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利用直方图与三次 B 样条估计车辆时间序列的概率密度AI 解读

Random processes play a crucial role in scientific research, often characterized by distribution functions or probability density functions (PDFs). These PDFs serve as essential approximations of the actual and frequently undisclosed distribution governing the random process under examination. Diverse methodologies exist for estimating PDFs, each offering distinct advantages in specific contexts. This publication presents a novel approach that centers on estimating…

利用多结果面板数据进行个体因果推断AI 解读

Policy evaluation in empirical microeconomics has been focusing on estimating the average treatment effect and more recently the heterogeneous treatment effects, often relying on the unconfoundedness assumption. We propose a method based on the interactive fixed effects model to estimate treatment effects at the individual level, which allows both the treatment assignment and the potential outcomes to be correlated with the unobserved individual characteristics. This method…

评估处理效应异质性的最大最小最优整群随机设计AI 解读

Cluster randomized trials (CRTs) are studies where treatment is randomized at the cluster level but outcomes are typically collected at the individual level. When CRTs are employed in pragmatic settings, baseline population characteristics may moderate treatment effects, leading to what is known as heterogeneous treatment effects (HTEs). Pre-specified, hypothesis-driven HTE analyses in CRTs can enable an understanding of how interventions may impact subpopulation outcomes.…

时间序列的序贯预测共形推断AI 解读

We present a new distribution-free conformal prediction algorithm for sequential data (e.g., time series), called the \textit{sequential predictive conformal inference} (\texttt{SPCI}). We specifically account for the nature that time series data are non-exchangeable, and thus many existing conformal prediction algorithms are not applicable. The main idea is to adaptively re-estimate the conditional quantile of non-conformity scores (e.g., prediction residuals), upon…

bqror：用于有序模型贝叶斯分位数回归的 R 软件包AI 解读

This article describes an R package bqror that estimates Bayesian quantile regression for ordinal models introduced in Rahman (2016). The paper classifies ordinal models into two types and offers computationally efficient, yet simple, Markov chain Monte Carlo (MCMC) algorithms for estimating ordinal quantile regression. The generic ordinal model with 3 or more outcomes (labeled ORI model) is estimated by a combination of Gibbs sampling and Metropolis-Hastings algorithm.…

极端分位数的变化中的变化估计AI 解读

Policy analysts are often interested in treating the units with extreme outcomes, such as infants with extremely low birth weights. Existing changes-in-changes (CIC) estimators are tailored to middle quantiles and do not work well for such subpopulations. This paper proposes a new CIC estimator to accurately estimate treatment effects at extreme quantiles. With its asymptotic normality, we also propose a method of statistical inference, which is simple to implement. Based on…

自回归最优传输模型AI 解读

Series of univariate distributions indexed by equally spaced time points are ubiquitous in applications and their analysis constitutes one of the challenges of the emerging field of distributional data analysis. To quantify such distributional time series, we propose a class of intrinsic autoregressive models that operate in the space of optimal transport maps. The autoregressive transport models that we introduce here are based on regressing optimal transport maps on each…

基于汇总表数据的无调参非参数密度估计AI 解读

Administrative data are often easier to access as tabulated summaries than in the original format due to confidentiality concerns. Motivated by this practical feature, we propose a novel nonparametric density estimation method from tabulated summary data based on maximum entropy and prove its strong uniform consistency. Unlike existing kernel-based estimators, our estimator is free from tuning parameters and admits a closed-form density that is convenient for post-estimation…

有序结果下观察性研究与不完全随机试验获益指标的尖锐非参数界AI 解读

The probability of benefit is a valuable and important measure of treatment effect, which has advantages over the average treatment effect. Particularly for an ordinal outcome, it has a better interpretation and can make apparent different aspects of the treatment impact. Unfortunately, this measure, and variations of it, are not identifiable even in randomized trials with perfect compliance. There is, for this reason, a long literature on nonparametric bounds for…

动态条件分位数处理效应的评估及网约车应用AI 解读

Many modern tech companies, such as Google, Uber, and Didi, utilize online experiments (also known as A/B testing) to evaluate new policies against existing ones. While most studies concentrate on average treatment effects, situations with skewed and heavy-tailed outcome distributions may benefit from alternative criteria, such as quantiles. However, assessing dynamic quantile treatment effects (QTE) remains a challenge, particularly when dealing with data from ride-sourcing…

多国宏观经济风险监测AI 解读

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a parsimonious way. We develop two algorithms for posterior inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data…

样本选择下的分布差异分解与性别工资差距AI 解读

I address the decomposition of the differences between the distribution of outcomes of two groups when individuals self-select themselves into participation. I differentiate between the decomposition for participants and the entire population, highlighting how the primitive components of the model affect each of the distributions of outcomes. Additionally, I introduce two ancillary decompositions that help uncover the sources of differences in the distribution of…

