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双重交叉拟合的双重稳健估计：超越级数回归AI 解读

Doubly robust estimators with cross-fitting have gained popularity in causal inference due to their favorable structure-agnostic error guarantees. However, when additional structure, such as Hölder smoothness, is available then more accurate "double cross-fit doubly robust" (DCDR) estimators can be constructed by splitting the training data and undersmoothing nuisance function estimators on independent samples. We study a DCDR estimator of the Expected Conditional…

超越熵正则化：离散最优传输与一般线性规划的去偏高斯估计AI 解读

This work proposes new estimators for discrete optimal transport plans that enjoy Gaussian limits centered at the true solution. This behavior stands in stark contrast with the performance of existing estimators, including those based on entropic regularization, which are asymptotically biased and only satisfy a CLT centered at a regularized version of the population-level plan. We develop a new regularization approach based on a different class of penalty functions, which…

基于随机化与镜像统计量的高效错误发现率控制与功效最大化方法AI 解读

Simultaneously performing variable selection and inference in high-dimensional regression models is an open challenge in statistics and machine learning. The increasing availability of vast amounts of variables requires the adoption of specific statistical procedures to accurately select the most important predictors in a high-dimensional space, while controlling the false discovery rate (FDR) associated with the variable selection procedure. In this paper, we propose the…

利用基于聚类的老虎机算法估计网络因果效应AI 解读

The gold standard for estimating causal effects is randomized controlled trial (RCT) or A/B testing where a random group of individuals from a population of interest are given treatment and the outcome is compared to a random group of individuals from the same population. However, A/B testing is challenging in the presence of interference, commonly occurring in social networks, where individuals can impact each others outcome. Moreover, A/B testing can incur a high…

特异波动率的横截面依赖AI 解读

This paper introduces an econometric framework for analyzing cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the idiosyncratic volatilities such as covariances and correlations. Naive estimators of these measures are biased due to the use of the error-laden estimates of idiosyncratic volatilities. We provide bias-corrected estimators and the relevant…

高维非参数可加模型中的稳健变量选择AI 解读

Additive models belong to the class of structured nonparametric regression models that do not suffer from the curse of dimensionality. Finding the additive components that are nonzero when the true model is assumed to be sparse is an important problem, and it is well studied in the literature. The majority of the existing methods focused on using the $L_2$ loss function, which is sensitive to outliers in the data. We propose a new variable selection method for additive…

细分层实验的新设计型方差估计量AI 解读

This paper considers the problem of design-based inference for the average treatment effect in finely stratified experiments. Here, by "design-based'' we mean that the only source of uncertainty stems from the randomness in treatment assignment; by "finely stratified'' we mean that units are stratified into groups of a fixed size according to baseline covariates and then, within each group, a fixed number of units are assigned uniformly at random to treatment and the…

顺序平衡的被试内设计中的因果推断AI 解读

Experimental designs are fundamental for estimating causal effects. In some fields, within-subjects designs, which expose participants to both control and treatment at different time periods, are used to address practical and logistical concerns. Counterbalancing, a common technique in within-subjects designs, aims to remove carryover effects by randomizing treatment sequences. Despite its appeal, counterbalancing relies on the assumption that carryover effects are symmetric…

非凸正则化统计模型参数估计的图形化全局优化框架AI 解读

Optimization problems with norm-bounding constraints arise in a variety of applications, including portfolio optimization, machine learning, and feature selection. A common approach to these problems involves relaxing the norm constraint via Lagrangian relaxation, transforming it into a regularization term in the objective function. A particularly challenging class includes the zero-norm function, which promotes sparsity in statistical parameter estimation. Most existing…

利用因果图评估双重差分研究的平行趋势AI 解读

Difference-in-differences (DID) is popular because it can allow for unmeasured confounding when the key assumption of parallel trends holds. However, there exists little guidance on how to decide a priori whether this assumption is reasonable. We attempt to develop such guidance by considering the relationship between a causal diagram and the parallel trends assumption. This is challenging because parallel trends is scale-dependent and causal diagrams are generally…

机器学习与收益率曲线：基于树的宏观状态转换AI 解读

We explore tree-based macroeconomic regime-switching in the context of the dynamic Nelson-Siegel (DNS) yield-curve model. In particular, we customize the tree-growing algorithm to partition macroeconomic variables based on the DNS model's marginal likelihood, thereby identifying regime-shifting patterns in the yield curve. Compared to traditional Markov-switching models, our model offers clear economic interpretation via macroeconomic linkages and ensures computational…

极端 ℓp 块聚簇推断的渐近分析AI 解读

Extremes occur in stationary regularly varying time series as short periods with several large observations, known as extremal blocks. We study cluster statistics summarizing the behavior of functions acting on these extremal blocks. Examples of cluster statistics are the extremal index, cluster size probabilities, and other cluster indices. The purpose of our work is twofold. First, we state the asymptotic normality of block estimators for cluster inference based on…

