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非平稳时间序列趋势的在线自助法推断AI 解读

This article proposes an online bootstrap scheme for nonparametric level estimation in nonstationary time series. Our approach applies to a broad class of level estimators expressible as weighted sample averages over time windows, including exponential smoothing methods and moving averages. The bootstrap procedure is motivated by asymptotic arguments and provides well-calibrated uniform-in-time coverage, enabling scalable uncertainty quantification in streaming or…

XMSE 感知的自适应经验贝叶斯估计AI 解读

Empirical Bayes (EB) estimators can match the first-order asymptotic risk of maximum likelihood (ML) while behaving very differently at second order: recent excess mean squared error (XMSE) analysis shows that kernel-based EB estimation may be worse than ML when the kernel is poorly aligned with the true parameter. This paper turns that diagnostic into a design principle. We propose an XMSE-aware mixed estimator that interpolates between ML and EB shrinkage. Its fixed-weight…

端点校正希尔伯特变换的最优校准AI 解读

Accurate, low-latency estimates of the instantaneous phase of oscillations are essential for closed-loop sensing and actuation, including (but not limited to) phase-locked neurostimulation and other real-time applications. The endpoint-corrected Hilbert transform (ecHT) reduces boundary artefacts of the Hilbert transform by applying a causal narrow-band filter to the analytic spectrum. This improves the phase estimate at the most recent sample. Despite its widespread…

从有偏样本中学习AI 解读

The empirical risk minimization approach to data-driven decision making requires access to training data drawn under the same conditions as those that will be faced when the decision rule is deployed. However, in a number of settings, we may be concerned that our training sample is biased in the sense that some groups (characterized by either observable or unobservable attributes) may be under- or over-represented relative to the general population; and in this setting…

复杂抽样设计下多分格相关的稳健最小散度估计AI 解读

Standard maximum likelihood estimation of polychoric correlations is highly sensitive to contamination in survey data, including response errors, interviewer effects, and careless responding, yet assigns equal weight to all observations regardless of data quality. We develop robust estimators for polychoric correlation under complex survey designs based on two minimum divergence criteria -- Hellinger distance (HD) and negative exponential disparity (NED) -- incorporating…

模型无关的纵向变量重要性轨迹摘要推断及其自杀预防应用AI 解读

Risk of suicide attempt varies over time. Understanding the importance of risk factors measured at a mental health visit can help clinicians evaluate future risk and provide appropriate care during the visit. In prediction settings where data are collected over time, such as in mental health care, it is often of interest to understand both the importance of variables for predicting the response at each time point and the importance summarized over the time series. Building…

弱矩方法用于统计推断：兼论稳健估计应用AI 解读

A companion paper develops a generalised framework in which a probability law is represented by a tempered distribution $T\in\mathcal{S}'$ - on the same footing as a density or characteristic function - and information is extracted by pairing $T$ with a positive Schwartz kernel $\varphi$ that acts as a measurement instrument rather than as part of the law; the resulting weak moments of all orders exist unconditionally. The present paper turns this into a methodology for…

基于大语言模型的 A/B 测试：人类因果推断的替代终点框架AI 解读

Organizations and researchers show increasing interest in using large language models (LLMs) in place of human participants in A/B tests, in the hope of experimenting faster and at lower cost. We study when a treatment effect estimated on LLM outcomes can recover the effect for the human population of interest. Distributional equivalence between LLM and human outcomes would make any standard estimator valid but is unrealistic. We therefore develop a statistical framework…

采用非参数空间权重的空间动态面板模型半非参数估计AI 解读

We develop a semi-nonparametric framework for spatial dynamic panel data (SDPD) models with two-way fixed effects when the spatial interaction structure is unknown beyond a distance measure. This is accomplished by modelling spatial weights in the outcome, lagged-outcome, and disturbance channels as unknown functions of underlying economic distances. These enter the SDPD system through matrix-function operators, providing a unified approach that accommodates both spatial…

一般处理模型中的高阶去偏估计器AI 解读

It is now well known that estimators based on influence functions can be sub-optimal in terms of convergence rates in various settings. To address this issue, higher-order influence functions (HOIF) are developed, generalizing the classical semiparametric theory. However, most existing results in this regard focus on treatment effect parameters defined in explicit forms, such as average treatment effects (ATE). In applications, economists are often confronted with tasks of…

分布统计模型：弱矩、累积量与中心极限定理AI 解读

Many important statistical models fall outside classical moment-based methods due to the non-existence of moments or moment generating functions. We propose a generalised probabilistic framework in which a probability law is represented by a tempered distribution $T \in \mathcal{S}'$, on the same footing as a density, a distribution function, or a characteristic function. Information about the law is extracted by evaluating $T$ on test functions regularised by a given…

放宽可迁移性假设的随机试验效应外推：美国选举政治广告案例AI 解读

During the 2020 U.S. presidential election, Aggarwal et al. (2023) conducted a large-scale randomized experiment to evaluate a digital ad campaign against Trump in five battleground states. While the study found no effect on voter turnout, it's unclear whether this null result generalizes to other battleground states, notably Georgia, which played a unique role in the 2020 election and differs from the battleground states. Inspired by the study, we present a transfer…

