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弱模型依赖的空间参数收缩与模型平均AI 解读

Economic decisions often depend on many noisy estimates of quantities such as neighborhood effects, school quality, and hospital performance. Shrinkage estimation can improve decisions by pooling information across related units, but geography, adjacency, and shared characteristics each define a different notion of relatedness, and each implies a different way of pooling. We treat the choice of relatedness as part of the estimation problem, using Stein's Unbiased Risk…

相关 VAR 时间序列的匹配AI 解读

We study the problem of matching correlated VAR time series databases, where a multivariate time series is observed along with a perturbed and permuted version, and the goal is to recover the unknown matching between them. To model this, we introduce a probabilistic framework in which two time series $(x_t)_{t\in[T]},(x^\#_t)_{t\in[T]}$ are jointly generated, such that $x^\#_t=x_{π^*(t)}+σ\tilde{x}_{π^*(t)}$, where $(x_t)_{t\in[T]},(\tilde{x}_t)_{t\in[T]}$ are independent…

正依赖条件下有序结果因果效应的界限AI 解读

Defining and estimating causal effects for ordinal data is challenging. Standard average treatment effects are not appropriate for ordinal scales, and alternative estimands, such as the probabilities that the treatment outcome exceeds or does not worsen the control outcome, are generally not identifiable. Existing work provides sharp bounds for these quantities based only on marginal distributions. Motivated by a previous observation showing that bounds obtained under an…

新产品需求的估计AI 解读

This paper develops an approach for estimating demand for a new product. Taking willingness to pay (WTP) as primitive, it establishes a general and yet analytically simple demand function, and proposes an estimation procedure that consistently recovers the underlying demand function from the WTP data. Monte Carlo simulations find the estimation procedure works well in identifying the demand function. This approach complements existing methods of demand estimation, and can be…

二项逻辑混合模型中的信息差距与可行性感知推断AI 解读

This paper studies the information gap between mixture detection and label recovery in binomial logistic mixtures. Standard likelihood-based criteria such as the Bayesian information criterion (BIC) can detect the presence of two components, but this does not guarantee that the corresponding labels are recoverable. We show that this gap is intrinsic to binomial logistic mixtures with a fixed number of trials: observed-data evidence for mixture structure and per-observation…

离散选择与竞争反应：R 包 cash 的端到端模拟AI 解读

Although discrete choice (choice-based conjoint) analysis has become a widely used technique for the elicitation of consumer preferences and hence a foundation for product design, to the best of our knowledge, there exists neither free and open-source nor commercial software that covers the game-theoretic simulation of competitive reactions among firms based on discrete choice models to improve decision making beyond traditional product (line) optimization. The R package…

Azadkia–Chatterjee 条件图相关系数的极限定理AI 解读

Inferring the strength of conditional dependence and testing conditional independence are fundamental problems in statistics. A recent breakthrough by Azadkia and Chatterjee introduced, for the first time, a conditional dependence measure that equals $0$ if and only if the variables under study are conditionally independent, and equals $1$ if and only if they are conditionally perfectly dependent. They further proposed a computationally efficient and strongly consistent…

具有潜在组结构的面板随机前沿模型AI 解读

Stochastic frontier models have attracted considerable attention due to the incorporation of an inefficiency term in addition to the conventional error term. In this paper, we propose a general estimation framework for panel stochastic frontier models that accommodates potential heterogeneity through latent group structures. The framework is tailored to the distinctive features of stochastic frontier models and is paired with a practical hybrid estimation procedure that…

原型发现问题的决策理论AI 解读

In the archetype discovery problem a researcher wants to summarize N heterogeneous policy effects of interest that vary over a discrete set of covariates. The goal is to partition the set of covariates into K<N groups -- the archetype sets -- and to provide a summary of the policy effects for each group. We use decision theory to show that, under a weighted mean-squared-error criterion, a procedure analogous to the Sorted Group Average Treatment Effects (GATES) solves the…

多重连续暴露的因果充分降维及其环境混合物应用AI 解读

Estimating causal effects with multivariate continuous exposures is challenging because causal exposure-response surfaces can be high-dimensional, complicating estimation and interpretation of joint exposure effects. Such settings arise in environmental epidemiology, where interest centers on the health effects of chemical and pollutant mixtures. We develop causal sufficient dimension reduction (CSDR), a semiparametric framework for representing causal exposure-response…

预测式贝叶斯回归中的设计分布AI 解读

The predictive approach to Bayesian inference accesses the posterior distribution via a sequence of one-step-ahead predictives, enabling inference via predictive resampling without Markov chain Monte Carlo. In the random-design regression setting, an explicit specification of the predictive design distribution is required, yet the impact of this choice has received little formal attention. We study the role of this predictive design distribution in parametric martingale…

用于金砖四国长记忆汇率预测的神经 ARFIMA 模型AI 解读

Exchange rate forecasting remains a challenging problem, particularly for emerging economies, where the observed time series exhibit pronounced long-memory dependence, nonlinear dynamics, and sensitivity to macro-financial drivers. Classical models such as ARFIMA capture long-range persistence but fail to adequately represent nonlinear relationships, while modern machine learning approaches often neglect the underlying long-memory structure in macroeconomic series. To…

