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无需训练数据：利用强化学习生成模型无关的反事实解释AI 解读

Machine learning (ML) methods have experienced significant growth in the past decade, yet their practical application in high-impact real-world domains has been hindered by their opacity. When ML methods are responsible for making critical decisions, stakeholders often require insights into how to alter these decisions. Counterfactual explanations (CFEs) have emerged as a solution, offering interpretations of opaque ML models and providing a pathway to transition from one…

无需凸性：光滑矩条件模型的估计AI 解读

Generalized and Simulated Method of Moments are often used to estimate structural Economic models. Yet, it is commonly reported that optimization is challenging because the corresponding objective function is non-convex. For smooth problems, this paper shows that convexity is not required: under conditions involving the Jacobian of the moments, certain algorithms are globally convergent. These include a gradient-descent and a Gauss-Newton algorithm with appropriate choice of…

利用多任务神经网络高效、可扩展地估计分布处理效应AI 解读

We propose a novel multi-task neural network approach for estimating distributional treatment effects (DTE) in randomized experiments. While DTE provides more granular insights into the experiment outcomes over conventional methods focusing on the Average Treatment Effect (ATE), estimating it with regression adjustment methods presents significant challenges. Specifically, precision in the distribution tails suffers due to data imbalance, and computational inefficiencies…

高频追踪经济运行AI 解读

This paper develops a high-frequency economic indicator using a Bayesian Dynamic Factor Model estimated with mixed-frequency data. The model incorporates weekly, monthly, and quarterly official indicators, and allows for dynamic heterogeneity and stochastic volatility. To ensure temporal consistency and avoid irregular aggregation artifacts, we introduce a pseudo-week structure that harmonizes the timing of observations. Our framework integrates dispersed and asynchronous…

Z-泛函的弱假设诚实推断AI 解读

We develop a general assumption-lean framework for constructing uniformly valid confidence sets for functionals defined by moment equalities, referred to as $Z$-functionals. Our approach combines self-normalized statistics with a test inversion principle, enabling honest inference under mild regularity conditions and without explicit variance estimation. To enhance geometric tractability, we propose novel split-normalized and Gateaux-normalized statistics that yield…

面向因果学习目标的序贯贝叶斯实验设计AI 解读

We present GO-CBED, a goal-oriented Bayesian framework for sequential causal experimental design. Unlike conventional approaches that select interventions aimed at inferring the full causal model, GO-CBED directly maximizes the expected information gain (EIG) on user-specified causal quantities of interest, enabling more targeted and efficient experimentation. The framework is both non-myopic, optimizing over entire intervention sequences, and goal-oriented, targeting only…

动态离散选择模型中当下偏误贴现函数的识别AI 解读

We study the identification of dynamic discrete choice models with sophisticated, quasi-hyperbolic time preferences under exclusion restrictions. We consider both standard finite horizon problems and empirically useful infinite horizon ones, which we prove to always have solutions. We reduce identification to finding the present-bias and standard discount factors that solve a system of polynomial equations with coefficients determined by the data and use this to bound the…

TRIP：诊断特征重要性得分偏差的非参数检验AI 解读

Along with accurate prediction, understanding the contribution of each feature to the making of the prediction, i.e., the importance of the feature, is a desirable and arguably necessary component of a machine learning model. For a complex model such as a random forest, such importances are not innate -- as they are, e.g., with linear regression. Efficient methods have been created to provide such capabilities, with one of the most popular among them being permutation…

高维投资组合优化中样本外夏普比率的估计AI 解读

Portfolio optimization aims at constructing a realistic portfolio with significant out-of-sample performance, which is typically measured by the out-of-sample Sharpe ratio. However, due to in-sample optimism, it is inappropriate to use the in-sample estimated covariance to evaluate the out-of-sample Sharpe, especially in the high dimensional settings. In this paper, we propose a novel method to estimate the out-of-sample Sharpe ratio using only in-sample data, based on…

含隐藏节点网络中的重尾最大线性结构方程模型AI 解读

Recursive max-linear vectors provide models for causal dependence between large values of random variables that are supported on directed acyclic graphs, but the standard assumption that all nodes of such a graph are observed can be unrealistic. We give necessary and sufficient conditions for a partially observed recursive max-linear vector to be representable as a recursive max-linear (sub-)model and provide a graphical algorithm to construct the latter. Our conditions…

因果推断并不特殊：将其理解为预测问题的视角AI 解读

Causal inference is often portrayed as fundamentally distinct from predictive modeling, with its own terminology, goals, and intellectual challenges. But at its core, causal inference is simply a structured instance of prediction under distribution shift. In both cases, we begin with labeled data from a source domain and seek to generalize to a target domain where outcomes are not observed. The key difference is that in causal inference, the labels -- potential outcomes --…

面向医院再入院预测的异质性感知回归：非参数估计与结构化选择AI 解读

Readmission prediction is a critical but challenging clinical task, as the inherent relationship between high-dimensional covariates and readmission is complex and heterogeneous. Despite this complexity, models should be interpretable to aid clinicians in understanding an individual's risk prediction. Readmissions are often heterogeneous, as individuals hospitalized for different reasons, particularly across distinct clinical diagnosis groups, exhibit materially different…

