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利用生成树对因果估计器进行欠平滑处理AI 解读

Inferring individualised treatment effects from observational data can unlock the potential for targeted interventions. It is, however, hard to infer these effects from observational data. One major problem that can arise is covariate shift where the data (outcome) conditional distribution remains the same but the covariate (input) distribution changes between the training and test set. In an observational data setting, this problem is materialised in control and treated…

利用分位点局部多项式决策树与森林建模异质性处理效应AI 解读

To further develop the statistical inference problem for heterogeneous treatment effects, this paper builds on Breiman's (2001) random forest tree (RFT)and Wager et al.'s (2018) causal tree to parameterize the nonparametric problem using the excellent statistical properties of classical OLS and the division of local linear intervals based on covariate quantile points, while preserving the random forest trees with the advantages of constructible confidence intervals and…

基于正交随机线性混合模型的高维时间序列贝叶斯推断AI 解读

Many modern time-series datasets contain large numbers of output response variables sampled for prolonged periods of time. For example, in neuroscience, the activities of 100s-1000's of neurons are recorded during behaviors and in response to sensory stimuli. Multi-output Gaussian process models leverage the nonparametric nature of Gaussian processes to capture structure across multiple outputs. However, this class of models typically assumes that the correlations between…

利用网络元回归综合跨研究设计证据与跨格式数据AI 解读

In network meta-analysis (NMA), we synthesize all relevant evidence about health outcomes with competing treatments. The evidence may come from randomized controlled trials (RCT) or non-randomized studies (NRS) as individual participant data (IPD) or as aggregate data (AD). We present a suite of Bayesian NMA and network meta-regression (NMR) models allowing for cross-design and cross-format synthesis. The models integrate a three-level hierarchical model for synthesizing IPD…

合成控制的实践应用AI 解读

In this article we propose a set of simple principles to guide empirical practice in synthetic control studies. The proposed principles follow from formal properties of synthetic control estimators, and pertain to the nature, implications, and prevention of over-fitting biases within a synthetic control framework, to the interpretability of the results, and to the availability of validation exercises. We discuss and visually demonstrate the relevance of the proposed…

篮式试验中处理效应估计的多任务对抗学习AI 解读

Estimating treatment effects from observational data provides insights about causality guiding many real-world applications such as different clinical study designs, which are the formulations of trials, experiments, and observational studies in medical, clinical, and other types of research. In this paper, we describe causal inference for application in a novel clinical design called basket trial that tests how well a new drug works in patients who have different types of…

函数型数据的因子增强模型AI 解读

We propose modeling raw functional data as a mixture of a smooth function and a high-dimensional factor component. The conventional approach to retrieving the smooth function from the raw data is through various smoothing techniques. However, the smoothing model is inadequate to recover the smooth curve or capture the data variation in some situations. These include cases where there is a large amount of measurement error, the smoothing basis functions are incorrectly…

灾难型冲击动态效应的时间序列估计AI 解读

This paper provides three results for SVARs under the assumption that the primitive shocks are mutually independent. First, a framework is proposed to accommodate a disaster-type variable with infinite variance into a SVAR. We show that the least squares estimates of the SVAR are consistent but have non-standard asymptotics. Second, the disaster shock is identified as the component with the largest kurtosis and whose impact effect is negative. An estimator that is robust to…

双重稳健泛函的极小极大核学习及近端因果推断应用AI 解读

Robins et al. (2008) introduced a class of influence functions (IFs) which could be used to obtain doubly robust moment functions for the corresponding parameters. However, that class does not include the IF of parameters for which the nuisance functions are solutions to integral equations. Such parameters are particularly important in the field of causal inference, specifically in the recently proposed proximal causal inference framework of Tchetgen Tchetgen et al. (2020),…

随机与观测研究中因果风险率比的敏感性分析AI 解读

The Hazard Ratio (HR) is often reported as the main causal effect when studying survival data. Despite its popularity, the HR suffers from an unclear causal interpretation. As already pointed out in the literature, there is a built-in selection bias in the HR, because similarly to the truncation by death problem, the HR conditions on post-treatment survival. A recently proposed alternative, inspired by the Survivor Average Causal Effect (SACE), is the causal HR, defined as…

因子增强线性模型的估计及学生成绩数据应用AI 解读

In many longitudinal settings, economic theory does not guide practitioners on the type of restrictions that must be imposed to solve the rotational indeterminacy of factor-augmented linear models. We study this problem and offer several novel results on identification using internally generated instruments. We propose a new class of estimators and establish large sample results using recent developments on clustered samples and high-dimensional models. We carry out…

加权平均分位数回归AI 解读

In this paper, we introduce the weighted-average quantile regression framework, $\int_0^1 q_{Y|X}(u)ψ(u)du = X'β$, where $Y$ is a dependent variable, $X$ is a vector of covariates, $q_{Y|X}$ is the quantile function of the conditional distribution of $Y$ given $X$, $ψ$ is a weighting function, and $β$ is a vector of parameters. We argue that this framework is of interest in many applied settings and develop an estimator of the vector of parameters $β$. We show that our…

