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基于深度神经网络 GAN 的时间序列分布估计与变点估计AI 解读

The generative adversarial networks (GANs) have recently been applied to estimating the distribution of independent and identically distributed data, and have attracted a lot of research attention. In this paper, we use the blocking technique to demonstrate the effectiveness of GANs for estimating the distribution of stationary time series. Theoretically, we derive a non-asymptotic error bound for the Deep Neural Network (DNN)-based GANs estimator for the stationary…

隐私保护、通信高效且目标灵活的医院质量测量AI 解读

Integrating information from multiple data sources can enable more precise, timely, and generalizable decisions. However, it is challenging to make valid causal inferences using observational data from multiple data sources. For example, in healthcare, learning from electronic health records contained in different hospitals is desirable but difficult due to heterogeneity in patient case mix, differences in treatment guidelines, and data privacy regulations that preclude…

少量处理簇下双重差分推断的扩展AI 解读

In settings with few treated units, Difference-in-Differences (DID) estimators are not consistent, and are not generally asymptotically normal. This poses relevant challenges for inference. While there are inference methods that are valid in these settings, some of these alternatives are not readily available when there is variation in treatment timing and heterogeneous treatment effects; or for deriving uniform confidence bands for event-study plots. We present alternatives…

无需 Cookie 的隐私友好实验AI 解读

Consider two brands that want to jointly test alternate web experiences for their customers with an A/B test. Such collaborative tests are today enabled using \textit{third-party cookies}, where each brand has information on the identity of visitors to another website. With the imminent elimination of third-party cookies, such A/B tests will become untenable. We propose a two-stage experimental design, where the two brands only need to agree on high-level aggregate…

簇级有向无环图中的因果效应识别AI 解读

Reasoning about the effect of interventions and counterfactuals is a fundamental task found throughout the data sciences. A collection of principles, algorithms, and tools has been developed for performing such tasks in the last decades (Pearl, 2000). One of the pervasive requirements found throughout this literature is the articulation of assumptions, which commonly appear in the form of causal diagrams. Despite the power of this approach, there are significant settings…

mbsts 包：R 中的多变量贝叶斯结构时间序列模型AI 解读

The multivariate Bayesian structural time series (MBSTS) model is a general machine learning model that deals with inference and prediction for multiple correlated time series, where one also has the choice of using a different candidate pool of contemporaneous predictors for each target series. The MBSTS model has wide applications and is ideal for feature selection, time series forecasting, nowcasting, inferring causal impact, and others. This paper demonstrates how to use…

参数位于边界的时间序列模型：惩罚准似然估计与模型选择AI 解读

We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constraints on some or all of the parameters, as well as time-series dependence. It differs from classic non-penalized likelihood estimation, where limiting distributions of likelihood-based estimators and test-statistics are non-standard, and depend on the unknown number of parameters on the boundary of…

大规模数据因果推断的快速自助法算法AI 解读

Estimating causal effects from large experimental and observational data has become increasingly prevalent in both industry and research. The bootstrap is an intuitive and powerful technique used to construct standard errors and confidence intervals of estimators. Its application however can be prohibitively demanding in settings involving large data. In addition, modern causal inference estimators based on machine learning and optimization techniques exacerbate the…

不完整矩阵值时间序列的网络自回归AI 解读

We study the dynamics of matrix-valued time series with observed network structures by proposing a matrix network autoregression model with row and column networks of the subjects. We incorporate covariate information and a low rank intercept matrix. We allow incomplete observations in the matrices and the missing mechanism can be covariate dependent. To estimate the model, a two-step estimation procedure is proposed. The first step aims to estimate the network…

非平稳情形下的结构变化检验AI 解读

This Appendix (dated: July 2021) includes supplementary derivations related to the main limit results of the econometric framework for structural break testing in predictive regression models based on the OLS-Wald and IVX-Wald test statistics, developed by Katsouris C (2021). In particular, we derive the asymptotic distributions of the test statistics when the predictive regression model includes either mildly integrated or persistent regressors. Moreover, we consider the…

依赖删失下治疗效应的析因生存分析AI 解读

Factorial analyses offer a powerful nonparametric means to detect main or interaction effects among multiple treatments. For survival outcomes, e.g. from clinical trials, such techniques can be adopted for comparing reasonable quantifications of treatment effects. The key difficulty to solve in survival analysis concerns the proper handling of censoring. So far, all existing factorial analyses for survival data were developed under the independent censoring assumption, which…

利用观测数据进行分布鲁棒因果推断AI 解读

We consider the estimation of average treatment effects in observational studies and propose a new framework of robust causal inference with unobserved confounders. Our approach is based on distributionally robust optimization and proceeds in two steps. We first specify the maximal degree to which the distribution of unobserved potential outcomes may deviate from that of observed outcomes. We then derive sharp bounds on the average treatment effects under this assumption.…

