论文检索

多变量概率预测的 CRPS 学习及日前电价应用AI 解读

This paper presents a new method for combining (or aggregating or ensembling) multivariate probabilistic forecasts, considering dependencies between quantiles and marginals through a smoothing procedure that allows for online learning. We discuss two smoothing methods: dimensionality reduction using Basis matrices and penalized smoothing. The new online learning algorithm generalizes the standard CRPS learning framework into multivariate dimensions. It is based on Bernstein…

异质性处理效应估计中 R-Learning 与逆方差加权的联系AI 解读

Many methods for estimating conditional average treatment effects (CATEs) can be expressed as weighted pseudo-outcome regressions (PORs). Previous comparisons of POR techniques have paid careful attention to the choice of pseudo-outcome transformation. However, we argue that the dominant driver of performance is actually the choice of weights. For example, we point out that R-Learning implicitly performs a POR with inverse-variance weights (IVWs). In the CATE setting, IVWs…

利用非参数函数型数据分析建模河流流量AI 解读

Time series and extreme value analyses are two statistical approaches usually applied to study hydrological data. Classical techniques, such as ARIMA models (in the case of mean flow predictions), and parametric generalised extreme value (GEV) fits and nonparametric extreme value methods (in the case of extreme value theory) have been usually employed in this context. In this paper, nonparametric functional data methods are used to perform mean monthly flow predictions and…

图神经网络估计理论及其网络异质性应用AI 解读

This paper presents a novel application of graph neural networks for modeling and estimating network heterogeneity. Network heterogeneity is characterized by variations in unit's decisions or outcomes that depend not only on its own attributes but also on the conditions of its surrounding neighborhood. We delineate the convergence rate of the graph neural networks estimator, as well as its applicability in semiparametric causal inference with heterogeneous treatment effects.…

用于脑电活动分析的分层随机效应状态空间模型AI 解读

Mental disorders present challenges in diagnosis and treatment due to their complex and heterogeneous nature. Electroencephalogram (EEG) has shown promise as a potential biomarker for these disorders. However, existing methods for analyzing EEG signals have limitations in addressing heterogeneity and capturing complex brain activity patterns between regions. This paper proposes a novel random effects state-space model (RESSM) for analyzing large-scale multi-channel…

随机对照试验中保护隐私的分位数处理效应估计AI 解读

In accordance with the principle of "data minimization", many internet companies are opting to record less data. However, this is often at odds with A/B testing efficacy. For experiments with units with multiple observations, one popular data minimizing technique is to aggregate data for each unit. However, exact quantile estimation requires the full observation-level data. In this paper, we develop a method for approximate Quantile Treatment Effect (QTE) analysis using…

预期短缺的LASSO估计AI 解读

We propose an $\ell_1$-penalized estimator for high-dimensional models of Expected Shortfall (ES). The estimator is obtained as the solution to a least-squares problem for an auxiliary dependent variable, which is defined as a transformation of the dependent variable and a pre-estimated tail quantile. Leveraging a sparsity condition, we derive a nonasymptotic bound on the prediction and estimator errors of the ES estimator, accounting for the estimation error in the…

基尼稳定的洛伦兹曲线及其与广义帕累托分布的关系AI 解读

We introduce an iterative discrete information production process where we can extend ordered normalised vectors by new elements based on a simple affine transformation, while preserving the predefined level of inequality, G, as measured by the Gini index. Then, we derive the family of empirical Lorenz curves of the corresponding vectors and prove that it is stochastically ordered with respect to both the sample size and G which plays the role of the uncertainty parameter.…

通过条件分位数回归估计无条件分位数偏效应AI 解读

This paper develops a semi-parametric procedure for estimation of unconditional quantile partial effects using quantile regression coefficients. The estimator is based on an identification result showing that, for continuous covariates, unconditional quantile effects are a weighted average of conditional ones at particular quantile levels that depend on the covariates. We propose a two-step estimator for the unconditional effects where in the first step one estimates a…

房价与房价指数的分布探索AI 解读

We use house prices (HP) and house price indices (HPI) as a proxy to income distribution. Specifically, we analyze sale prices in the 1970-2010 window of over 116,000 single-family homes in Hamilton County, Ohio, including Cincinnati metro area of about 2.2 million people. We also analyze HPI, published by Federal Housing Finance Agency (FHFA), for nearly 18,000 US ZIP codes that cover a period of over 40 years starting in 1980's. If HP can be viewed as a first derivative of…

森林型异质性处理效应估计为何有效？AI 解读

Estimation of heterogeneous treatment effects (HTE) is of prime importance in many disciplines, ranging from personalized medicine to economics among many others. Random forests have been shown to be a flexible and powerful approach to HTE estimation in both randomized trials and observational studies. In particular "causal forests", introduced by Athey, Tibshirani and Wager (2019), along with the R implementation in package grf were rapidly adopted. A related approach,…

面向政策学习的公平且稳健的异质处理效应估计AI 解读

We propose a simple and general framework for nonparametric estimation of heterogeneous treatment effects under fairness constraints. Under standard regularity conditions, we show that the resulting estimators possess the double robustness property. We use this framework to characterize the trade-off between fairness and the maximum welfare achievable by the optimal policy. We evaluate the methods in a simulation study and illustrate them in a real-world case study.

