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鞅持续触发时：真实预测流中的随时有效门控AI 解读

Machine learning systems are increasingly corrected while they run, and the decision of when to intervene is increasingly delegated to statistical monitors. Anytime-valid inference promises evidence that can be acted on at any moment, exactly the guarantee this setting needs, and it is moving from theory into deployed monitoring. Conformal test martingales are the change-detection instrument, and Ville's inequality caps their false-alarm probability on exchangeable data. The…

随机波动率管理组合的灵活变分近似AI 解读

This paper investigates volatility-managed portfolios through a variational Bayes approach that smooths stochastic volatility forecasts. Our algorithm exhibits competitive performance relative to established methods both in terms of inferential accuracy and computational efficiency. Analyzing equity factors and characteristic-based portfolios, we show that smoothing reduces excess leverage and turnover, significantly improving risk-adjusted returns after transaction costs.…

高维混杂下纵向数据的异质性分位数处理效应估计（第二版）AI 解读

Causal inference plays a fundamental role in various real-world applications. However, in the motivating non-small cell lung cancer (NSCLC) study, it is challenging to estimate the treatment effect of chemotherapy on circulating tumor DNA (ctDNA). First, the heterogeneous treatment effects vary across patient subgroups defined by baseline characteristics. Second, there exists a broad set of demographic, clinical and molecular variables act as potential confounders. Third,…

从名义价值到实际价值：稳定币的最大似然方法AI 解读

Stablecoins, typically pegged to fiat currencies, cannot achieve true stability because they inherit fluctuations in the underlying unit of account. To overcome this limitation, we introduce a stablecoin pegged to the Maximum Likelihood Value (MLV), a newly defined unit of account derived as the most probable configuration of latent real-value movements that explains observed nominal-value (price) changes. Grounded in inferential statistics and modern portfolio theory, MLV…

存在传播过程的关联群体中的因果推断AI 解读

We address a gap in the literature on causal inference in connected populations: while there is a growing body of work on estimating causal effects in connected populations, little is known about how contagion and other network processes impact causal effects and inference. Contagion and other network processes imply that the outcomes of units affect the outcomes of other units, which enables the effects of interventions to propagate throughout connected populations and…

错时入组与随日历时间变化的效应：因果推断问题AI 解读

Studies with staggered entry, in which individuals enroll at different calendar times, are ubiquitous in medicine and related disciplines. Because these studies usually have a fixed administrative end of follow-up, identification of the estimand of interest relies on assumptions about the right-censoring mechanism. The assumptions are often considered plausible only conditional on covariates, including the time an individual entered the study (E). Yet, censoring assumptions…

测地空间中函数型数据与随机对象的回归不连续设计AI 解读

Regression discontinuity designs (RDDs) are widely used for causal inference in observational studies with cutoff-based treatment assignment, primarily for Euclidean outcomes. We propose the geodesic regression discontinuity design (GRDD), which extends RDDs to complex non-Euclidean outcomes, including networks, compositional data, functional data, and other random objects in geodesic metric spaces. Since algebraic operations are unavailable in such spaces, we define the…

通过惩罚最小二乘实现一步式分组因子分析AI 解读

In this article, we revisit the problem of group factor analysis and propose a one-step penalized least squares method to estimate the factor loadings and factors in large-dimensional group factor models, offering a distinct alternative to the conventional two-step principal component approach. Our procedure originates from the equivalence between the group factor structure and the carefully tailored identification conditions. Leveraging this insight, we develop a tricky…

随机对象与函数型数据的测地线合成控制AI 解读

We introduce a geodesic synthetic control method for causal inference with panel outcomes that are random objects in a geodesic metric space. Examples include distributions, compositions, networks, symmetric positive-definite matrices, trees and functional data, among other data types that require a geometry beyond Euclidean vector spaces. The proposed method replaces Euclidean weighted averages by weighted Fréchet means and defines treatment effects as geodesics connecting…

测地线双重差分AI 解读

Difference-in-differences (DID) is a widely used quasi-experimental design for causal inference, traditionally applied to scalar or Euclidean outcomes, while extensions to outcomes residing in non-Euclidean spaces remain limited. Existing methods for such outcomes have primarily focused on univariate distributions, leveraging linear operations in the space of quantile functions, but these approaches cannot be directly extended to outcomes in general metric spaces. In this…

存在网络溢出的交错双重差分：识别与估计AI 解读

This paper studies staggered difference-in-differences designs in which treated and comparison units can be exposed to other units' adoption. Using an exposure mapping specified by the researcher, we define realized and counterfactual exposure states and decompose the total effect into a switching effect of own adoption and a spillover effect under no own adoption. Conditional parallel trends identify the total and switching effects by matching, respectively, the…

多元空间小区域估计中随机效应的全局—局部收缩先验AI 解读

Small area estimation (SAE) plays a central role in survey statistics and epidemiology, providing reliable estimates for domains with limited sample sizes. The multivariate Fay-Herriot model has been extensively used for this purpose, because it enhances estimation accuracy by borrowing strength across multiple correlated variables. In this paper, we develop a Bayesian extension of the multivariate Fay-Herriot model that enables flexible, component-specific shrinkage of the…

