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利用稀疏性提升分层贝叶斯模型的No-U-Turn采样效率AI 解读

Analysts routinely use Bayesian hierarchical models to understand natural processes. The no-U-turn sampler (NUTS) is the most widely used algorithm to sample high-dimensional, continuously differentiable models. But NUTS is slowed by high correlations, especially in high dimensions, limiting the complexity of applied analyses. Here we introduce Sparse NUTS (SNUTS), which preconditions (decorrelates and descales) posteriors using a sparse precision matrix ($Q$). We use…

弱依赖高维数组的最大值大数定律及其应用AI 解读

We derive so-called weak and strong \textit{max-laws of large numbers} for $% \max_{1\leq i\leq k_{n}}|1/n\sum_{t=1}^{n}x_{i,n,t}|$ for zero mean stochastic triangular arrays $\{x_{i,n,t}$ $:$ $1$ $\leq $ $t$ $\leq n\}_{n\geq 1}$, with dimension counter $i$ $=$ $1,...,k_{n}$ and dimension $% k_{n}$ $\rightarrow $ $\infty $. Rates of convergence are also analyzed based on feasible sequences $\{k_{n}\}$. We work in three dependence settings: independence, Dedecker and Prieur's…

从观察数据估计广告视觉属性效应：生成图像辅助的双重机器学习AI 解读

Digital advertising increasingly relies on visual content, yet marketers lack rigorous methods for understanding how specific visual attributes causally affect consumer engagement. This paper addresses a fundamental methodological challenge: estimating causal effects when the treatment, such as a model's skin tone, is an attribute embedded within the image itself. Standard approaches like Double Machine Learning (DML) fail in this setting because vision encoders entangle…

贝叶斯线性模型：一组紧凑而通用的结果AI 解读

I present all the details in calculating the posterior distribution of the conjugate Normal-Gamma prior in Bayesian Linear Models (BLM), including correlated observations, prediction, model selection and comments on efficient numeric implementations. A Python implementation is also presented. These have been presented and available in many books and texts but, I believe, a general compact and simple presentation is always welcome and not always simple to find. Since…

通过设计型市场进行干扰下的因果推断AI 解读

In auction and matching markets, estimating the welfare effects of demand-side treatments is challenging because of spillovers through the mechanism. We develop a quasi-experimental approach that avoids parametric assumptions typically imposed by structural methods. For a class of strategy-proof "cutoff" mechanisms, we propose an estimator that runs a weighted and perturbed version of the mechanism on data from a single market. The estimator is semi-parametrically efficient,…

利用结局一致配对信息改进条件 Logistic 回归及其软件实现AI 解读

We develop an improvement to conditional logistic regression (CLR) in the setting where the parameter of interest is the additive effect of binary treatment effect on log-odds of the positive level in the binary response. Our improvement is simply to use information learned above the nuisance control covariates found in the concordant response pairs' observations (which is usually discarded) to create an informative prior on their coefficients. This prior is then used in the…

通过 Wasserstein 变点检测与分段聚类识别时间序列亚稳态AI 解读

Change point detection for time series analysis is a difficult and important problem in applied statistics, for which a variety of approaches have been developed in the past several decades. Here, the Wasserstein metric is employed as a tool for change-point identification in multi-dimensional time series data in order to identify clusters in time series in an unsupervised way. We leverage the simplicity of the optimal transport cost in the 1-dimensional setting to quickly…

拓扑因果效应AI 解读

Estimating causal effects is particularly challenging when outcomes arise in complex, non-Euclidean spaces, where conventional methods often fail to capture meaningful structural variation. We develop a framework for topological causal inference that defines treatment effects through differences in the topological structure of potential outcomes, summarized by power-weighted silhouette functions of persistence diagrams. We develop an efficient, doubly robust estimator in a…

结构突变下的局部高斯 Copula 推断：依赖关系可预测性检验AI 解读

We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics in the marginal processes and remains agnostic about the copula family by leveraging distributional regression techniques together with a local Gaussian representation of the copula link function. We derive the limiting distribution of our test statistic and propose a resampling scheme based on…

垄断竞争下利用收入数据识别和估计生产函数与消费者需求AI 解读

We establish nonparametric identification of production functions, total factor productivity (TFP), price markups, and firms' output prices and quantities, as well as consumer demand, using firm-level revenue data, without observing output quantity, in a monopolistically competitive environment with a fully nonparametric demand system. This result overturns the widely held view -- formalized by Bond, Hashemi, Kaplan, and Zoch (2021) -- that output elasticities and markups…

含处理与协变量交互项的两阶段最小二乘及处理效应异质性AI 解读

Treatment effect heterogeneity with respect to covariates is common in instrumental variable (IV) analyses. An intuitive approach, which we call the interacted two-stage least squares (2sls), is to postulate a working linear model of the outcome on the treatment, covariates, and treatment-covariate interactions, and instrument it using the IV, covariates, and IV-covariate interactions. We clarify the causal interpretation of the interacted 2sls under the local average…

ResCP：用于时间序列预测的储备池共形预测AI 解读

Conformal prediction offers a powerful framework for building distribution-free prediction intervals for exchangeable data. Existing methods that extend conformal prediction to sequential data rely on fitting a relatively complex model to capture temporal dependencies. However, these methods can fail if the sample size is small and often require expensive retraining when the underlying data distribution changes. To overcome these limitations, we propose Reservoir Conformal…

