations between beliefs and decisions that are not genuinely causal, in which case the omitted variables are referred to as confounders. To address the challenge of causal inference, researchers frequently rely on information provision experiments to randomly…

基于Bagged正则化k距离的异常检测AI 解读

We consider the paradigm of unsupervised anomaly detection, which involves the identification of anomalies within a dataset in the absence of labeled examples. Though distance-based methods are top-performing for unsupervised anomaly detection, they suffer heavily from the sensitivity to the choice of the number of the nearest neighbors. In this paper, we propose a new distance-based algorithm called bagged regularized $k$-distances for anomaly detection (BRDAD), converting…

基于图的平方根估计用于稀疏线性回归AI 解读

Sparse linear regression is one of the classic problems in the field of statistics, which has deep connections and high intersections with optimization, computation, and machine learning. To address the effective handling of high-dimensional data, the diversity of real noise, and the challenges in estimating standard deviation of the noise, we propose a novel and general graph-based square-root estimation (GSRE) model for sparse linear regression. Specifically, we use…

因子增强分位数回归模型AI 解读

Along with the widespread adoption of high-dimensional data, traditional statistical methods face significant challenges in handling problems with high correlation of variables, heavy-tailed distribution, and coexistence of sparse and dense effects. In this paper, we propose a factor-augmented quantile regression (FAQR) framework to address these challenges simultaneously within a unified framework. The proposed FAQR combines the robustness of quantile regression and the…

近似稀疏下的极小极大半参数学习AI 解读

Estimating linear, mean-square continuous functionals is a pivotal challenge in statistics. In high-dimensional contexts, this estimation is often performed under the assumption of exact model sparsity, meaning that only a small number of parameters are precisely non-zero. This excludes models where linear formulations only approximate the underlying data distribution, such as nonparametric regression methods that use basis expansion such as splines, kernel methods or…

构造 g-computation 估计量：选择偏差的两个案例AI 解读

G-computation is a useful estimation method that can be adapted to address various biases in epidemiology. However, these adaptations may not be obvious for some complex causal structures. This challenge is an example of the much wider issue of translating a causal diagram into a novel estimation strategy. To highlight these challenges, we consider two recent cases from the selection bias literature: treatment-induced selection and co-occurrence of biases that lack a joint…

用正交距离回归解决数据驱动模型发现中的变量测量误差AI 解读

Despite the recent proliferation of machine learning methods like SINDy that promise automatic discovery of governing equations from time-series data, there remain significant challenges to discovering models from noisy datasets. One reason is that the linear regression underlying these methods assumes that all noise resides in the training target (the regressand), which is the time derivative, whereas the measurement noise is in the states (the regressors). Recent methods…

随机化检验的自适应样本分割AI 解读

Randomization tests are widely used to generate finite-sample valid $p$-values for causal inference on experimental data. However, when applied to subgroup analysis, these tests may lack power due to small subgroup sizes. Incorporating a shared estimator of the conditional average treatment effect (CATE) can substantially improve power across subgroups but requires sample splitting to preserve validity. To this end, we quantify each unit's contribution to estimation and…

结果延迟实现时治疗效应的分解与解释AI 解读

This paper studies settings where the analyst is interested in identifying and estimating the average \emph{direct} causal effect of a binary treatment on an outcome. We consider a setup in which the outcome realization does not get immediately realized after the treatment assignment, a feature that is ubiquitous in empirical settings. The period between the treatment and the realization of the outcome allows other observed actions to occur and affect the outcome. In this…

聚类协变量回归AI 解读

High covariate dimensionality is increasingly occurrent in model estimation, and existing techniques to address this issue typically require sparsity or discrete heterogeneity of the \emph{unobservable} parameter vector. However, neither restriction may be supported by economic theory in some empirical contexts, leading to severe bias and misleading inference. The clustering-based grouped parameter estimator (GPE) introduced in this paper drops both restrictions and…

含协变量与增长主体数的广义 Bradley-Terry 配对比较模型推断AI 解读

Motivated by the home-field advantage in sports, we propose a generalized Bradley--Terry model that incorporates covariate information for paired comparisons. It has an $n$-dimensional merit parameter $\bsβ$ and a fixed-dimensional regression coefficient $\bsγ$ for covariates. When the number of subjects $n$ approaches infinity and the number of comparisons between any two subjects is fixed, we show the uniform consistency of the maximum likelihood estimator (MLE) $(\widehat{\bsβ}, \widehat{\bsγ})$…

广义最优传输AI 解读

Many causal and structural parameters in economics can be identified and estimated by computing the value of an optimization program over all distributions consistent with the model and the data. Existing tools apply when the data is discrete, or when only disjoint marginals of the distribution are identified, which is restrictive in many applications. We develop a general framework that yields sharp bounds on a linear functional of the unknown true distribution under i) an…

宏观计量中多重变点检验：实证指南与近期进展AI 解读

We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor models. This review differs from others in multiple ways: (1) it focuses on inference about the change-points in slope parameters, rather than in the mean of the dependent variable - the latter being common in the statistical literature; (2) it focuses on detecting - via sequential testing and other…

Hilbert 空间可逆过程的估计及其函数型 ARMA 应用AI 解读

Invertible processes are central to functional time series analysis, making the estimation of their defining operators a key problem. While asymptotic error bounds have been established for specific ARMA models on $L^2[0,1]$, a general theoretical framework has not yet been considered. This paper fills in this gap by deriving consistent estimators for the operators characterizing the invertible representation of a functional time series with white noise innovations in a…

瞬时波动率的低秩结构非参数预测AI 解读

Based on Itô semimartingale models, several studies have proposed methods for forecasting intraday volatility using high-frequency financial data. These approaches typically rely on restrictive parametric assumptions and are often vulnerable to model misspecification. To address this issue, we introduce a novel nonparametric prediction method for the future intraday instantaneous volatility process during trading hours, which leverages both previous days' data and the…

结构方程建模中构念类型选择的误设问题AI 解读

Empirical research in many social disciplines involves constructs that are not directly observable, such as behaviors. To model them, constructs must be operationalized using their relations with indicators. Structural equation modeling (SEM) is the primary approach for this purpose. In SEM, three types of constructs are distinguished: latent variables, causal-formative constructs, and composites. To estimate the parameters of the different models, various estimators have…

圆周数据的因果推断AI 解读

In causal inference, a fundamental task is to estimate the effect resulting from a specific treatment, which is often handled with inverse probability weighting. Despite an abundance of attention to the advancement of this task, most articles have focused on linear data rather than circular data, which are measured in angles. In this article, we extend the causal inference framework to accommodate circular data. Specifically, two new treatment effects, average direction…