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稳健回归中近端SGD轨迹上的泛化性能估计AI 解读

This paper studies the generalization performance of iterates obtained by Gradient Descent (GD), Stochastic Gradient Descent (SGD) and their proximal variants in high-dimensional robust regression problems. The number of features is comparable to the sample size and errors may be heavy-tailed. We introduce estimators that precisely track the generalization error of the iterates along the trajectory of the iterative algorithm. These estimators are provably consistent under…

数学教育效果：随辅导次数变化的条件平均处理效应AI 解读

This study examines the educational effect of the Academic Support Center at Kogakuin University. Following the initial assessment, it was suggested that group bias had led to an underestimation of the Center's true impact. To address this issue, the authors applied the theory of causal inference. By using T-learner, the conditional average treatment effect (CATE) of the Center's face-to-face (F2F) personal assistance program was evaluated. Extending T-learner, the authors…

利用伪值随机森林建模限制平均生存时间AI 解读

The restricted mean survival time (RMST) has become a popular measure to summarize event times in longitudinal studies. Defined as the area under the survival function up to a time horizon $τ$ > 0, the RMST can be interpreted as the life expectancy within the time interval [0, $τ$]. In addition to its straightforward interpretation, the RMST also allows for the definition of valid estimands for the causal analysis of treatment contrasts in medical studies. In this work, we…

层级与密度型因果聚类AI 解读

Understanding treatment effect heterogeneity is vital for scientific and policy research. However, identifying and evaluating heterogeneous treatment effects pose significant challenges due to the typically unknown subgroup structure. Recently, a novel approach, causal k-means clustering, has emerged to assess heterogeneity of treatment effect by applying the k-means algorithm to unknown counterfactual regression functions. In this paper, we expand upon this framework by…

稀疏线性回归：序列凸松弛、稳健受限零空间性质与变量选择AI 解读

For high dimensional sparse linear regression problems, we propose a sequential convex relaxation algorithm (iSCRA-TL1) by solving inexactly a sequence of truncated $\ell_1$-norm regularized minimization problems, in which the working index sets are constructed iteratively with an adaptive strategy. We employ the robust restricted null space property and sequential restricted null space property (rRNSP and rSRNSP) to provide the theoretical certificates of iSCRA-TL1.…

有序结局下原因必要性概率的识别与界限AI 解读

Although the existing causal inference literature focuses on the forward-looking perspective by estimating effects of causes, the backward-looking perspective can provide insights into causes of effects. In backward-looking causal inference, the probability of necessity measures the probability that a certain event is caused by the treatment given the observed treatment and outcome. Most existing results focus on binary outcomes. Motivated by applications with ordinal…

结合弱工具变量与观测数据估计异质性处理效应AI 解读

Accurately predicting conditional average treatment effects (CATEs) is crucial in personalized medicine and digital platform analytics. Since the treatments of interest often cannot be directly randomized, observational data is leveraged to learn CATEs, but this approach can incur significant bias from unobserved confounding. One strategy to overcome these limitations is to leverage instrumental variables (IVs) as latent quasi-experiments, such as randomized intent-to-treat…

因果推断的半参数方法：反事实分布与密度比模型AI 解读

In causal inference, an important problem is to quantify the effects of interventions or treatments. Many studies focus on estimating the mean causal effects; however, these estimands may offer limited insight since two distributions can share the same mean yet exhibit significant differences. Examining the causal effects from a distributional perspective provides a more thorough understanding. In this paper, we employ a semiparametric density ratio model (DRM) to…

事件研究型合成双重差分估计量简论AI 解读

I propose an event study extension of Synthetic Difference-in-Differences (SDID) estimators. I show that, in simple and staggered adoption designs, estimators from Arkhangelsky et al. (2021) can be disaggregated into dynamic treatment effect estimators, comparing the lagged outcome differentials of treated and synthetic controls to their pre-treatment average. Estimators presented in this note can be computed using the sdid_event Stata package.

增长风险的校准分位数预测AI 解读

Accurate computation of robust estimates for extremal quantiles of empirical distributions is an essential task for a wide range of applicative fields, including economic policymaking and the financial industry. Such estimates are particularly critical in calculating risk measures, such as Growth-at-Risk (GaR). % and Value-at-Risk (VaR). This work proposes a conformal framework to estimate calibrated quantiles, and presents an extensive simulation study and a real-world…

反向无约束混频回归的层级正则化AI 解读

Reverse Unrestricted MIxed DAta Sampling (RU-MIDAS) regressions are used to model high-frequency responses by means of low-frequency variables. However, due to the periodic structure of RU-MIDAS regressions, the dimensionality grows quickly if the frequency mismatch between the high- and low-frequency variables is large. Additionally the number of high-frequency observations available for estimation decreases. We propose to counteract this reduction in sample size by pooling…

平稳与非平稳时变参数自回归模型中的推断AI 解读

This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in some time periods, time-varying nonstationarity (i.e., unit root or local-to-unit root behavior) in other periods, and smooth transitions between the two. The estimation of the AR parameter at any time point is based on a local least squares…

