论文检索

金融中的高维学习AI 解读

Recent advances in machine learning have shown promising results for financial prediction using large, over-parameterized models. This paper provides theoretical foundations and empirical validation for understanding when and how these methods achieve predictive success. I examine two key aspects of high-dimensional learning in finance. First, I prove that within-sample standardization in Random Fourier Features implementations fundamentally alters the underlying Gaussian…

校正随机 MALA 的替代 Gibbs 后验：面向神经网络的不确定性量化AI 解读

MALA is a popular gradient-based Markov chain Monte Carlo method to access the Gibbs-posterior distribution. Stochastic MALA (sMALA) scales to large data sets, but changes the target distribution from the Gibbs-posterior to a surrogate posterior which only exploits a reduced sample size. We introduce a corrected stochastic MALA (csMALA) with a simple correction term for which distance between the resulting surrogate posterior and the original Gibbs-posterior decreases in the…

高维空间面板网络的一致有效推断AI 解读

We propose employing a high-dimensional generalized method of moments (GMM) estimator, regularized for dimension reduction and subsequently debiased to correct for shrinkage bias (referred to as a debiased-regularized estimator), for inference on large-scale spatial panel networks. In particular, the network structure, which incorporates a flexible sparse deviation that can be regarded either as a latent component or as a misspecification of a predetermined adjacency matrix,…

线性极值分位回归的半监督学习AI 解读

Extremile regression, as a least squares analog of quantile regression, is potentially useful tool for modeling and understanding the extreme tails of a distribution. However, existing extremile regression methods, as nonparametric approaches, may face challenges in high-dimensional settings due to data sparsity, computational inefficiency, and the risk of overfitting. While linear regression serves as the foundation for many other statistical and machine learning models due…

因果图回归的方法方案：重新审视混杂效应AI 解读

Through recognizing causal subgraphs, causal graph learning (CGL) has risen to be a promising approach for improving the generalizability of graph neural networks under out-of-distribution (OOD) scenarios. However, the empirical successes of CGL techniques are mostly exemplified in classification settings, while regression tasks, a more challenging setting in graph learning, are overlooked. We thus devote this work to tackling causal graph regression (CGR); to this end we…

粗粒度个性化：联合分群与处理配置AI 解读

With advances in estimating heterogeneous treatment effects, firms can personalize and target individuals at a granular level. However, feasibility constraints limit full personalization. In practice, firms choose segments of individuals and assign a treatment to each segment to maximize profits: We call this the coarse personalization problem. We propose a two-step solution that simultaneously makes segmentation and targeting decisions. First, the firm personalizes by…

P-CRE-DML：非线性面板数据因果推断的新方法AI 解读

This paper introduces a novel Proxy-Enhanced Correlated Random Effects Double Machine Learning (P-CRE-DML) framework to estimate causal effects in panel data with non-linearities and unobserved heterogeneity. Combining Double Machine Learning (DML, Chernozhukov et al., 2018), Correlated Random Effects (CRE, Mundlak, 1978), and lagged variables (Arellano & Bond, 1991) and innovating within the CRE-DML framework (Chernozhukov et al., 2022; Clarke & Polselli, 2025; Fuhr &…

用 sPoRT 检查序贯正值性违背AI 解读

Background: Sequential positivity is often a necessary assumption for drawing causal inferences, such as through marginal structural modeling. Unfortunately, verification of this assumption can be challenging because it usually relies on multiple parametric propensity score models, unlikely all correctly specified. Therefore, we propose a new algorithm, called sequential Positivity Regression Tree (sPoRT), to overcome this issue and identify the subgroups found to be…

密集纵向数据的动态因果中介分析AI 解读

Intensive longitudinal data, characterized by frequent measurements across numerous time points, are increasingly common due to advances in wearable devices and mobile health technologies. We consider evaluating causal mediation pathways between time-varying exposures, time-varying mediators, and a final, distal outcome using such data. Addressing mediation questions in these settings is challenging due to numerous potential exposures, complex mediation pathways, and…

条件矩限制的双重机器学习：工具变量回归、近端因果学习及拓展AI 解读

Solving conditional moment restrictions (CMRs) is a key problem considered in statistics, causal inference, and econometrics, where the aim is to solve for a function of interest that satisfies some conditional moment equalities. Specifically, many techniques for causal inference, such as instrumental variable (IV) regression and proximal causal learning (PCL), are CMR problems. Most CMR estimators use a two-stage approach, where the first-stage estimation is directly…

泊松有向图模型的似然比检验AI 解读

Directed acyclic graphs are widely used to describe the causal effects among random variables, and the inference of those causal effects has become an popular topic in statistics and machine learning, and has wide applications in neuroinformatics, bioinformatics and so on. However, most studies focus on the estimation or inference of the directional relations among continuous random variables, those among discrete random variables have not gained much attentions. In this…

不定概率理论AI 解读

Complex continuous or mixed joint distributions (e.g., P(Y | z_1, z_2, ..., z_N)) generally lack closed-form solutions, often necessitating approximations such as MCMC. This paper proposes Indeterminate Probability Theory (IPT), which makes the following contributions: (1) An observer-centered framework in which experimental outcomes are represented as distributions combining ground truth with observation error; (2) The introduction of three independence candidate axioms…