分布随机森林的置信与不确定性评估AI 解读

The Distributional Random Forest (DRF) is a recently introduced Random Forest algorithm to estimate multivariate conditional distributions. Due to its general estimation procedure, it can be employed to estimate a wide range of targets such as conditional average treatment effects, conditional quantiles, and conditional correlations. However, only results about the consistency and convergence rate of the DRF prediction are available so far. We characterize the asymptotic…

内生样本选择下的分布回归及英国工资分解AI 解读

We develop a distribution regression model under endogenous sample selection. This model is a semi-parametric generalization of the Heckman selection model. It accommodates much richer effects of the covariates on outcome distribution and patterns of heterogeneity in the selection process, and allows for drastic departures from the Gaussian error structure, while maintaining the same level tractability as the classical model. The model applies to continuous, discrete and…

基于高斯过程部分线性模型的异质性处理效应不确定性量化AI 解读

Estimating heterogeneous treatment effects across individuals has attracted growing attention as a statistical tool for performing critical decision-making. We propose a Bayesian inference framework that quantifies the uncertainty in treatment effect estimation to support decision-making in a relatively small sample size setting. Our proposed model places Gaussian process priors on the nonparametric components of a semiparametric model called a partially linear model. This…

信贷额度对消费支出分布的因果影响AI 解读

Consumer credit services offered by e-commerce platforms provide customers with convenient loan access during shopping and have the potential to stimulate sales. To understand the causal impact of credit lines on spending, previous studies have employed causal estimators, based on direct regression (DR), inverse propensity weighting (IPW), and double machine learning (DML) to estimate the treatment effect. However, these estimators do not consider the notion that an…

整群随机试验中效应修饰变量缺失时的治疗效应异质性评估AI 解读

Understanding whether and how treatment effects vary across subgroups is crucial to inform clinical practice and recommendations. Accordingly, the assessment of heterogeneous treatment effects (HTE) based on pre-specified potential effect modifiers has become a common goal in modern randomized trials. However, when one or more potential effect modifiers are missing, complete-case analysis may lead to bias and under-coverage. While statistical methods for handling missing…

因果推断中的深度学习入门AI 解读

This review systematizes the emerging literature for causal inference using deep neural networks under the potential outcomes framework. It provides an intuitive introduction on how deep learning can be used to estimate/predict heterogeneous treatment effects and extend causal inference to settings where confounding is non-linear, time varying, or encoded in text, networks, and images. To maximize accessibility, we also introduce prerequisite concepts from causal inference…

分位数处理效应、秩相似性与工具变量变异AI 解读

This paper investigates how certain relationship between observed and counterfactual distributions serves as an identifying condition for treatment effects when the treatment is endogenous, and shows that this condition holds in a range of nonparametric models for treatment effects. To this end, we first provide a novel characterization of the prevalent assumption restricting treatment heterogeneity in the literature, namely rank similarity. Our characterization demonstrates…

条件处理效应分布的部分识别与推断AI 解读

This paper considers identification and inference for the distribution of treatment effects conditional on observable covariates. Since the conditional distribution of treatment effects is not point identified without strong assumptions, we obtain bounds on the conditional distribution of treatment effects by using the Makarov bounds. We also consider the case where the treatment is endogenous and propose two stochastic dominance assumptions to tighten the bounds. We develop…

利用时变偏度随机波动模型刻画与预测宏观经济风险AI 解读

Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting macroeconomic risk based on stochastic volatility models with Skew-Normal and Skew-t shocks featuring time varying skewness. Exploiting a mixture stochastic representation of the Skew-Normal and Skew-t random variables, in the paper I develop…

混杂变量维度增长时利用神经网络推断一般处理效应AI 解读

Semiparametric efficient estimation of various multi-valued causal effects, including quantile treatment effects, is important in economic, biomedical, and other social sciences. Under the unconfoundedness condition, adjustment for confounders requires estimating the nuisance functions relating outcome or treatment to confounders nonparametrically. This paper considers a generalized optimization framework for efficient estimation of general treatment effects using artificial…

货币增长与通胀：分位数敏感性方法AI 解读

An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile sensitivity, the method allows the assessment of changes in the entire distribution of a variable of interest in response to a perturbation in another variable's quantile. The construction of this relationship is demonstrated through a system of linear quantile regressions. Then, the proposed…

利用最优传输估计潜在结果联合分布的泛函AI 解读

Many causal parameters depend on a moment of the joint distribution of potential outcomes. Such parameters are especially relevant in policy evaluation settings, where noncompliance is common and accommodated through the model of Imbens & Angrist (1994). This paper shows that the sharp identified set for these parameters is an interval with endpoints characterized by the value of optimal transport problems. Sample analogue estimators are proposed based on the dual problem of…