Transformer 模拟贝叶斯网络序列生成的极大似然估计AI 解读

Transformers have achieved significant success in various fields, notably excelling in tasks involving sequential data like natural language processing. Despite these achievements, the theoretical understanding of transformers' capabilities remains limited. In this paper, we investigate the theoretical capabilities of transformers to autoregressively generate sequences in Bayesian networks based on in-context maximum likelihood estimation (MLE). Specifically, we consider a…

分位数 Nelson–Siegel 模型AI 解读

We propose a novel framework for modeling the yield curve from a quantile perspective. Building on the dynamic Nelson-Siegel model of Diebold et al. (2006), we extend its traditional mean-based approach to a quantile regression setting, enabling the estimation of yield curve factors - level, slope, and curvature - at specific quantiles of the conditional distribution. A key advantage of our framework is its ability to characterize the entire conditional distribution of the…

汤普森采样下的反事实推断AI 解读

Recommender systems exemplify sequential decision-making under uncertainty, strategically deciding what content to serve to users, to optimise a range of potential objectives. To balance the explore-exploit trade-off successfully, Thompson sampling provides a natural and widespread paradigm to probabilistically select which action to take. Questions of causal and counterfactual inference, which underpin use-cases like offline evaluation, are not straightforward to answer in…

股票市场波动、状态依赖与经济不确定性：环太平洋市场研究AI 解读

This study investigates the relationship between the market volatility of the iShares Asia 50 ETF (AIA) and economic and market sentiment indicators from the United States, China, and globally during periods of economic uncertainty. Specifically, it examines the association between AIA volatility and key indicators such as the US Economic Uncertainty Index (ECU), the US Economic Policy Uncertainty Index (EPU), China's Economic Policy Uncertainty Index (EPUCH), the Global…

聚合异质性处理效应下连续与结构化政策的深度学习AI 解读

As estimation of Heterogeneous Treatment Effect (HTE) is increasingly adopted across a wide range of scientific and industrial applications, the treatment action space can naturally expand, from a binary treatment variable to a structured treatment policy. This policy may include several policy factors such as a continuous treatment intensity variable, or discrete treatment assignments. From first principles, we derive the formulation for incorporating multiple treatment…

责任险风险证券化的贝叶斯工作流程AI 解读

Casualty insurance-linked securities (ILS) are appealing to investors because the underlying insurance claims, which are directly related to resulting security performance, are uncorrelated with most other asset classes. Conversely, casualty ILS are appealing to insurers as an efficient capital management tool. However, securitizing casualty insurance risk is non-trivial, as it requires forecasting loss ratios for pools of insurance policies that have not yet been written,…

Dirichlet-Laplace 先验下的后验计算AI 解读

Modern applications routinely collect high-dimensional data, leading to statistical models having more parameters than there are samples available. A common solution is to impose sparsity in parameter estimation, often using penalized optimization methods. Bayesian approaches provide a probabilistic framework to formally quantify uncertainty through shrinkage priors. Among these, the Dirichlet-Laplace prior has attained recognition for its theoretical guarantees and wide…

随时有效的线性模型推断与随机实验中的回归调整因果推断AI 解读

Linear models are foundational tools in statistics and ubiquitous across the applied sciences. However, conventional statistical inference -- such as $t$-tests and $F$-tests -- are only valid at fixed sample sizes, making them unsuitable for sequential settings such as online A/B testing. We develop an anytime-valid theory of inference for the linear model, introducing sequential analogues of classical tests and confidence sets that provide Type-I error control and coverage…

利用聚 bunching 设计识别因果效应AI 解读

We show that causal effects can be identified when there is bunching in the distribution of a continuous treatment variable, without imposing any parametric assumptions. This yields a new nonparametric method for overcoming selection bias in the absence of instrumental variables, panel data, or other popular research designs for causal inference. The method leverages the change of variables theorem from integration theory, relating the selection bias to the ratio of the…

盲式定向：第三方隐私约束下的个性化AI 解读

Major advertising platforms recently increased privacy protections by limiting advertisers' access to individual-level data. Instead of providing access to granular raw data, the platforms only allow a limited number of aggregate queries to a dataset, which is further protected by adding differentially private noise. This paper studies whether and how advertisers can design effective targeting policies within these restrictive privacy preserving data environments. To achieve…

面板数据准实验因果推断中高斯过程建模的实践考量AI 解读

Estimating causal effects in quasi-experiments with spatio-temporal panel data often requires adjusting for unmeasured confounding that varies across space and time. Gaussian Processes (GPs) offer a flexible, nonparametric modeling approach that can account for such complex dependencies through carefully chosen covariance kernels. In this paper, we provide a practical and interpretable framework for applying GPs to causal inference in panel data settings. We demonstrate how…

高维广义线性模型的稳健惩罚估计AI 解读

Robust estimators for generalized linear models (GLMs) are not easy to develop due to the nature of the distributions involved. Recently, there has been growing interest in robust estimation methods, particularly in contexts involving a potentially large number of explanatory variables. Transformed M-estimators (MT-estimators) provide a natural extension of M-estimation techniques to the GLM framework, offering robust methodologies. We propose a penalized variant of…