秘鲁矿业米塔制度的持久影响：双重机器学习方法AI 解读

This study examines the long-term economic impact of the colonial Mita system in Peru, building on Melissa Dell's foundational work on the enduring effects of forced labor institutions. The Mita, imposed by the Spanish colonial authorities from 1573 to 1812, required indigenous communities within a designated boundary to supply labor to mines, primarily near Potosi. Dell's original regression discontinuity design (RDD) analysis, leveraging the Mita boundary to estimate the…

无维度限制的岭回归AI 解读

Random matrix theory has become a widely useful tool in high-dimensional statistics and theoretical machine learning. However, random matrix theory is largely focused on the proportional asymptotics in which the number of columns grows proportionally to the number of rows of the data matrix. This is not always the most natural setting in statistics where columns correspond to covariates and rows to samples. With the objective to move beyond the proportional asymptotics, we…

异质性处理效应的统计学习：预训练、预后与预测AI 解读

Robust estimation of heterogeneous treatment effects is a fundamental challenge for optimal decision-making in domains ranging from personalized medicine to educational policy. In recent years, predictive machine learning has emerged as a valuable toolbox for causal estimation, enabling more flexible effect estimation. However, accurately estimating conditional average treatment effects (CATE) remains a major challenge, particularly in the presence of many covariates. In…

TRUST：透明、稳健且超稀疏的回归树AI 解读

Piecewise-constant regression trees remain popular for their interpretability, yet often lag behind black-box models like Random Forest in predictive accuracy. In this work, we introduce TRUST (Transparent, Robust, and Ultra-Sparse Trees), a novel regression tree model that combines the accuracy of Random Forests with the interpretability of shallow decision trees and sparse linear models. TRUST further enhances transparency by leveraging Large Language Models to generate…

从时间序列学习的动力系统何时具有统计准确性？AI 解读

Conventional notions of generalization often fail to describe the ability of learned models to capture meaningful information from dynamical data. A neural network that learns complex dynamics with a small test error may still fail to reproduce its \emph{physical} behavior, including associated statistical moments and Lyapunov exponents. To address this gap, we propose an ergodic theoretic approach to generalization of complex dynamical models learned from time series data.…

利用预训练表示调整混杂AI 解读

There is growing interest in extending average treatment effect (ATE) estimation to incorporate non-tabular data, such as images and text, which may act as sources of confounding. Neglecting these effects risks biased results and flawed scientific conclusions. However, incorporating non-tabular data necessitates sophisticated feature extractors, often in combination with ideas of transfer learning. In this work, we investigate how latent features from pre-trained neural…

使用不动点树的广义随机森林AI 解读

We propose a computationally efficient alternative to generalized random forests (GRFs) for estimating heterogeneous effects in large dimensions. While GRFs rely on a gradient-based splitting criterion, which in large dimensions is computationally expensive and unstable, our method introduces a fixed-point approximation that eliminates the need for Jacobian estimation. This gradient-free approach preserves GRF's theoretical guarantees of consistency and asymptotic normality…

多重中介的因果中介分析：模拟方法AI 解读

Analyses of causal mediation often involve exposure-induced confounders or, relatedly, multiple mediators. In such applications, researchers aim to estimate a variety of different quantities, including interventional direct and indirect effects, multivariate natural direct and indirect effects, and/or path-specific effects. This study introduces a general approach to estimating all these quantities by simulating potential outcomes from a series of distribution models for…

高维空间与纵向价格关系及价格传导：机器学习方法AI 解读

Price transmission has been studied extensively in agricultural economics through the lens of spatial and vertical price relationships. Classical time series econometric techniques suffer from the "curse of dimensionality" and are applied almost exclusively to small sets of price series, either prices of one commodity in a few regions or prices of a few commodities in one region. However, an agrifood supply chain usually contains several commodities (e.g., cattle and beef)…

深度线性网络中的学习不变性理解AI 解读

Equivariant and invariant machine learning models exploit symmetries and structural patterns in data to improve sample efficiency. While empirical studies suggest that data-driven methods such as regularization and data augmentation can perform comparably to explicitly invariant models, theoretical insights remain scarce. In this paper, we provide a theoretical comparison of three approaches for achieving invariance: data augmentation, regularization, and hard-wiring. We…

具有自回归扰动的空间回归模型的梯度提升AI 解读

Researchers in urban and regional studies increasingly deal with spatial data that reflects geographic location and spatial relationships. As a framework for dealing with the unique nature of spatial data, various spatial regression models have been introduced. In this article, a novel model-based gradient boosting algorithm for spatial regression models with autoregressive disturbances is proposed. Due to the modular nature, the approach provides an alternative estimation…

算法公平性与准确性前沿的统计推断AI 解读

Algorithms are increasingly used to aid with high-stakes decision making. Yet, their predictive ability frequently exhibits systematic variation across population subgroups. To assess the trade-off between fairness and accuracy using finite data, we propose a debiased machine learning estimator for the fairness-accuracy frontier introduced by Liang, Lu, Mu, and Okumura (2024). We derive its asymptotic distribution and propose inference methods to test key hypotheses in the…