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生存分析中的时变中介：因果假设的图形表示AI 解读

We study time-dependent mediators in survival analysis using a treatment separation approach due to Didelez [2019] and based on earlier work by Robins and Richardson [2011]. This approach avoids nested counterfactuals and crossworld assumptions which are otherwise common in mediation analysis. The causal model of treatment, mediators, covariates, confounders and outcome is represented by causal directed acyclic graphs (DAGs). However, the DAGs tend to be very complex when we…

全基因组关联研究中 GhostKnockoffs 的稳健推断AI 解读

Genome-wide association studies (GWASs) have been extensively adopted to depict the underlying genetic architecture of complex diseases. Motivated by GWASs' limitations in identifying small effect loci to understand complex traits' polygenicity and fine-mapping putative causal variants from proxy ones, we propose a knockoff-based method which only requires summary statistics from GWASs and demonstrate its validity in the presence of relatedness. We show that GhostKnockoffs…

学习非马尔可夫行为的极限：费舍尔信息率与超额信息AI 解读

We address the fundamental limits of learning unknown parameters of any stochastic process from time-series data, and discover exact closed-form expressions for how optimal inference scales with observation length. Given a parametrized class of candidate models, the Fisher information of observed sequence probabilities lower-bounds the variance in model estimation from finite data. As sequence-length increases, the minimal variance scales as the square inverse of the length…

任意分布漂移下在线预测的保形推断AI 解读

We consider the problem of forming prediction sets in an online setting where the distribution generating the data is allowed to vary over time. Previous approaches to this problem suffer from over-weighting historical data and thus may fail to quickly react to the underlying dynamics. Here we correct this issue and develop a novel procedure with provably small regret over all local time intervals of a given width. We achieve this by modifying the adaptive conformal…

目标人群处理效应的联邦自适应因果估计（FACE）AI 解读

Federated learning of causal estimands may greatly improve estimation efficiency by leveraging data from multiple study sites, but robustness to heterogeneity and model misspecifications is vital for ensuring validity. We develop a Federated Adaptive Causal Estimation (FACE) framework to incorporate heterogeneous data from multiple sites to provide treatment effect estimation and inference for a flexibly specified target population of interest. FACE accounts for site-level…

含潜在混杂的时间序列因果祖先图刻画AI 解读

In this paper, we introduce a novel class of graphical models for representing time lag specific causal relationships and independencies of multivariate time series with unobserved confounders. We completely characterize these graphs and show that they constitute proper subsets of the currently employed model classes. As we show, from the novel graphs one can thus draw stronger causal inferences -- without additional assumptions. We further introduce a graphical…

GARCH 类模型的变分推断AI 解读

The Bayesian estimation of GARCH-family models has been typically addressed through Monte Carlo sampling. Variational Inference is gaining popularity and attention as a robust approach for Bayesian inference in complex machine learning models; however, its adoption in econometrics and finance is limited. This paper discusses the extent to which Variational Inference constitutes a reliable and feasible alternative to Monte Carlo sampling for Bayesian inference in GARCH-like…

部分指定的因果模拟AI 解读

Simulation studies play a key role in the validation of causal inference methods. The simulation results are reliable only if the study is designed according to the promised operational conditions of the method-in-test. Still, many causal inference literature tend to design over-restricted or misspecified studies. In this paper, we elaborate on the problem of improper simulation design for causal methods and compile a list of desiderata for an effective simulation framework.…

高维广义惩罚最小二乘AI 解读

In this paper we develop inference for high dimensional linear models, with serially correlated errors. We examine Lasso under the assumption of strong mixing in the covariates and error process, allowing for fatter tails in their distribution. While the Lasso estimator performs poorly under such circumstances, we estimate via GLS Lasso the parameters of interest and extend the asymptotic properties of the Lasso under more general conditions. Our theoretical results indicate…

马尔可夫切换时空 ARCH 模型AI 解读

Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) models neglect structural breaks triggered by sudden shocks that may lead to an overestimation of persistence, causing an upward bias in the estimates. Different regime-switching models that have abrupt regime-switching governed by a Markov chain were developed to model volatility in…

完全随机化与计算机辅助平衡设计下的样本依从者平均因果效应推断AI 解读

Non-compliance is common in real world experiments. We focus on inference about the sample complier average causal effect, that is, the average treatment effect for experimental units who are compliers. We present three types of inference strategies for the sample complier average causal effect: the Wald estimator, regression adjustment estimators and model-based Bayesian inference. Because modern computer assisted experimental designs have been used to improve covariate…

无微观结构噪声情形下的 SIML 方法AI 解读

The SIML (abbreviation of Separating Information Maximal Likelihood) method, has been introduced by N. Kunitomo and S. Sato and their collaborators to estimate the integrated volatility of high-frequency data that is assumed to be an Itô process but with so-called microstructure noise. The SIML estimator turned out to share many properties with the estimator introduced by P. Malliavin and M.E. Mancino. The present paper establishes the consistency and the asymptotic…

