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含分类工具变量的不可忽略无应答数据：可核查识别条件AI 解读

We consider a model identification problem in which an outcome variable contains nonignorable missing values. Statistical inference requires a guarantee of the model identifiability to obtain estimators enjoying theoretically reasonable properties such as consistency and asymptotic normality. Recently, instrumental or shadow variables, combined with the completeness condition in the outcome model, have been highlighted to make a model identifiable. However, the completeness…

通过反事实推断识别淀粉样蛋白积累与阿尔茨海默病进展的因果关系AI 解读

Alzheimer's disease (AD) is a neurodegenerative disorder that is beginning with amyloidosis, followed by neuronal loss and deterioration in structure, function, and cognition. The accumulation of amyloid-beta in the brain, measured through 18F-florbetapir (AV45) positron emission tomography (PET) imaging, has been widely used for early diagnosis of AD. However, the relationship between amyloid-beta accumulation and AD pathophysiology remains unclear, and causal inference…

带因果正则化的神经算法推理AI 解读

Recent work on neural algorithmic reasoning has investigated the reasoning capabilities of neural networks, effectively demonstrating they can learn to execute classical algorithms on unseen data coming from the train distribution. However, the performance of existing neural reasoners significantly degrades on out-of-distribution (OOD) test data, where inputs have larger sizes. In this work, we make an important observation: there are many different inputs for which an…

结合机器学习的直接与间接分位数处理效应双重稳健估计AI 解读

We suggest double/debiased machine learning estimators of direct and indirect quantile treatment effects under a selection-on-observables assumption. This permits disentangling the causal effect of a binary treatment at a specific outcome rank into an indirect component that operates through an intermediate variable called mediator and an (unmediated) direct impact. The proposed method is based on the efficient score functions of the cumulative distribution functions of…

利用最优传输量化边际问题中的分布模型风险AI 解读

This paper studies distributional model risk in marginal problems, where each marginal measure is assumed to lie in a Wasserstein ball centered at a fixed reference measure with a given radius. Theoretically, we establish several fundamental results including strong duality, finiteness of the proposed Wasserstein distributional model risk, and the existence of an optimizer at each radius. In addition, we show continuity of the Wasserstein distributional model risk as a…

通过协同学习实现近最优异方差回归AI 解读

We consider the problem of heteroscedastic linear regression, where, given $n$ samples $(\mathbf{x}_i, y_i)$ from $y_i = \langle \mathbf{w}^{*}, \mathbf{x}_i \rangle + ε_i \cdot \langle \mathbf{f}^{*}, \mathbf{x}_i \rangle$ with $\mathbf{x}_i \sim N(0,\mathbf{I})$, $ε_i \sim N(0,1)$, we aim to estimate $\mathbf{w}^{*}$. Beyond classical applications of such models in statistics, econometrics, time series analysis etc., it is also particularly relevant in machine learning…

Yule–Frisch–Waugh–Lovell 定理AI 解读

This paper traces the historical and analytical development of what is known in the econometrics literature as the Frisch-Waugh-Lovell theorem. This theorem demonstrates that the coefficients on any subset of covariates in a multiple regression is equal to the coefficients in a regression of the residualized outcome variable on the residualized subset of covariates, where residualization uses the complement of the subset of covariates of interest. In this paper, I suggest…

弱识别函数的强识别泛函推断AI 解读

In a variety of applications, including nonparametric instrumental variable (NPIV) analysis, proximal causal inference under unmeasured confounding, and missing-not-at-random data with shadow variables, we are interested in inference on a continuous linear functional (e.g., average causal effects) of nuisance function (e.g., NPIV regression) defined by conditional moment restrictions. These nuisance functions are generally weakly identified, in that the conditional moment…

HAC 标准误估计的统一频域交叉验证方法AI 解读

A unified frequency domain cross-validation (FDCV) method is proposed to obtain a heteroskedasticity and autocorrelation consistent (HAC) standard error. This method enables model/tuning parameter selection across both parametric and nonparametric spectral estimators simultaneously. The candidate class for this approach consists of restricted maximum likelihood-based (REML) autoregressive spectral estimators and lag-weights estimators with the Parzen kernel. Additionally, an…

极小极大最优的子群识别AI 解读

Quantifying treatment effect heterogeneity is a crucial task in many areas of causal inference, e.g. optimal treatment allocation and estimation of subgroup effects. We study the problem of estimating the level sets of the conditional average treatment effect (CATE), identified under the no-unmeasured-confounders assumption. Given a user-specified threshold, the goal is to estimate the set of all units for whom the treatment effect exceeds that threshold. For example, if the…

大型贝叶斯向量自回归的变分推断AI 解读

We propose a novel variational Bayes approach to estimate high-dimensional vector autoregression (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a conventional structural VAR representation of the parameter space for posterior inference. Instead, we elicit hierarchical shrinkage priors directly on the matrix of regression coefficients so that (1) the prior structure directly maps into posterior inference on the reduced-form transition matrix,…

用于因果推断的变量重要性匹配AI 解读

Our goal is to produce methods for observational causal inference that are auditable, easy to troubleshoot, accurate for treatment effect estimation, and scalable to high-dimensional data. We describe a general framework called Model-to-Match that achieves these goals by (i) learning a distance metric via outcome modeling, (ii) creating matched groups using the distance metric, and (iii) using the matched groups to estimate treatment effects. Model-to-Match uses variable…

