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平稳向量自回归模型阶数的贝叶斯推断AI 解读

Vector autoregressions (VARs) are a widely used tool for modelling multivariate time-series. It is common to assume a VAR is stationary; this can be enforced by imposing the stationarity condition which restricts the parameter space of the autoregressive coefficients to the stationary region. However, implementing this constraint is difficult due to the complex geometry of the stationary region. Fortunately, recent work has provided a solution for autoregressions of fixed…

SpaCE：空间混杂评测环境AI 解读

Spatial confounding poses a significant challenge in scientific studies involving spatial data, where unobserved spatial variables can influence both treatment and outcome, possibly leading to spurious associations. To address this problem, we introduce SpaCE: The Spatial Confounding Environment, the first toolkit to provide realistic benchmark datasets and tools for systematically evaluating causal inference methods designed to alleviate spatial confounding. Each dataset…

星系形成中的先天与后天因素：用因果机器学习研究环境对恒星形成的影响AI 解读

Understanding how galaxies form and evolve is at the heart of modern astronomy. With the advent of large-scale surveys and simulations, remarkable progress has been made in the last few decades. Despite this, the physical processes behind the phenomena, and particularly their importance, remain far from known, as correlations have primarily been established rather than the underlying causality. We address this challenge by applying the causal inference framework.…

随机实验中的内生干扰AI 解读

This paper investigates the identification and inference of treatment effects in randomized controlled trials with social interactions. Two key network features characterize the setting and introduce endogeneity: (1) latent variables may affect both network formation and outcomes, and (2) the intervention may alter network structure, mediating treatment effects. I make three contributions. First, I define parameters within a post-treatment network framework, distinguishing…

大维矩阵因子模型的广义主成分分析AI 解读

Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components has barely received any attention. Starting from the pseudo likelihood function, this paper introduces a Generalized Principal Component Analysis (GPCA) method for matrix factor model which takes the heteroscedasticity into account. Theoretically, we first derive the asymptotic distributions of the…

从旋转不变性到标量不变性：提升得分驱动因子模型的可识别性AI 解读

We show that, for a certain class of scaling matrices including the commonly used inverse square-root of the conditional Fisher Information, score-driven factor models are identifiable up to a multiplicative scalar constant under very mild restrictions. This result has no analogue in parameter-driven models, as it exploits the different structure of the score-driven factor dynamics. Consequently, score-driven models offer a clear advantage in terms of economic…

无排除限制的样本选择模型局部稳健半参数估计AI 解读

Existing identification and estimation methods for semiparametric sample selection models rely heavily on exclusion restrictions. However, it is difficult in practice to find a credible excluded variable that has a correlation with selection but no correlation with the outcome. In this paper, we establish a new identification result for a semiparametric sample selection model without the exclusion restriction. The key identifying assumptions are nonlinearity on the selection…

含协变量的局部平均处理效应推断AI 解读

In theory, two-stage least squares (TSLS) identifies a weighted average of covariate-specific local average treatment effects (LATEs) from a saturated specification, without making parametric assumptions on how available covariates enter the model. In practice, TSLS is severely biased as saturation leads to a large number of control dummies and an equally large number of, arguably weak, instruments. This paper derives asymptotically valid tests and confidence intervals for…

环境不变线性最小二乘AI 解读

This paper considers a multi-environment linear regression model in which data from multiple experimental settings are collected. The joint distribution of the response variable and covariates may vary across different environments, yet the conditional expectations of $y$ given the unknown set of important variables are invariant. Such a statistical model is related to the problem of endogeneity, causal inference, and transfer learning. The motivation behind it is…

近似邻域干扰下的辅助变量调整AI 解读

Randomized experiments are the gold standard for causal inference. However, traditional assumptions, such as the Stable Unit Treatment Value Assumption (SUTVA), often fail in real-world settings where interference between units is present. Network interference, in particular, has garnered significant attention. Structural models, like the linear-in-means model, are commonly used to describe interference; but they rely on the correct specification of the model, which can be…

Stein 传输用于贝叶斯推断AI 解读

We introduce $\textit{Stein transport}$, a novel methodology for Bayesian inference designed to efficiently push an ensemble of particles along a predefined curve of tempered probability distributions. The driving vector field is chosen from a reproducing kernel Hilbert space and can be derived either through a suitable kernel ridge regression formulation or as an infinitesimal optimal transport map in the Stein geometry. The update equations of Stein transport resemble…

利用贝叶斯神经场实现可扩展的时空预测AI 解读

Spatiotemporal datasets, which consist of spatially-referenced time series, are ubiquitous in diverse applications, such as air pollution monitoring, disease tracking, and cloud-demand forecasting. As the scale of modern datasets increases, there is a growing need for statistical methods that are flexible enough to capture complex spatiotemporal dynamics and scalable enough to handle many observations. This article introduces the Bayesian Neural Field (BayesNF), a…