非线性宏观与金融时间序列的投影式 ARIMA：闭式估计与滚动推断AI 解读

We introduce Galerkin-ARIMA and Galerkin-SARIMA, a projection-based extension of classical ARIMA/SARIMA that replaces rigid linear lag operators with low-dimensional Galerkin basis expansions while preserving the familiar AR-MA decomposition. Experiments on synthetic series and on quarterly GDP and daily S&P 500 returns show that Galerkin-SARIMA matches or improves forecast accuracy relative to classical ARIMA/SARIMA. Estimation is closed-form via a two-stage least-squares…

异质性处理效应变量重要性的目标学习AI 解读

Quantifying the heterogeneity of treatment effect is important for understanding how a commercial product or medical treatment affects different population subgroups. While much of treatment effect heterogeneity analysis focuses on the conditional average treatment effect, an alternative parameter that captures treatment effect heterogeneity is the variance of treatment effect across different covariate groups. One can also derive variable importance parameters that measure…

DoFlow：用于时间序列干预与反事实预测的流生成模型AI 解读

Time-series forecasting increasingly demands not only accurate observational predictions but also causal forecasting under interventional and counterfactual queries in multivariate systems. We present DoFlow, a flow-based generative model defined over a causal Directed Acyclic Graph (DAG) that delivers coherent observational and interventional predictions, as well as counterfactuals through the natural encoding-decoding mechanism of continuous normalizing flows (CNFs). We…

VICatMix：面向离散生物医学数据的变分贝叶斯聚类与变量选择AI 解读

Effective clustering of biomedical data is crucial in precision medicine, enabling accurate stratifiction of patients or samples. However, the growth in availability of high-dimensional categorical data, including `omics data, necessitates computationally efficient clustering algorithms. We present VICatMix, a variational Bayesian finite mixture model designed for the clustering of categorical data. The use of variational inference (VI) in its training allows the model to…

工具变量回归中的弱工具稳健子向量推断：LM 检验与 AR 置信集性质AI 解读

We propose a weak-instrument-robust subvector Lagrange multiplier test for instrumental variables regression. We show that it is asymptotically size-correct under a technical condition or as the number of instruments grows to infinity. This is the first weak-instrument-robust subvector test for instrumental variables regression to recover the degrees of freedom of the commonly used non-weak-instrument-robust Wald test. Additionally, we provide a closed-form solution for…

如何解释净生存率：实际估计目标与通常理解的差异AI 解读

Net survival is conventionally defined as ``survival if cancer were the only possible cause of death'', an estimand corresponding to cancer-specific mortality alone. The Pohar Perme estimator targets this by removing general population other-cause mortality from observed total mortality, but achieves it only when cancer patients experience the same other-cause mortality as the general population. However, cancer patients often experience elevated other-cause mortality due to…

测量误差下凹分布函数的推断AI 解读

We propose an estimator of a concave cumulative distribution function under the measurement error model, where the non-negative variables of interest are perturbed by additive independent random noise. The estimator is defined as the least concave majorant on the positive half-line of the deconvolution estimator of the distribution function. We show its uniform consistency and its square root convergence in law in $\ell_\infty(\mathbb R)$. To assess the validity of the…

超越错误发现率：面向分组变量选择的逐步分组 SLOPE 方法AI 解读

High-dimensional feature selection is routinely required to balance statistical power with strict control of multiple-error metrics such as the k-Family-Wise Error Rate (k-FWER) and the False Discovery Proportion (FDP), yet some existing frameworks are confined to the narrower goal of controlling the expected False Discovery Rate (FDR) and can not exploit the group-structure of the covariates, such as Sorted L-One Penalized Estimation (SLOPE). We introduce the Group Stepdown…

随机占优的修正 Wilcoxon–Mann–Whitney 检验AI 解读

Given independent samples from two univariate distributions, the one-sided Wilcoxon-Mann-Whitney statistic may be used to conduct a rank-based test of first-order stochastic dominance. We broaden the scope of applicability of such tests by showing that the bootstrap may be used to conduct valid inference in a matched pairs sampling framework permitting dependence between the two samples. Further, we show that a modified bootstrap incorporating an implicit estimate of a…

何时校正均值回归反而不如不校正AI 解读

The ubiquitous regression to the mean (RTM) effect complicates statistical inference regarding the relationship between baseline levels of a biological variable and its subsequent change. We demonstrate that common RTM correction methods are problematic: the Berry et al. method, popularized by Kelly & Price in The American Naturalist, is unreliable for hypothesis testing or effect-size estimation, leading to systematic bias and inflated error rates. Conversely, while the…

用于因果中介与溢出效应的网络结构方程模型AI 解读

Social network interference induces complex dependencies where a unit's outcome is influenced not only by its own exposure and mediator but also by those of connected neighbors. In such settings, a significant challenge lies in distinguishing direct exposure effects from interference-driven spillover effects, and further separating these from indirect effects mediated by intermediate variables. To address this, we propose a theoretical framework utilizing structural…

平滑样条 ANOVA 模型中导数的估计与假设检验AI 解读

Within the framework of smoothing spline ANOVA, we propose a plug-in kernel ridge regression estimator to estimate the derivatives of the underlying multivariate regression function. We first establish an $L_\infty$ convergence rate of the proposed estimator under general random designs. When the covariates are uniformly distributed, we provide a in-depth analysis that includes a sharp upper bound and the minimax lower bound of the $L_2$ convergence rate. Additionally,…