簇规模饱和与 g 计算：信息性簇规模下的稳健因果推断AI 解读

Cluster randomized trials (CRTs) can exhibit informative cluster sizes (ICS) where cluster size is associated with outcomes and/or treatment effects. Under ICS, the individual and cluster-average treatment effects (iATE, cATE) can diverge, and the conventional linear mixed-effects model (LMM) and generalized estimating equation (GEE) with an exchangeable working correlation can produce data-dependent weighted contrasts that are not consistent for either estimand. In these…

利用 AI 生成测量识别缺失数据：弱影子变量方法AI 解读

Across business and social science applications, outcomes are often missing in ways that depend on the unobserved outcomes themselves. In service systems, for example, whether a customer submits a rating depends on the rating they would have provided. Such missing-not-at-random (MNAR) mechanisms make population quantities difficult to identify without strong assumptions on the observation process. Meanwhile, rich unstructured data, such as customer interaction histories, are…

异质性治疗效应蒸馏：因果推断中的稳定亚组估计AI 解读

Recent methodological developments have introduced new black-box approaches to better estimate heterogeneous treatment effects; however, these methods fall short of providing interpretable characterizations of the underlying individuals who may be most at risk or benefit most from receiving the treatment, thereby limiting their practical utility. In this work, we introduce causal distillation trees (CDT) to estimate interpretable subgroups. CDT allows researchers to fit any…

加权目标量的稳健推断AI 解读

Researchers often conduct inference on weighted estimands, defined as weighted averages of group-level effects. Example settings include event studies with cohort-level effects and experiments with site-level effects. Under heterogeneous effects, different weighting schemes yield estimands with distinct empirical and policy interpretations, leading to ambiguity and disagreement over the choice of weights. I establish bounds on differences between weighted estimands and…

亚组治疗效应的贝叶斯收缩方法：统一实现与比较AI 解读

Evaluating treatment effect heterogeneity across patient subgroups is a fundamental aspect of clinical trial analysis. These analyses have inherent limitations due to small sample sizes and the substantial number of subgroups investigated. There is a tendency to focus on extreme estimates, which may reflect random variation rather than true effects, potentially leading to spurious clinical conclusions. Statisticians in regulatory agencies and pharmaceutical companies have…

迭代式分布计算多项逻辑回归AI 解读

This article introduces an iterative distributed computing estimator for the multinomial logistic regression model with large choice sets. Compared to the maximum likelihood estimator, the proposed iterative distributed estimator achieves significantly faster computation and, when initialized with a consistent estimator, attains asymptotic efficiency under a weak dominance condition. Additionally, we propose a parametric bootstrap inference procedure based on the iterative…

因果—非因果状态空间模型与金融泡沫建模AI 解读

In this paper, we study causal non-causal state space models to model time series characterised by a local explosive increase followed by a sharp decrease such as stock prices. To motivate the use of causal non-causal state space models, we show that the causal non-causal convolution autoregressive model introduced by Gourieroux and Zakoian (2017) can be consistent with the rational expectations stock price model. As in a causal state space model, a central question is how…

SCAN：通过自适应非参数推断依次检测变点AI 解读

Modern time series are often long, serially dependent, and non-stationary. Existing change-point methods either target specific changes or become computationally intensive when using nonparametric costs on long series. Many also require thresholds to be carefully calibrated under serial dependence. We introduce SCAN, an offline method for detecting multiple distributional change-points in long, serially dependent univariate time series. SCAN compares adjacent windows using…

厚尾与随机波动率下规范化向量自回归预测软件的设计AI 解读

We present a suite of R packages for macroeconomic forecasting that leverages advanced Bayesian, structural, multivariate, dynamic, hierarchical, non-linear, and non-Gaussian models. The suite enables both structural and predictive analyses, and is adapted to time series data across various types, dimensions, and sampling frequencies. Each additional feature increases computational complexity. To address this challenge, our software design incorporates a carefully curated…

通过双重差分学习说服效应AI 解读

We develop a difference-in-differences framework to measure the persuasive impact of informational treatments on behavior in staggered treatment settings. We introduce two causal parameters, the forward and backward average persuasion rates on the treated, which refine the average treatment effect on the treated. The forward rate excludes cases of "preaching to the converted," while the backward rate omits "talking to a brick wall" cases. The backward rate coincides with the…

以 α 期望福利为目标的政策学习AI 解读

This paper proposes an optimal policy that targets the average welfare of the worst-off $α$-fraction of the post-treatment outcome distribution. We refer to this policy as the $α$-Expected Welfare Maximization ($α$-EWM) rule, where $α\in (0,1]$ denotes the size of the subpopulation of interest. The $α$-EWM rule interpolates between the expected welfare ($α=1$) and the Rawlsian welfare ($α\rightarrow 0$). For $α\in (0,1)$, an $α$-EWM rule can be interpreted as a…

协变量数量发散时协变量自适应随机化的理论性质AI 解读

Covariate-adaptive randomization procedures are widely used in clinical trials to improve covariate balance. In modern applications, experimenters often have access to many covariates, motivating the need for a theory of covariate-adaptive randomization procedures with a diverging number of covariates. This paper studies two classes of covariate-adaptive randomization procedures, referred to as imbalance-efficient covariate-adaptive randomization and imbalance-robust…