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动态系统时变参数的流形约束高斯过程推断AI 解读

Identification of parameters in ordinary differential equations (ODEs) is an important and challenging task when modeling dynamic systems in biomedical research and other scientific areas, especially with the presence of time-varying parameters. This article proposes a fast and accurate method, TVMAGI (Time-Varying MAnifold-constrained Gaussian process Inference), to estimate both time-constant and time-varying parameters in the ODE using noisy and sparse observation data.…

清晰与模糊断点及折点设计中的层级高斯过程模型AI 解读

We propose nonparametric Bayesian estimators for causal inference exploiting Regression Discontinuity/Kink (RD/RK) under sharp and fuzzy designs. Our estimators are based on Gaussian Process (GP) regression and classification. The GP methods are powerful probabilistic machine learning approaches that are advantageous in terms of derivative estimation and uncertainty quantification, facilitating RK estimation and inference of RD/RK models. These estimators are extended to…

动态时空 ARCH 模型AI 解读

Geo-referenced data are characterized by an inherent spatial dependence due to the geographical proximity. In this paper, we introduce a dynamic spatiotemporal autoregressive conditional heteroscedasticity (ARCH) process to describe the effects of (i) the log-squared time-lagged outcome variable, i.e., the temporal effect, (ii) the spatial lag of the log-squared outcome variable, i.e., the spatial effect, and (iii) the spatial lag of the log-squared time-lagged outcome…

存在未观测混杂时的序贯去混杂因果推断AI 解读

Using observational data to estimate the effect of a treatment is a powerful tool for decision-making when randomized experiments are infeasible or costly. However, observational data often yields biased estimates of treatment effects, since treatment assignment can be confounded by unobserved variables. A remedy is offered by deconfounding methods that adjust for such unobserved confounders. In this paper, we develop the Sequential Deconfounder, a method that enables…

利用 Wasserstein 空间方差最小化进行不变因果预测AI 解读

Selecting powerful predictors for an outcome is a cornerstone task for machine learning. However, some types of questions can only be answered by identifying the predictors that causally affect the outcome. A recent approach to this causal inference problem leverages the invariance property of a causal mechanism across differing experimental environments (Peters et al., 2016; Heinze-Deml et al., 2018). This method, invariant causal prediction (ICP), has a substantial…

个体化处理效应估计的集成方法AI 解读

In many medical and business applications, researchers are interested in estimating individualized treatment effects using data from a randomized experiment. For example in medical applications, doctors learn the treatment effects from clinical trials and in technology companies, researchers learn them from A/B testing experiments. Although dozens of machine learning models have been proposed for this task, it is challenging to determine which model will be best for the…

基于 Copula 熵条件独立检验的因果域适应AI 解读

Domain Adaptation (DA) is a typical problem in machine learning that aims to transfer the model trained on source domain to target domain with different distribution. Causal DA is a special case of DA that solves the problem from the view of causality. It embeds the probabilistic relationships in multiple domains in a larger causal structure network of a system and tries to find the causal source (or intervention) on the system as the reason of distribution drifts of the…

有能力共同基金的筛选：依赖结构下的错误发现控制AI 解读

Selecting skilled mutual funds through the multiple testing framework has received increasing attention from finance researchers and statisticians. The intercept $α$ of Carhart four-factor model is commonly used to measure the true performance of mutual funds, and positive $α$'s are considered as skilled. We observe that the standardized OLS estimates of $α$'s across the funds possess strong dependence and nonnormality structures, indicating that the conventional multiple…

条件独立左截断下的生存参数估计AI 解读

Databases derived from electronic health records (EHRs) are commonly subject to left truncation, a type of selection bias induced due to patients needing to survive long enough to satisfy certain entry criteria. Standard methods to adjust for left truncation bias rely on an assumption of marginal independence between entry and survival times, which may not always be satisfied in practice. In this work, we examine how a weaker assumption of conditional independence can result…

利用多图特征进行心理状态分类AI 解读

We consider the problem of extracting features from passive, multi-channel electroencephalogram (EEG) devices for downstream inference tasks related to high-level mental states such as stress and cognitive load. Our proposed method leverages recently developed multi-graph tools and applies them to the time series of graphs implied by the statistical dependence structure (e.g., correlation) amongst the multiple sensors. We compare the effectiveness of the proposed features to…

高维滞后 τ 样本自相关矩阵的奇异值AI 解读

We study the limiting behavior of singular values of a lag-$τ$ sample auto-correlation matrix $\bf{R}_τ^ε$ of error term $ε$ in the high-dimensional factor model. We establish the limiting spectral distribution (LSD) which characterizes the global spectrum of $\bf{R}_τ^ε$, and derive the limit of its largest singular value. All the asymptotic results are derived under the high-dimensional asymptotic regime where the data dimension and sample size go to infinity…

中位数最优处理规则AI 解读

Optimal treatment regimes are personalized policies for making a treatment decision based on subject characteristics, with the policy chosen to maximize some value. It is common to aim to maximize the mean outcome in the population, via a regime assigning treatment only to those whose mean outcome is higher under treatment versus control. However, the mean can be an unstable measure of centrality, resulting in imprecise statistical procedures, as well as unrobust decisions…

