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基于 LASSO 可靠识别格兰杰因果关系的非渐近保证AI 解读

Granger causality is among the widely used data-driven approaches for causal analysis of time series data with applications in various areas including economics, molecular biology, and neuroscience. Two of the main challenges of this methodology are: 1) over-fitting as a result of limited data duration, and 2) correlated process noise as a confounding factor, both leading to errors in identifying the causal influences. Sparse estimation via the LASSO has successfully…

m 阶逆随机占优的非参数检验AI 解读

This paper proposes a nonparametric test for $m$th-degree inverse stochastic dominance which is a powerful tool for ranking distribution functions according to social welfare. We construct the test based on empirical process theory. The test is shown to be asymptotically size controlled and consistent. The good finite sample properties of the test are illustrated via Monte Carlo simulations. We apply our test to the inequality growth in the United Kingdom from 1995 to 2010.

自动推断聚类数与因子数的动态有限因子分析混合模型AI 解读

Mixtures of factor analysers (MFA) models represent a popular tool for finding structure in data, particularly high-dimensional data. While in most applications the number of clusters, and especially the number of latent factors within clusters, is mostly fixed in advance, in the recent literature models with automatic inference on both the number of clusters and latent factors have been introduced. The automatic inference is usually done by assigning a nonparametric prior…

用于时间序列结构发现的序贯蒙特卡洛学习AI 解读

This paper presents a new approach to automatically discovering accurate models of complex time series data. Working within a Bayesian nonparametric prior over a symbolic space of Gaussian process time series models, we present a novel structure learning algorithm that integrates sequential Monte Carlo (SMC) and involutive MCMC for highly effective posterior inference. Our method can be used both in "online" settings, where new data is incorporated sequentially in time, and…

胆囊炎手术治疗工具变量研究中的双重稳健机器学习AI 解读

Comparative effectiveness research frequently employs the instrumental variable design since randomized trials can be infeasible for many reasons. In this study, we investigate and compare treatments for emergency cholecystitis -- inflammation of the gallbladder. A standard treatment for cholecystitis is surgical removal of the gallbladder, while alternative non-surgical treatments include managed care and pharmaceutical options. As randomized trials are judged to violate…

方差依赖界下渐近最优的固定预算最佳臂识别AI 解读

We investigate the problem of fixed-budget best arm identification (BAI) for minimizing expected simple regret. In an adaptive experiment, a decision maker draws one of multiple treatment arms based on past observations and observes the outcome of the drawn arm. After the experiment, the decision maker recommends the treatment arm with the highest expected outcome. We evaluate the decision based on the expected simple regret, which is the difference between the expected…

犯罪与误测惩罚：处理误分类下的边际处理效应AI 解读

I partially identify the marginal treatment effect (MTE) when the treatment is misclassified. I explore two restrictions, allowing for dependence between the instrument and the misclassification decision. If the signs of the derivatives of the propensity scores are equal, I identify the MTE sign. If those derivatives are similar, I bound the MTE. To illustrate, I analyze the impact of alternative sentences (fines and community service v. no punishment) on recidivism in…

基于回归秩得分的异质性分位数处理效应去偏推断AI 解读

Understanding treatment effect heterogeneity is vital to many scientific fields because the same treatment may affect different individuals differently. Quantile regression provides a natural framework for modeling such heterogeneity. We propose a new method for inference on heterogeneous quantile treatment effects in the presence of high-dimensional covariates. Our estimator combines an $\ell_1$-penalized regression adjustment with a quantile-specific bias correction scheme…

观察性研究倾向得分分析中的因果目标量选择AI 解读

Matching and weighting methods for observational studies involve the choice of an estimand, the causal effect with reference to a specific target population. Commonly used estimands include the average treatment effect in the treated (ATT), the average treatment effect in the untreated (ATU), the average treatment effect in the population (ATE), and the average treatment effect in the overlap (i.e., equipoise population; ATO). Each estimand has its own assumptions,…

电子健康记录比较效果研究中信息性缺失数据的双重抽样AI 解读

Missing data arise in most applied settings and are ubiquitous in electronic health records (EHR). When data are missing not at random (MNAR) with respect to measured covariates, sensitivity analyses are often considered. These post-hoc solutions, however, are often unsatisfying in that they are not guaranteed to yield concrete conclusions. Motivated by an EHR-based study of long-term outcomes following bariatric surgery, we consider the use of double sampling as a means to…

粗糙波动率：事实还是测量假象？AI 解读

We investigate the statistical evidence for the use of `rough' fractional processes with Hurst exponent $H< 0.5$ for the modeling of volatility of financial assets, using a model-free approach. We introduce a non-parametric method for estimating the roughness of a function based on discrete sample, using the concept of normalized $p$-th variation along a sequence of partitions. We investigate the finite sample performance of our estimator for measuring the roughness of…

无转移支付的多对一双边匹配：识别与估计AI 解读

In a setting of many-to-one two-sided matching with non-transferable utilities, e.g., college admissions, we study conditions under which preferences of both sides are identified with data on one single market. Regardless of whether the market is centralized or decentralized, assuming that the observed matching is stable, we show nonparametric identification of preferences of both sides under certain exclusion restrictions. To take our results to the data, we use Monte Carlo…