基于梯度提升树的异质性处理效应增广学习AI 解读

Heterogeneous treatment effects (HTE) based on patients' genetic or clinical factors are of significant interest to precision medicine. Simultaneously modeling HTE and corresponding main effects for randomized clinical trials with high-dimensional predictive markers is challenging. Motivated by the modified covariates approach, we propose a two-stage statistical learning procedure for estimating HTE with optimal efficiency augmentation, generalizing to arbitrary interaction…

混杂情形下离策略评估的工具变量方法AI 解读

Off-policy evaluation (OPE) is a method for estimating the return of a target policy using some pre-collected observational data generated by a potentially different behavior policy. In some cases, there may be unmeasured variables that can confound the action-reward or action-next-state relationships, rendering many existing OPE approaches ineffective. This paper develops an instrumental variable (IV)-based method for consistent OPE in confounded Markov decision processes…

基于离散观测的随机反应扩散方程非参数校准AI 解读

Nonparametric estimation for semilinear SPDEs, namely stochastic reaction-diffusion equations in one space dimension, is studied. We consider observations of the solution field on a discrete grid in time and space with infill asymptotics in both coordinates. Firstly, we derive a nonparametric estimator for the reaction function of the underlying equation. The estimate is chosen from a finite-dimensional function space based on a least squares criterion. Oracle inequalities…

随机右删失下的工具变量分位数回归AI 解读

This paper studies a semiparametric quantile regression model with endogenous variables and random right censoring. The endogeneity issue is solved using instrumental variables. It is assumed that the structural quantile of the logarithm of the outcome variable is linear in the covariates and censoring is independent. The regressors and instruments can be either continuous or discrete. The specification generates a continuum of equations of which the quantile regression…

溯因推理与皮尔士：一百五十年之后AI 解读

This paper is about two things: (i) Charles Sanders Peirce (1837-1914) -- an iconoclastic philosopher and polymath who is among the greatest of American minds. (ii) Abductive inference -- a term coined by C. S. Peirce, which he defined as "the process of forming explanatory hypotheses. It is the only logical operation which introduces any new idea." Abductive inference and quantitative economics: Abductive inference plays a fundamental role in empirical scientific research…

因果效应估计：近期进展、挑战与机会AI 解读

Causal inference has numerous real-world applications in many domains, such as health care, marketing, political science, and online advertising. Treatment effect estimation, a fundamental problem in causal inference, has been extensively studied in statistics for decades. However, traditional treatment effect estimation methods may not well handle large-scale and high-dimensional heterogeneous data. In recent years, an emerging research direction has attracted increasing…

何时可以忽略运行变量中的测量误差AI 解读

In many applications of regression discontinuity designs, the running variable used by the administrator to assign treatment is only observed with error. We show that, provided the observed running variable (i) correctly classifies the treatment assignment, and (ii) affects the conditional means of the potential outcomes smoothly, ignoring the measurement error nonetheless yields an estimate with a causal interpretation: the average treatment effect for units whose observed…

使用路径签名的近似贝叶斯计算AI 解读

Simulation models often lack tractable likelihood functions, making likelihood-free inference methods indispensable. Approximate Bayesian computation generates likelihood-free posterior samples by comparing simulated and observed data through some distance measure, but existing approaches are often poorly suited to time series simulators, for example due to an independent and identically distributed data assumption. In this paper, we propose to use path signatures in…

存在地区干扰时的政策相关因果效应估计：费城饮料税应用AI 解读

To comprehensively evaluate a public policy intervention, researchers must consider the effects of the policy not just on the implementing region, but also nearby, indirectly-affected regions. For example, an excise tax on sweetened beverages in Philadelphia was shown to not only be associated with a decrease in volume sales of taxed beverages in Philadelphia, but also an increase in sales in bordering counties not subject to the tax. The latter association may be explained…

利用自监督视觉 Transformer 进行房地产估值AI 解读

The use of Artificial Intelligence (AI) in the real estate market has been growing in recent years. In this paper, we propose a new method for property valuation that utilizes self-supervised vision transformers, a recent breakthrough in computer vision and deep learning. Our proposed algorithm uses a combination of machine learning, computer vision and hedonic pricing models trained on real estate data to estimate the value of a given property. We collected and…

何时可以使用双向聚类稳健标准误AI 解读

Thousands of papers have reported two-way cluster-robust (TWCR) standard errors. However, the recent econometrics literature points out the potential non-gaussianity of two-way cluster sample means, and thus invalidity of the inference based on the TWCR standard errors. Fortunately, simulation studies nonetheless show that the gaussianity is rather common than exceptional. This paper provides theoretical support for this encouraging observation. Specifically, we derive a…

利用零效应降低单侧触发实验中的估计方差AI 解读

In online experiments where the intervention is only exposed, or "triggered", for a small subset of the population, it is critical to use variance reduction techniques to estimate treatment effects with sufficient precision to inform business decisions. Trigger-dilute analysis is often used in these situations, and reduces the sampling variance of overall intent-to-treat (ITT) effects by an order of magnitude equal to the inverse of the triggering rate; for example, a…