时变 VAR 模型的平滑在线参数估计：大鼠局部场电位应用AI 解读

Multivariate time series data appear often as realizations of non-stationary processes where the covariance matrix or spectral matrix smoothly evolve over time. Most of the current approaches estimate the time-varying spectral properties only retrospectively - that is, after the entire data has been observed. Retrospective estimation is a major limitation in many adaptive control applications where it is important to estimate these properties and detect changes in the system…

Metropolis-Hastings 采样器的方差缩减AI 解读

We introduce a general framework that constructs estimators with reduced variance for random walk Metropolis and Metropolis-adjusted Langevin algorithms. The resulting estimators require negligible computational cost and are derived in a post-process manner utilising all proposal values of the Metropolis algorithms. Variance reduction is achieved by producing control variates through the approximate solution of the Poisson equation associated with the target density of the…

三维引力模型中的潜在非平衡性AI 解读

Many panel data sets used for pseudo-poisson estimation of three-way gravity models are implicitly unbalanced because uninformative observations are redundant for the estimation. We show with real data as well as simulations that this phenomenon, which we call latent unbalancedness, amplifies the inference problem recently studied by Weidner and Zylkin (2021).

潜在分组生产函数估计的 Classifier-Lasso 方法AI 解读

I present a new estimation procedure for production functions with latent group structures. I consider production functions that are heterogeneous across groups but time-homogeneous within groups, and where the group membership of the firms is unknown. My estimation procedure is fully data-driven and embeds recent identification strategies from the production function literature into the classifier-Lasso. Simulation experiments demonstrate that firms are assigned to their…

在线平衡实验设计AI 解读

e consider the experimental design problem in an online environment, an important practical task for reducing the variance of estimates in randomized experiments which allows for greater precision, and in turn, improved decision making. In this work, we present algorithms that build on recent advances in online discrepancy minimization which accommodate both arbitrary treatment probabilities and multiple treatments. The proposed algorithms are computational efficient,…

潜在因子回归与稀疏回归是否充分？AI 解读

We propose the Factor Augmented sparse linear Regression Model (FARM) that not only encompasses both the latent factor regression and sparse linear regression as special cases but also bridges dimension reduction and sparse regression together. We provide theoretical guarantees for the estimation of our model under the existence of sub-Gaussian and heavy-tailed noises (with bounded (1+x)-th moment, for all x>0), respectively. In addition, the existing works on supervised…

折点阈值估计与连续性检验的极小极大风险AI 解读

We derive a risk lower bound in estimating the threshold parameter without knowing whether the threshold regression model is continuous or not. The bound goes to zero as the sample size $ n $ grows only at the cube root rate. Motivated by this finding, we develop a continuity test for the threshold regression model and a bootstrap to compute its \textit{p}-values. The validity of the bootstrap is established, and its finite sample property is explored through Monte Carlo…

基于优化的因果效应估计方法：综述与实证比较AI 解读

In the absence of randomized controlled and natural experiments, it is necessary to balance the distributions of (observable) covariates of the treated and control groups in order to obtain an unbiased estimate of a causal effect of interest; otherwise, a different effect size may be estimated, and incorrect recommendations may be given. To achieve this balance, there exist a wide variety of methods. In particular, several methods based on optimization models have been…

动态系统时变参数的流形约束高斯过程推断AI 解读

Identification of parameters in ordinary differential equations (ODEs) is an important and challenging task when modeling dynamic systems in biomedical research and other scientific areas, especially with the presence of time-varying parameters. This article proposes a fast and accurate method, TVMAGI (Time-Varying MAnifold-constrained Gaussian process Inference), to estimate both time-constant and time-varying parameters in the ODE using noisy and sparse observation data.…

清晰与模糊断点及折点设计中的层级高斯过程模型AI 解读

We propose nonparametric Bayesian estimators for causal inference exploiting Regression Discontinuity/Kink (RD/RK) under sharp and fuzzy designs. Our estimators are based on Gaussian Process (GP) regression and classification. The GP methods are powerful probabilistic machine learning approaches that are advantageous in terms of derivative estimation and uncertainty quantification, facilitating RK estimation and inference of RD/RK models. These estimators are extended to…

动态时空 ARCH 模型AI 解读

Geo-referenced data are characterized by an inherent spatial dependence due to the geographical proximity. In this paper, we introduce a dynamic spatiotemporal autoregressive conditional heteroscedasticity (ARCH) process to describe the effects of (i) the log-squared time-lagged outcome variable, i.e., the temporal effect, (ii) the spatial lag of the log-squared outcome variable, i.e., the spatial effect, and (iii) the spatial lag of the log-squared time-lagged outcome…

利用贝叶斯非参数模型预测美国通胀AI 解读

The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we develop a model for inflation forecasting that is nonparametric both in the conditional mean and in the error using Gaussian and Dirichlet processes, respectively. We discuss how both these features may be important in producing accurate…