基于方差加权投影的高维二元协变量 Logistic 回归有效贝叶斯推断AI 解读

We address the challenge of conducting inference for a categorical treatment effect related to a binary outcome variable while taking into account high-dimensional baseline covariates. The conventional technique used to establish orthogonality for the treatment effect from nuisance variables in continuous cases is inapplicable in the context of binary treatment. To overcome this obstacle, an orthogonal score tailored specifically to this scenario is formulated which is based…

局部平稳函数型时间序列均值的置信曲面AI 解读

The problem of constructing a simultaneous confidence surface for the 2-dimensional mean function of a non-stationary functional time series is challenging as these bands can not be built on classical limit theory for the maximum absolute deviation between an estimate and the time-dependent regression function. In this paper, we propose a new bootstrap methodology to construct such a region. Our approach is based on a Gaussian approximation for the maximum norm of sparse…

多元时间序列数据的隐私与效用平衡AI 解读

Utility-preserving data privatization is of utmost importance for data-producing agencies. The popular noise-addition privacy mechanism distorts autocorrelation patterns in time series data, thereby marring utility; in response, McElroy et al. (2023) introduced all-pass filtering (FLIP) as a utility-preserving time series data privatization method. Adapting this concept to multivariate data is more complex, and in this paper we propose a multivariate all-pass (MAP) filtering…

用于条件均值根号样本量一致估计的去偏回归AI 解读

This study introduces a debiasing method for regression estimators, including high-dimensional and nonparametric regression estimators. For example, nonparametric regression methods allow for the estimation of regression functions in a data-driven manner with minimal assumptions; however, these methods typically fail to achieve $\sqrt{n}$-consistency in their convergence rates, and many, including those in machine learning, lack guarantees that their estimators…

加州电价预测中的异常检测：利用主成分分析提高准确性与可靠性AI 解读

Accurate and reliable electricity price forecasting has significant practical implications for grid management, renewable energy integration, power system planning, and price volatility management. This study focuses on enhancing electricity price forecasting in California's grid, addressing challenges from complex generation data and heteroskedasticity. Utilizing principal component analysis (PCA), we analyze CAISO's hourly electricity prices and demand from 2016-2021 to…

二值结局的改进Poisson与最小二乘回归的岭、lasso与弹性网估计AI 解读

Logistic regression is a standard method in multivariate analysis for binary outcome data in epidemiological and clinical studies; however, the resultant odds-ratio estimates fail to provide directly interpretable effect measures. The modified Poisson and least-squares regressions are alternative standard methods that can provide risk-ratio and risk difference estimates without computational problems. However, the bias and invalid inference problems of these regression…

二元随机实验中符合因果结构的先验AI 解读

We introduce the BREASE framework for the Bayesian analysis of randomized controlled trials with a binary treatment and a binary outcome. Approaching the problem from a causal inference perspective, we propose parameterizing the likelihood in terms of the baselinerisk, efficacy, and adverse side effects of the treatment, along with a flexible, yet intuitive and tractable jointly independent beta prior distribution on these parameters, which we show to be a generalization of…

利用新两阶段个体合成控制方法估计非正式照护成本AI 解读

Informal carers provide the majority of care for people living with challenges related to older age, long-term illness, or disability. However, the care they provide often results in a significant income penalty for carers, a factor largely overlooked in the economics literature and policy discourse. Leveraging data from the UK Household Longitudinal Study, this paper provides the first robust causal estimates of the caring income penalty using a novel individual synthetic…

何时选择混杂调整或工具变量：因果效应估计的比较AI 解读

In observational studies, potential unobserved confounding is a major barrier in isolating the average causal effect (ACE). In these scenarios, two main approaches are often used: confounder adjustment for causality (CAC) and instrumental variable analysis for causation (IVAC). Nevertheless, both are subject to untestable assumptions and, therefore, it may be unclear which assumption violation scenarios one method is superior in terms of mitigating inconsistency for the ACE.…

重尾误差线性回归模型的稳健贝叶斯模型平均AI 解读

Our goal is to develop a Bayesian model averaging technique in linear regression models that accommodates heavier tailed error densities than the normal distribution. Motivated by the use of the Huber loss function in the presence of outliers, the Bayesian Huberized lasso with hyperbolic errors has been proposed and recently implemented in the literature (Park and Casella (2008); Kawakami and Hashimoto (2023)). Since the Huberized lasso cannot enforce regression coefficients…

重尾污染比对抗性污染更容易AI 解读

A large body of work in the statistics and computer science communities dating back to Huber (Huber, 1960) has led to statistically and computationally efficient outlier-robust estimators. Two particular outlier models have received significant attention: the adversarial and heavy-tailed models. While the former models outliers as the result of a malicious adversary manipulating the data, the latter relaxes distributional assumptions on the data allowing outliers to…

个体福利分析：随机准线性效用、独立性与置信界限AI 解读

We introduce a novel framework for individual-level welfare analysis. It builds on a parametric model for continuous demand with a quasilinear utility function, allowing for heterogeneous coefficients and unobserved individual-good-level preference shocks. We obtain bounds on the individual-level consumer welfare loss at any confidence level due to a hypothetical price increase, solving a scalable optimization problem constrained by a novel confidence set under an…