网络成员身份误分类下自我中心网络随机试验的因果溢出效应推断AI 解读

To leverage peer influence and increase population behavioral changes, behavioral interventions often rely on peer-based strategies. A common study design that assesses such strategies is the egocentric-network randomized trial (ENRT), in which those receiving the intervention are encouraged to disseminate information to their peers. The Average Spillover Effect (ASpE) measures the impact of the intervention on participants who do not receive it, but whose outcomes may be…

比较两个生存函数多项特征的同时推断程序AI 解读

Survival time is the primary endpoint of many randomized controlled trials, and a treatment effect is typically quantified by the hazard ratio under the assumption of proportional hazards. Awareness is increasing that in many settings this assumption is a-priori violated, e.g. due to delayed onset of drug effect. In these cases, interpretation of the hazard ratio estimate is ambiguous and statistical inference for alternative parameters to quantify a treatment effect is…

稀有结局下的政策学习AI 解读

Machine learning (ML) estimates of conditional average treatment effects (CATE) can guide policy decisions, either by allowing targeting of individuals with beneficial CATE estimates, or as inputs to decision trees that optimise overall outcomes. There is limited information available regarding how well these algorithms perform in real-world policy evaluation scenarios. Using synthetic data, we compare the finite sample performance of different policy learning algorithms,…

因果推断入门课程AI 解读

I developed the lecture notes based on my ``Causal Inference'' course at the University of California Berkeley over the past seven years. Since half of the students were undergraduates, my lecture notes only required basic knowledge of probability theory, statistical inference, and linear and logistic regressions.

基于稳健逐对角线低秩近似的多变量奇异谱分析AI 解读

Multivariate Singular Spectrum Analysis (MSSA) is a powerful and widely used nonparametric method for multivariate time series, which allows the analysis of complex temporal data from diverse fields such as finance, healthcare, ecology, and engineering. However, MSSA lacks robustness against outliers because it relies on the singular value decomposition, which is very sensitive to the presence of anomalous values. MSSA can then give biased results and lead to erroneous…

含加性噪声周期自回归模型的识别与验证：有限方差情形AI 解读

In this paper, we address the problem of modeling data with periodic autoregressive (PAR) time series and additive noise. In most cases, the data are processed assuming a noise-free model (i.e., without additive noise), which is not a realistic assumption in real life. The first two steps in PAR model identification are order selection and period estimation, so the main focus is on these issues. Finally, the model should be validated, so a procedure for analyzing the…

时间依赖下高维回归模型的变点推断AI 解读

This paper concerns about the limiting distributions of change point estimators, in a high-dimensional linear regression time series context, where a regression object $(y_t, X_t) \in \mathbb{R} \times \mathbb{R}^p$ is observed at every time point $t \in \{1, \ldots, n\}$. At unknown time points, called change points, the regression coefficients change, with the jump sizes measured in $\ell_2$-norm. We provide limiting distributions of the change point estimators in the…

不要求解唯一性的近端因果推断AI 解读

We consider identification and inference about a counterfactual outcome mean when there is unmeasured confounding using tools from proximal causal inference (Miao et al. [2018], Tchetgen Tchetgen et al. [2020]). Proximal causal inference requires existence of solutions to at least one of two integral equations. We motivate the existence of solutions to the integral equations from proximal causal inference by demonstrating that, assuming the existence of a solution to one of…

CausalGPS：连续暴露因果推断的 R 软件包AI 解读

Quantifying the causal effects of continuous exposures on outcomes of interest is critical for social, economic, health, and medical research. However, most existing software packages focus on binary exposures. We develop the CausalGPS R package that implements a collection of algorithms to provide algorithmic solutions for causal inference with continuous exposures. CausalGPS implements a causal inference workflow, with algorithms based on generalized propensity scores…

多终点优效性与非劣效性同时检验的直接方法AI 解读

Simultaneous tests of superiority and non-inferiority hypotheses on multiple endpoints are often performed in clinical trials to demonstrate that a new treatment is superior over a control on at least one endpoint and non-inferior on the remaining endpoints. Existing methods tackle this problem by testing the superiority and non-inferiority hypotheses separately and control the Type I error rate each at $α$ level. In this paper we propose a unified approach to testing the…

利用样条对扩散过程进行灵活贝叶斯推断AI 解读

We introduce a flexible method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We introduce spline bases to represent these functions and develop a Markov chain Monte Carlo algorithm to infer, a posteriori, the coefficients of these functions in the spline basis. A key innovation is that we use spline bases to model transformed versions of the drift and volatility functions rather than the functions themselves. The…

PaEBack：时间序列的帕累托有效近期子样本选择AI 解读

Time series forecasting has been a quintessential topic in data science, but traditionally, forecasting models have relied on extensive historical data. In this paper, we address a practical question: How much recent historical data is required to attain a targeted percentage of statistical prediction efficiency compared to the full time series? We propose the Pareto-Efficient Backsubsampling (PaEBack) method to estimate the percentage of the most recent data needed to…