非欧氏值时间序列的两样本与变点推断AI 解读

Data objects taking value in a general metric space have become increasingly common in modern data analysis. In this paper, we study two important statistical inference problems, namely, two-sample testing and change-point detection, for such non-Euclidean data under temporal dependence. Typical examples of non-Euclidean valued time series include yearly mortality distributions, time-varying networks, and covariance matrix time series. To accommodate unknown temporal…

结合随机实验与外部对照的模型稳健处理效应估计：双重惩罚整合估计量AI 解读

Randomized experiments (REs) are the cornerstone for treatment effect evaluation. However, due to practical considerations, REs may encounter difficulty recruiting sufficient patients. External controls (ECs) can supplement REs to boost estimation efficiency. Yet, there may be incomparability between ECs and concurrent controls (CCs), resulting in misleading treatment effect evaluation. We introduce a novel bias function to measure the difference in the outcome mean…

分期实施下三重差分回归的分解AI 解读

The triple-differences (TD) design is a popular identification strategy for causal effects in settings where researchers do not believe the parallel trends assumption of conventional difference-in-differences (DiD) is satisfied. TD designs augment the conventional 2x2 DiD with a "placebo" stratum -- observations that are nested in the same units and time periods but are known to be entirely unaffected by the treatment. However, many TD applications go beyond this simple…

以图结构为中介的中介分析AI 解读

This study introduces a mediation analysis framework when the mediator is a graph. A Gaussian covariance graph model is assumed for graph representation. Causal estimands and assumptions are discussed under this representation. With a covariance matrix as the mediator, parametric mediation models are imposed based on matrix decomposition. Assuming Gaussian random errors, likelihood-based estimators are introduced to simultaneously identify the decomposition and causal…

气候模型低估北极海冰对碳排放的敏感度AI 解读

Arctic sea ice has steadily diminished as atmospheric greenhouse gas concentrations have increased. Using observed data from 1979 to 2019, we estimate a close contemporaneous linear relationship between Arctic sea ice area and cumulative carbon dioxide emissions. For comparison, we provide analogous regression estimates using simulated data from global climate models (drawn from the CMIP5 and CMIP6 model comparison exercises). The carbon sensitivity of Arctic sea ice area is…

以三维图像为中介的因果中介分析AI 解读

Causal mediation analysis is increasingly abundant in biology, psychology, and epidemiology studies, etc. In particular, with the advent of the big data era, the issue of high-dimensional mediators is becoming more prevalent. In neuroscience, with the widespread application of magnetic resonance technology in the field of brain imaging, studies on image being a mediator emerged. In this study, a novel causal mediation analysis method with a three-dimensional image mediator…

高维时间序列的一致因果推断AI 解读

A methodology for high dimensional causal inference in a time series context is introduced. It is assumed that there is a monotonic transformation of the data such that the dynamics of the transformed variables are described by a Gaussian vector autoregressive process. This is tantamount to assume that the dynamics are captured by a Gaussian copula. No knowledge or estimation of the marginal distribution of the data is required. The procedure consistently identifies the…

金融预测中的专家聚合AI 解读

Machine learning algorithms dedicated to financial time series forecasting have gained a lot of interest. But choosing between several algorithms can be challenging, as their estimation accuracy may be unstable over time. Online aggregation of experts combine the forecasts of a finite set of models in a single approach without making any assumption about the models. In this paper, a Bernstein Online Aggregation (BOA) procedure is applied to the construction of long-short…

面板数据即时预测：以市盈率为例AI 解读

The paper uses structured machine learning regressions for nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial, and news time series sampled at different frequencies, we focus on the sparse-group LASSO regularization which can take advantage of the mixed frequency time series panel data structures. Our empirical results show…

高维混合暴露的因果中介路径识别：数据自适应目标参数策略AI 解读

Mediation analysis in causal inference typically concentrates on one binary exposure, using deterministic interventions to split the average treatment effect into direct and indirect effects through a single mediator. Yet, real-world exposure scenarios often involve multiple continuous exposures impacting health outcomes through varied mediation pathways, which remain unknown a priori. Addressing this complexity, we introduce NOVAPathways, a methodological framework that…

函数型时间序列的降噪AI 解读

A novel method for noise reduction in the setting of curve time series with error contamination is proposed, based on extending the framework of functional principal component analysis (FPCA). We employ the underlying, finite-dimensional dynamics of the functional time series to separate the serially dependent dynamical part of the observed curves from the noise. Upon identifying the subspaces of the signal and idiosyncratic components, we construct a projection of the…

重尾分布极端分位数处理效应的估计与推断AI 解读

Causal inference for extreme events has many potential applications in fields such as climate science, medicine and economics. We study the extremal quantile treatment effect of a binary treatment on a continuous, heavy-tailed outcome. Existing methods are limited to the case where the quantile of interest is within the range of the observations. For applications in risk assessment, however, the most relevant cases relate to extremal quantiles that go beyond the data range.…