断点回归设计AI 解读

The Regression Discontinuity (RD) design is one of the most widely used non-experimental methods for causal inference and program evaluation. Over the last two decades, statistical and econometric methods for RD analysis have expanded and matured, and there is now a large number of methodological results for RD identification, estimation, inference, and validation. We offer a curated review of this methodological literature organized around the two most popular frameworks…

交互固定效应面板模型中处理效应的置信区间AI 解读

We consider the construction of confidence intervals for treatment effects estimated using panel models with interactive fixed effects. We first use the factor-based matrix completion technique proposed by Bai and Ng (2021) to estimate the treatment effects, and then use bootstrap method to construct confidence intervals of the treatment effects for treated units at each post-treatment period. Our construction of confidence intervals requires neither specific distributional…

状态空间模型中变分贝叶斯的推断与预测准确性AI 解读

Using theoretical and numerical results, we document the accuracy of commonly applied variational Bayes methods across a range of state space models. The results demonstrate that, in terms of accuracy on fixed parameters, there is a clear hierarchy in terms of the methods, with approaches that do not approximate the states yielding superior accuracy over methods that do. We also document numerically that the inferential discrepancies between the various methods often yield…

利用路径签名比率估计对高成本时间序列模拟器进行摊销式无似然推断AI 解读

Simulation models of complex dynamics in the natural and social sciences commonly lack a tractable likelihood function, rendering traditional likelihood-based statistical inference impossible. Recent advances in machine learning have introduced novel algorithms for estimating otherwise intractable likelihood functions using a likelihood ratio trick based on binary classifiers. Consequently, efficient likelihood approximations can be obtained whenever good probabilistic…

含潜在混杂的格兰杰因果关系深度循环建模AI 解读

Inferring causal relationships in observational time series data is an important task when interventions cannot be performed. Granger causality is a popular framework to infer potential causal mechanisms between different time series. The original definition of Granger causality is restricted to linear processes and leads to spurious conclusions in the presence of a latent confounder. In this work, we harness the expressive power of recurrent neural networks and propose a…

含噪协变量下的部分识别：稳健优化方法AI 解读

Causal inference from observational datasets often relies on measuring and adjusting for covariates. In practice, measurements of the covariates can often be noisy and/or biased, or only measurements of their proxies may be available. Directly adjusting for these imperfect measurements of the covariates can lead to biased causal estimates. Moreover, without additional assumptions, the causal effects are not point-identifiable due to the noise in these measurements. To this…

工具变量分位数回归的第一阶段表示AI 解读

This paper develops a first-stage linear regression representation for the instrumental variables (IV) quantile regression (QR) model. The quantile first-stage is analogous to the least squares case, i.e., a linear projection of the endogenous variables on the instruments and other exogenous covariates, with the difference that the QR case is a weighted projection. The weights are given by the conditional density function of the innovation term in the QR structural model,…

抗模型误设信息准则的多变量扩展AI 解读

The Misspecification-Resistant Information Criterion (MRIC) proposed in [H.-L. Hsu, C.-K. Ing, H. Tong: On model selection from a finite family of possibly misspecified time series models. The Annals of Statistics. 47 (2), 1061--1087 (2019)] is a model selection criterion for univariate parametric time series that enjoys both the property of consistency and asymptotic efficiency. In this article we extend the MRIC to the case where the response is a multivariate time series…

Friedman 检验的图形化方法：矩方法途径AI 解读

Friedman test is a nonparametric method that proposed for analyzing data from a randomized complete block design as a robust alternative to parametric method and widely applied in many fields such as agriculture, biology, business, education, and medicine. After the null hypothesis of no treatment effects is rejected, the post-hoc pairwise comparisons must be applied to identify where the differences occur. As the number of groups increases, the number of required…

利用高斯过程先验处理因果效应估计中的正值性违反AI 解读

In observational studies, causal inference relies on several key identifying assumptions. One identifiability condition is the positivity assumption, which requires the probability of treatment be bounded away from 0 and 1. That is, for every covariate combination, it should be possible to observe both treated and control subjects, i.e., the covariate distributions should overlap between treatment arms. If the positivity assumption is violated, population-level causal…

利用因果图归一化流分析 IMF 项目对全球南方儿童贫困的影响AI 解读

This work demonstrates the application of a particular branch of causal inference and deep learning models: \emph{causal-Graphical Normalizing Flows (c-GNFs)}. In a recent contribution, scholars showed that normalizing flows carry certain properties, making them particularly suitable for causal and counterfactual analysis. However, c-GNFs have only been tested in a simulated data setting and no contribution to date have evaluated the application of c-GNFs on large-scale…

因果面板模型的双重稳健识别AI 解读

We study identification and estimation of causal effects in settings with panel data. Traditionally researchers follow model-based identification strategies relying on assumptions governing the relation between the potential outcomes and the observed and unobserved confounders. We focus on a different, complementary approach to identification where assumptions are made about the connection between the treatment assignment and the unobserved confounders. Such strategies are…