基于核岭回归的广义遗传力估计AI 解读

The broad sense genetic heritability, which quantifies the total proportion of phenotypic variation in a population due to genetic factors, is crucial for understanding trait inheritance. While many existing methods focus on estimating narrow sense heritability, which accounts only for additive genetic variation, this paper introduces a kernel ridge regression approach to estimate broad-sense heritability. We provide both upper and lower bounds for the estimator. The…

时空计数自回归AI 解读

We study the problem of modeling and inference for spatio-temporal count processes. Our approach uses parsimonious parameterisations of multivariate autoregressive count time series models, including possible regression on covariates. We control the number of parameters by specifying spatial neighbourhood structures for possibly huge matrices that take into account spatio-temporal dependencies. This work is motivated by real data applications which call for suitable models.…

以校准的 g 先验混合层级模型估计荟萃分析中的处理效应调节AI 解读

Assessing treatment effect moderation is critical in biomedical research and many other fields, as it guides personalized intervention strategies to improve participant's outcomes. Individual participant-level data meta-analysis (IPD-MA) offers a robust framework for such assessments by leveraging data from multiple trials. However, its performance is often compromised by challenges such as high between-trial variability. Traditional Bayesian shrinkage methods have gained…

用总误差幅度衡量选举民调的非抽样误差：无应答情形AI 解读

The potential impact of non-sampling errors on election polls is well known, but measurement has focused on the margin of sampling error. Survey statisticians have long recommended measurement of total survey error by mean square error (MSE), which jointly measures sampling and non-sampling errors. We think it reasonable to use the square root of maximum MSE to measure the total margin of error (TME). Measurement of TME should encompass both sampling error and all forms of…

利用条件生成模型对可识别因果干预分布进行采样AI 解读

Causal inference from observational data plays critical role in many applications in trustworthy machine learning. While sound and complete algorithms exist to compute causal effects, many of them assume access to conditional likelihoods, which is difficult to estimate for high-dimensional (particularly image) data. Researchers have alleviated this issue by simulating causal relations with neural models. However, when we have high-dimensional variables in the causal graph…

以稳健性为目标选择条件平均处理效应估计量AI 解读

The growing demand for personalized decision-making has led to a surge of interest in estimating the Conditional Average Treatment Effect (CATE). Various types of CATE estimators have been developed with advancements in machine learning and causal inference. However, selecting the desirable CATE estimator through a conventional model validation procedure remains impractical due to the absence of counterfactual outcomes in observational data. Existing approaches for CATE…

条件矩限制下的机器学习去偏：局部平均处理效应应用AI 解读

Models with Conditional Moment Restrictions (CMRs) are popular in economics. These models involve finite and infinite dimensional parameters. The infinite dimensional components include conditional expectations, conditional choice probabilities, or policy functions, which might be flexibly estimated using Machine Learning tools. This paper presents a characterization of locally debiased moments for regular models defined by general semiparametric CMRs with possibly different…

高维矩阵因子时间序列的去噪与多线性投影估计AI 解读

This paper proposes a new multi-linear projection method for denoising and estimation of high-dimensional matrix-variate factor time series. It assumes that a $p_1\times p_2$ matrix-variate time series consists of a dynamically dependent, lower-dimensional matrix-variate factor process and a $p_1\times p_2$ matrix idiosyncratic series. In addition, the latter series assumes a matrix-variate factor structure such that its row and column covariances may have diverging/spiked…

具有双曲贴现的动态离散选择模型识别AI 解读

We study identification of dynamic discrete choice models with hyperbolic discounting. We show that the standard discount factor, present bias factor, and instantaneous utility functions for the sophisticated agent are point-identified from observed conditional choice probabilities and transition probabilities in a finite horizon model. The main idea to achieve identification is to exploit variation in the observed conditional choice probabilities over time. We present the…

处理效应模型中的空间干扰检测AI 解读

Modeling the interference effect is an important issue in the field of causal inference. Existing studies rely on explicit and often homogeneous assumptions regarding interference structures. In this paper, we introduce a low-rank and sparse treatment effect model that leverages data-driven techniques to identify the locations of interference effects. A profiling algorithm is proposed to estimate the model coefficients, and based on these estimates, global test and local…

利用核嵌入开展因果推断的研究概览AI 解读

Kernel embeddings have emerged as a powerful tool for representing probability measures in a variety of statistical inference problems. By mapping probability measures into a reproducing kernel Hilbert space (RKHS), kernel embeddings enable flexible representations of complex relationships between variables. They serve as a mechanism for efficiently transferring the representation of a distribution downstream to other tasks, such as hypothesis testing or causal effect…

为实现人机互补而设计算法建议AI 解读

Algorithms frequently assist, rather than replace, human decision-makers. However, the design and analysis of algorithms often focus on predicting outcomes and do not explicitly model their effect on human decisions. This discrepancy between the design and role of algorithmic assistants becomes particularly concerning in light of empirical evidence that suggests that algorithmic assistants again and again fail to improve human decisions. In this article, we formalize the…