保序回归中的子群选择AI 解读

Given a sample of covariate-response pairs, we consider the subgroup selection problem of identifying a subset of the covariate domain where the regression function exceeds a pre-determined threshold. We introduce a computationally-feasible approach for subgroup selection in the context of multivariate isotonic regression based on martingale tests and multiple testing procedures for logically-structured hypotheses. Our proposed procedure satisfies a non-asymptotic, uniform…

存在网络溢出的线性成对数据模型推断AI 解读

When using dyadic data (i.e., data indexed by pairs of units), researchers typically assume a linear model, estimate it using Ordinary Least Squares and conduct inference using ``dyadic-robust" variance estimators. The latter assumes that dyads are uncorrelated if they do not share a common unit (e.g., if the same individual is not present in both pairs of data). We show that this assumption does not hold in many empirical applications because indirect links may exist due to…

序贯实验结束后的最优检验AI 解读

Recent years have seen tremendous advances in the theory and application of sequential experiments. While these experiments are not always designed with hypothesis testing in mind, researchers may still be interested in performing tests after the experiment is completed. The purpose of this paper is to aid in the development of optimal tests for sequential experiments by analyzing their asymptotic properties. Our key finding is that the asymptotic power function of any test…

结合外部观测数据识别与估计临床试验长期处理效应AI 解读

In biomedical studies, estimating drug effects on chronic diseases requires a long follow-up period, which is difficult to meet in randomized clinical trials (RCTs). The use of a short-term surrogate to replace the long-term outcome for assessing the drug effect relies on stringent assumptions that empirical studies often fail to satisfy. Motivated by a kidney disease study, we investigate the drug effects on long-term outcomes by combining an RCT without observation of…

异质因果图中的异质性处理效应AI 解读

Heterogeneity and comorbidity are two interwoven challenges associated with various healthcare problems that greatly hampered research on developing effective treatment and understanding of the underlying neurobiological mechanism. Very few studies have been conducted to investigate heterogeneous causal effects (HCEs) in graphical contexts due to the lack of statistical methods. To characterize this heterogeneity, we first conceptualize heterogeneous causal graphs (HCGs) by…

近端因果识别算法AI 解读

Unobserved confounding is a fundamental obstacle to establishing valid causal conclusions from observational data. Two complementary types of approaches have been developed to address this obstacle: obtaining identification using fortuitous external aids, such as instrumental variables or proxies, or by means of the ID algorithm, using Markov restrictions on the full data distribution encoded in graphical causal models. In this paper we aim to develop a synthesis of the…

更稳健的聚集与缺口弹性估计AI 解读

This paper studies the bunching identification strategy for an elasticity parameter that summarizes agents' responses to changes in slope (kink) or intercept (notch) of a schedule of incentives. We show that current bunching methods may be very sensitive to implicit assumptions in the literature about unobserved individual heterogeneity. We overcome this sensitivity concern with new non- and semi-parametric estimators. Our estimators allow researchers to show how bunching…

类周期信号的拓扑特征AI 解读

We present a method to construct signatures of periodic-like data. Based on topological considerations, our construction encodes information about the order and values of local extrema. Its main strength is robustness to reparametrisation of the observed signal, so that it depends only on the form of the periodic function. The signature converges as the observation contains increasingly many periods. We show that it can be estimated from the observation of a single time…

含隐藏变量因果图中最优调整集的充要图条件AI 解读

The problem of selecting optimal backdoor adjustment sets to estimate causal effects in graphical models with hidden and conditioned variables is addressed. Previous work has defined optimality as achieving the smallest asymptotic estimation variance and derived an optimal set for the case without hidden variables. For the case with hidden variables there can be settings where no optimal set exists and currently only a sufficient graphical optimality criterion of limited…

多元时间序列贝叶斯谱分析的非参数修正似然AI 解读

This paper presents a novel approach to Bayesian nonparametric spectral analysis of stationary multivariate time series. Starting with a parametric vector-autoregressive model, the parametric likelihood is nonparametrically adjusted in the frequency domain to account for potential deviations from parametric assumptions. We show mutual contiguity of the nonparametrically corrected likelihood, the multivariate Whittle likelihood approximation and the exact likelihood for…

基于高阶模体的时间序列分类与电网强迫振荡源定位AI 解读

Time series motifs are used for discovering higher-order structures of time series data. Based on time series motifs, the motif embedding correlation field (MECF) is proposed to characterize higher-order temporal structures of dynamical system time series. A MECF-based unsupervised learning approach is applied in locating the source of the forced oscillation (FO), a periodic disturbance that detrimentally impacts power grids. Locating the FO source is imperative for system…

潜在情境下基于多数据集的时间序列因果发现AI 解读

Causal discovery from time series data is a typical problem setting across the sciences. Often, multiple datasets of the same system variables are available, for instance, time series of river runoff from different catchments. The local catchment systems then share certain causal parents, such as time-dependent large-scale weather over all catchments, but differ in other catchment-specific drivers, such as the altitude of the catchment. These drivers can be called temporal…