面向脑影像的 logistic 矩阵回归：核范数与 ℓ1 联合正则化AI 解读

We introduce a new convex optimization framework for logistic scalar-on-matrix regression which incorporates nuclear and $\ell_1$ norm penalties to enforce simultaneously low-rank and sparse structures in the estimated coefficient matrix. The proposed method enables interpretable modeling of high-dimensional matrix-valued predictors in the presence of binary responses. We derive a custom algorithm based on the Alternating Direction Method of Multipliers (ADMM) to efficiently…

贝叶斯惩罚变换模型：面向任意条件分布的结构化可加位置—尺度回归AI 解读

Penalized transformation models (PTMs) are a semiparametric location-scale regression family that estimate a response's conditional distribution directly from the data, and model the location and scale through structured additive predictors. The core of the model is a monotonically increasing transformation function that relates the response distribution to a reference distribution. The transformation function is equipped with a smoothness prior that regularizes how much the…

使用 R 包 bpvars 的贝叶斯面板向量自回归预测AI 解读

The R package bpvars was designed to forecast employment, unemployment, and labour market participation rates of 189 countries. However, it is generally applicable to dynamic panel data due to the flexibility of its modelling framework and robust coding. It includes a family of Bayesian hierarchical panel Vector Autoregressions (VARs) that are characterised by: (i) country-specific VAR models (ii) with their parameters' priors centred around their global counterparts, and…

HSCI：高维比例风险模型下的 Neyman 正交因果推断AI 解读

Valid treatment effect inference in survival studies is fundamental yet challenging when the treatment assignments and outcomes are confounded by many baseline covariates. To this end, in this paper we propose a high-dimensional survival causal inference (HSCI) framework that delivers valid inference under a sparse high-dimensional Cox proportional hazards outcome model and a high-dimensional logistic propensity score working model. To mitigate the nuisance estimation bias,…

未观测群组情境下层级观测数据的因果效应 g-computationAI 解读

Observational studies frequently involve hierarchical data structures in which individuals are nested within higher-level units. In such settings, unmeasured cluster-level factors may confound the treatment-outcome relationship and may additionally induce treatment effect heterogeneity across clusters, complicating causal effect estimation. We formalize the use of g-computation for hierarchical observational data by incorporating random-effects models (REM) as outcome models…

颗粒工具变量：估计与推断AI 解读

We develop an estimation and inference framework for granular instrumental variables (GIVs) in models with latent aggregate shocks. Our key insight is that valid GIVs are characterized by the orthogonal complement of the factor-loading space. This characterization yields a feasible procedure for constructing GIVs when factor loadings are unknown and does not require a large cross-sectional dimension. We provide practical procedures for inference and specification testing,…

可靠的面板回归：缓慢变化且存在测量误差变量的默认分析流程AI 解读

Political scientists often interpret coefficient shrinkage under fixed effects as evidence that pooled associations are confounded. This paper shows why that inference is unreliable for slow-moving, mismeasured regressors. Fixed effects can remove much of the signal and identify coefficients from within-unit variation that is disproportionately measurement error, attenuating estimates toward zero. A lone fixed effects coefficient may therefore be unable to distinguish…

广义 Fisher 变换：有限样本性质与推断AI 解读

We study the finite-sample behavior of the Generalized Fisher Transformation (GFT), the parametrization of a correlation matrix $C$ by $γ(C)=\operatorname{vecl}\log C$. The GFT coordinates extend Fisher's transformation to dimension $n>2$: for elliptical data their finite-sample distributions are close to Gaussian. More strikingly, the coordinates are nearly uncorrelated and their covariance is largely invariant to $C$. This approximate orthogonality and invariance make…

广义去偏 Lasso 的稳定性及其在重抽样变量选择中的应用AI 解读

We propose a generalized debiased Lasso estimator based on a stability principle. When a single column of the design matrix is perturbed, the estimator admits a simple update formula that can be computed from the original solution. Under sub-Gaussian designs with well-conditioned covariance, this approximation is asymptotically accurate for all but a vanishing fraction of coordinates in the proportional growth regime. The proof relies on concentration and anti-concentration…

随机微分方程扩散参数估计的数据驱动子采样频率选择AI 解读

We study the problem of diffusion parameter estimation for stochastic differential equation (SDE) models in scenarios where data and model are compatible only on specific scales that have yet to be determined. We introduce a simple and efficient method for selecting suitable rates at which given time series data should be subsampled in order to ensure that the statistical structure of the subsampled data is consistent with the behavior of the SDE model on an infinitesimal…

连续处理的多变量增量效应：环境混合暴露的健康影响AI 解读

Evaluating the causal health effects of multivariate, continuous exposures, such as air pollution mixtures, is a critical public health challenge. A primary obstacle is the frequent violation of the positivity assumption, which renders the effects of standard deterministic interventions unidentified or heavily reliant on unreliable model extrapolation. In this paper, we develop a novel causal inference framework to address this challenge. We extend exponential tilting to…

通过倾向得分聚合实现多站点观测数据的联邦因果推断AI 解读

Causal inference typically assumes centralized access to individual-level data. Yet, in practice, data are often decentralized across multiple sites, making centralization infeasible due to privacy, logistical, or legal constraints. We address this problem by estimating the Average Treatment Effect (ATE) from decentralized observational data via a Federated Learning (FL) approach, allowing inference through the exchange of aggregate statistics rather than individual-level…