关注收入差距：小样本不平等估计量的偏差校正AI 解读

Income inequality estimators are biased in small samples, leading generally to an underestimation. This aspect deserves particular attention when estimating inequality in small domains and performing small area estimation at the area level. We propose a bias correction framework for a large class of inequality measures comprising the Gini Index, the Generalized Entropy and the Atkinson index families by accounting for complex survey designs. The proposed methodology does not…

分层随机实验与匹配观测研究中的个体处理效应分位数AI 解读

Evaluating the treatment effects has become an important topic for many applications. However, most existing literature focuses mainly on the average treatment effects. When the individual effects are heavy-tailed or have outlier values, not only may the average effect not be appropriate for summarizing the treatment effects, but also the conventional inference for it can be sensitive and possibly invalid due to poor large-sample approximations. In this paper we focus on…

条件平均处理效应的近端因果学习AI 解读

Efficiently and flexibly estimating treatment effect heterogeneity is an important task in a wide variety of settings ranging from medicine to marketing, and there are a considerable number of promising conditional average treatment effect estimators currently available. These, however, typically rely on the assumption that the measured covariates are enough to justify conditional exchangeability. We propose the P-learner, motivated by the R- and DR-learner, a tailored…

用于异质性治疗效应因果推断的倾向得分回归AI 解读

Understanding how treatment effects vary on individual characteristics is critical in the contexts of personalized medicine, personalized advertising and policy design. When the characteristics are of practical interest are only a subset of full covariate, non-parametric estimation is often desirable; but few methods are available due to the computational difficult. Existing non-parametric methods such as the inverse probability weighting methods have limitations that hinder…

洛伦兹曲线的通用模型：含零值与极端不平等数据的应用AI 解读

Given that the existing parametric functional forms for the Lorenz curve do not fit all possible size distributions, a universal parametric functional form is introduced. By using the empirical data from different scientific disciplines and also the hypothetical data, this study shows that, the proposed model fits not only the data whose actual Lorenz plots have a typical convex segment but also the data whose actual Lorenz plots have both horizontal and convex segments…

基于个体特征的分位数因子模型估计AI 解读

This paper studies the estimation of characteristic-based quantile factor models where the factor loadings are unknown functions of observed individual characteristics while the idiosyncratic error terms are subject to conditional quantile restrictions. We propose a three-stage estimation procedure that is easily implementable in practice and has nice properties. The convergence rates, the limiting distributions of the estimated factors and loading functions, and a…

加权分位数估计量AI 解读

In this paper, we consider a generic scheme that allows building weighted versions of various quantile estimators, such as traditional quantile estimators based on linear interpolation of two order statistics, the Harrell-Davis quantile estimator and its trimmed modification. The obtained weighted quantile estimators are especially useful in the problem of estimating a distribution at the tail of a time series using quantile exponential smoothing. The presented approach can…

共形化无条件分位数回归AI 解读

We develop a predictive inference procedure that combines conformal prediction (CP) with unconditional quantile regression (QR) -- a commonly used tool in econometrics that involves regressing the recentered influence function (RIF) of the quantile functional over input covariates. Unlike the more widely-known conditional QR, unconditional QR explicitly captures the impact of changes in covariate distribution on the quantiles of the marginal distribution of outcomes.…

稀疏分位数回归AI 解读

We consider both $\ell _{0}$-penalized and $\ell _{0}$-constrained quantile regression estimators. For the $\ell _{0}$-penalized estimator, we derive an exponential inequality on the tail probability of excess quantile prediction risk and apply it to obtain non-asymptotic upper bounds on the mean-square parameter and regression function estimation errors. We also derive analogous results for the $\ell _{0}$-constrained estimator. The resulting rates of convergence are nearly…

具有潜在分组结构的面板函数系数分位数回归AI 解读

This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large panel observations. A latent group structure is imposed on the heterogenous quantile regression models so that the number of nonparametric functional coefficients to be estimated can be reduced considerably. With the preliminary local linear quantile estimates of the subject-specific functional…

利用二元工具变量估计服从者期望短缺处理效应AI 解读

Estimating the causal effect of a treatment or exposure for a subpopulation is of great interest in many biomedical and economical studies. Expected shortfall, also referred to as the super-quantile, is an attractive effect-size measure that can accommodate data heterogeneity and aggregate local information of effect over a certain region of interest of the outcome distribution. In this article, we propose the ComplieR Expected Shortfall Treatment Effect (CRESTE) model under…

混合分布因子模型AI 解读

This paper proposes a new approach to estimating the distribution of a response variable conditioned on observing some factors. The proposed approach possesses desirable properties of flexibility, interpretability, tractability and extendability. The conditional quantile function is modeled by a mixture (weighted sum) of basis quantile functions, with the weights depending on factors. The calibration problem is formulated as a convex optimization problem. It can be viewed as…