随机对照试验中 AIPW 估计器 Wald 区间覆盖率的模型无关界AI 解读

Nonparametric estimators, such as the augmented inverse probability weighted (AIPW) estimator, have become increasingly popular in causal inference. Numerous nonparametric estimators have been proposed, but they are all asymptotically normal with the same asymptotic variance under similar conditions, leaving little guidance for practitioners to choose an estimator. In this paper, I focus on another important perspective of their asymptotic behaviors beyond asymptotic…

真实处理不可观测时的因果推断AI 解读

In many causal inference settings, the treatment of interest is not directly observed; instead, one or more error-prone proxy measurements are available, creating a fundamental identification challenge. Building on identification methods for hidden treatments with proxies, we develop a general semiparametric framework for causal effect estimation that accommodates several common estimands. Hidden treatment models differ fundamentally from classical missing-data settings,…

BayesFBHborrow：基于灵活基线风险的生存数据贝叶斯信息借用 R 包AI 解读

Statistical methods that leverage external trial information to help accelerate drug development are becoming increasingly popular. Bayesian methods facilitate dynamic borrowing, where the similarity of the response guides how much information is used. We have proposed a semiparametric Bayesian borrowing model for time-to-event data, with smoothing priors that allows the baseline hazard to take any form via an ensemble average. By accurately modelling the baseline hazard,…

未知异方差下的大规模估计AI 解读

This paper studies nonparametric empirical Bayes methods in a heterogeneous parameters framework that features unknown means and variances. We provide extended Tweedie's formulae that express the (infeasible) optimal estimators of heterogeneous parameters, such as unit-specific means or quantiles, in terms of the density of certain sufficient statistics. These are used to propose feasible versions with nearly parametric regret bounds of the order of $(\log n)^κ/ n$. The…

再生核希尔伯特空间中的广义非参数回归：相合性与收敛速率AI 解读

We develop a comprehensive theory for regularized M-estimation in reproducing kernel Hilbert spaces. Under mild conditions on the loss we establish existence and measurability of the estimator, covering a wide range of convex and non-convex losses, including bounded robust losses. We further prove sharp rates of convergence with an explicit bias-variance decomposition governed by a novel complexity measure. We show that the variance is independent of misspecification, while…

从风险集到鞅：事件史学习的计数过程框架AI 解读

Counting-process notation separates predictable risk-set information from observed event jumps through decompositions of the form dN(t)=Y(t)alpha(t)dt+dM(t). This article develops a unified event-history learning framework for censored, truncated, recurrent, multistate, and covariate-dependent data. Rather than cataloguing survival methods, the treatment translates each partially observed learning target into five recurring objects: risk process, jump process, compensator,…

异质环境下的不变量分位数回归AI 解读

In this paper, we propose an invariant quantile regression (IQR) framework specifically designed for multi-environment datasets, which captures the invariance across different environments. This framework is closely related to transfer learning, causal inference, and fair machine learning, and is motivated by scenarios in which the conditional probability of the response given covariates varies, while certain key variables remain invariant. This perspective differs notably…

缺失数据下估计平均因果效应时，多重插补中辅助变量的使用AI 解读

Estimating the average causal effect (ACE) using observational data is a key focus in causal inference for which missing data present an important challenge. Multiple imputation (MI) is a widely used method for handling missing data and can yield unbiased estimates when the imputation is compatible with the substantive analysis. One of the advantages of MI is its scope to include so-called "auxiliary variables", defined as variables associated with incomplete variables that…

通过两阶段回归快速进行非参数条件独立检验AI 解读

Constraint-based causal discovery relies on repeated conditional independence tests, but fast nonparametric tests often sacrifice calibration, especially when variables depend on the conditioning set through nonlinear relationships. We introduce BLITZ (Broad-to-Local Independence Testing via residualiZation), a nonparametric conditional independence test designed to run well under a second while maintaining the accuracy needed for the thousands of queries performed by…

基于模拟推断的非参数去卷积与去噪AI 解读

Latent signals are often obscured by measurement noise, yet encode the underlying laws and dynamics of complex systems; learning both the signals and their distributions remains a central challenge in scientific inference. The noise is often non-negligible, and the likelihoods for expressive generative models are often intractable. We utilize a convolutional maximum mean discrepancy (convMMD) loss and propose a likelihood-free framework for nonparametric density…

分布双重差分框架下的处理异质性检验AI 解读

We develop a novel distributional Difference-in-Differences (DiD) framework to capture treatment heterogeneity across outcome distributions. By leveraging optimal transport, we use the control group to estimate the untreated distributional drift from the pre- to post-treatment period and apply it to the treated group's pre-treatment baseline, constructing a counterfactual distribution under the assumption of no treatment effect. We frame the null hypothesis as a…

通过低秩基函数搜寻实现保护隐私的元分析AI 解读

A central challenge of meta-analysis is that the populations underlying existing studies often differ from the target population in unknown ways. We study the problem of predicting function-valued quantities, such as regression and conditional average treatment effect functions, for a new target population using only study-level covariates and study-specific function estimates. We propose MetaHunt, a new meta-analysis methodology based on a shared low-rank structure, in…