比例渐近下广义线性模型与双重稳健泛函的矩估计推断AI 解读

In this paper, we consider the estimation of regression coefficients and signal-to-noise (SNR) ratio in high-dimensional Generalized Linear Models (GLMs), and explore their implications in inferring popular estimands such as average treatment effects in high-dimensional observational studies. Under the ``proportional asymptotic'' regime and Gaussian covariates with known (population) covariance $Σ$, we derive Consistent and Asymptotically Normal (CAN) estimators of our…

组基SLOPE模型的强筛选规则AI 解读

Tuning the regularization parameter in penalized regression models is an expensive task, requiring multiple models to be fit along a path of parameters. Strong screening rules drastically reduce computational costs by lowering the dimensionality of the input prior to fitting. We develop strong screening rules for group-based Sorted L-One Penalized Estimation (SLOPE) models: Group SLOPE and Sparse-group SLOPE. The developed rules are applicable to the wider family of…

MetaCountRegressor：计数模型综合分析与辅助估计的 Python 包AI 解读

{Analyzing and modeling rare events in count data presents significant challenges due to the scarcity of observations and the complexity of underlying processes, which are often overlooked by analysts due to limitations in time, resources, knowledge, and the influence of biases. This paper introduces MetaCountRegressor, a Python package designed to facilitate predictive count modeling of rare events guided by metaheuristics. The MetaCountRegressor package offers a wide range…

基于RKHS的协变量驱动马尔可夫跳过程非参数学习AI 解读

We propose a novel nonparametric approach for linking covariates to Continuous Time Markov Chains (CTMCs) using the mathematical framework of Reproducing Kernel Hilbert Spaces (RKHS). CTMCs provide a robust framework for modeling transitions across clinical or behavioral states, but traditional multistate models often rely on linear relationships. In contrast, we use a generalized Representer Theorem to enable tractable inference in functional space. For the Frequentist…

非高斯测量误差下的去偏推断AI 解读

We consider drawing statistical inferences based on data subject to non-Gaussian measurement error. Unlike most existing methods developed under the assumption of Gaussian measurement error, the proposed strategy exploits hypercomplex numbers to reduce bias in naive estimation that ignores non-Gaussian measurement error. We apply this new method to several widely applicable parametric regression models with error-prone covariates, and kernel density estimation using…

带变点的潜变量模型及其在教育测评时间压力中的应用AI 解读

Educational assessments are valuable tools for measuring student knowledge and skills, but their validity can be compromised when test takers exhibit changes in response behavior due to factors such as time pressure. To address this issue, we introduce a novel latent factor model with change-points for item response data, designed to detect and account for individual-level shifts in response patterns during testing. This model extends traditional Item Response Theory (IRT)…

基于吸引子的共同演化随机点积图模型AI 解读

We introduce the attractor-based coevolving dot product random graph model (ABCDPRGM) to analyze time-series network data manifesting polarizing or flocking behavior. Graphs are generated based on latent positions under the random dot product graph regime. We assign group membership to each node. When evolving through time, the latent position of each node will change based on its current position and two attractors, which are defined to be the centers of the latent…

通过惩罚化 log-det 启发式估计大型协方差矩阵AI 解读

This paper provides a comprehensive estimation framework for large covariance matrices via a log-det heuristics augmented by a nuclear norm plus $\ell_{1}$-norm penalty. We develop the model framework, which includes high-dimensional approximate factor models with a sparse residual covariance. We prove that the aforementioned log-det heuristics is locally convex with a Lipschitz-continuous gradient, so that a proximal gradient algorithm may be stated to numerically solve the…

一般时间序列模型谱密度变点的最优检测与推断AI 解读

This paper addresses the problem of detecting change points in the spectral density of time series, motivated by EEG analysis of seizure patients. Seizures disrupt coherence and functional connectivity, necessitating precise detection. Departing from traditional parametric approaches, we utilize the Wold decomposition, representing general time series as autoregressive processes with infinite lags, which are truncated and estimated around the change point. Our detection…

面向非光滑目标函数 M 估计的基于抽样的联邦推断AI 解读

We propose a novel sampling-based federated learning framework for statistical inference on M-estimators with non-smooth objective functions, which frequently arise in modern statistical applications such as quantile regression and AUC maximization. Classical inference methods for such estimators are often computationally intensive or require nonparametric estimation of nuisance quantities. Our approach circumvents these challenges by leveraging Markov Chain Monte Carlo…

同时存在死亡截断与缺失的多元结局整群随机试验贝叶斯推断AI 解读

Cluster-randomized trials (CRTs) on fragile populations frequently encounter complex attrition problems where the reasons for missing outcomes can be heterogeneous, with participants who are known alive, known to have died, or with unknown survival status, and with complex and distinct missing data mechanisms for each group. Although existing methods have been developed to address death truncation in CRTs, no existing methods can jointly accommodate participants who drop out…

动态局部平均治疗效应AI 解读

We consider Dynamic Treatment Regimes (DTRs) with One Sided Noncompliance that arise in applications such as digital recommendations and adaptive medical trials. These are settings where decision makers encourage individuals to take treatments over time, but adapt encouragements based on previous encouragements, treatments, states, and outcomes. Importantly, individuals may not comply with encouragements based on unobserved confounders. For settings with binary treatments…