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奇异情形下基于正则化 Cholesky 因子的协方差矩阵估计AI 解读

We consider estimating the population covariance matrix when the number of available samples is less than the size of the observations. The sample covariance matrix (SCM) being singular, regularization is mandatory in this case. For this purpose we consider minimizing Stein's loss function and we investigate a method based on augmenting the partial Cholesky decomposition of the SCM. We first derive the finite sample optimum estimator which minimizes the loss for each data…

让树模型决定：非参数因子模型 FABARTAI 解读

This article proposes a novel framework that integrates Bayesian Additive Regression Trees (BART) into a Factor-Augmented Vector Autoregressive (FAVAR) model to forecast macro-financial variables and examine asymmetries in the transmission of oil price shocks. By employing nonparametric techniques for dimension reduction, the model captures complex, nonlinear relationships between observables and latent factors that are often missed by linear approaches. A simulation…

处理水平可增长且组规模不同时设计型因果推断的 Berry–Esseen 界AI 解读

Neyman (1923/1990) introduced the randomization model, which contains the notation of potential outcomes to define causal effects and a framework for large-sample inference based on the design of the experiment. However, the existing theory for this framework is far from complete, especially when the number of treatment levels diverges and the treatment group sizes vary. We provide a unified discussion of statistical inference under the randomization model with general…

时变未测量混杂下因果估计的贝叶斯敏感性分析AI 解读

Causal inference relies on the untestable assumption of no unmeasured confounding. Sensitivity analysis can be used to quantify the impact of unmeasured confounding on causal estimates. Among sensitivity analysis methods proposed in the literature for unmeasured confounding, the latent confounder approach is favoured for its intuitive interpretation via the use of bias parameters to specify the relationship between the observed and unobserved variables and the sensitivity…

匹配或重新加权后的方差估计AI 解读

This paper develops a variance estimation framework for matching estimators that enables valid population inference for treatment effects. We provide theoretical analysis of a variance estimator that addresses key limitations in the existing literature. While Abadie and Imbens (2006) proposed a foundational variance estimator requiring matching for both treatment and control groups, this approach is computationally prohibitive and rarely used in practice. Our method provides…

融合随机试验且效应修饰变量缺失时最优治疗规则的非参数估计AI 解读

A fundamental principle of clinical medicine is that a treatment should only be administered to those patients who would benefit from it. Treatment strategies that assign treatment to patients as a function of their individual characteristics are known as dynamic treatment rules. The dynamic treatment rule that optimizes the outcome in the population is called the optimal dynamic treatment rule. Randomized clinical trials are considered the gold standard for estimating the…

因果推断中的泛化能力检验AI 解读

Ensuring robust model performance in diverse real-world scenarios requires addressing generalizability across domains with covariate shifts. However, no formal procedure exists for statistically evaluating generalizability in machine learning algorithms. Existing predictive metrics like mean squared error (MSE) help to quantify the relative performance between models, but do not directly answer whether a model can or cannot generalize. To address this gap in the domain of…

广义因子结构面板模型的统计推断AI 解读

We consider identification, inference and validation of linear panel data models when both factors and factor loadings are accounted for by a nonparametric function. This general specification encompasses rather popular models such as the two-way fixed effects and the interactive fixed effects ones. By applying a conditional mean independence assumption between unobserved heterogeneity and the covariates, we obtain consistent estimators of the parameters of interest at the…

因果发现优于随机猜测吗？评估算法时使用负对照AI 解读

New proposals for causal discovery algorithms are typically evaluated using simulations and a few selected real data examples with known data generating mechanisms. However, there does not exist a general guideline for how such evaluation studies should be designed, and therefore, comparing results across different studies can be difficult. In this article, we propose to use negative controls as a common evaluation baseline by posing the question: Are we doing better than…

利用社交媒体数据对欧元区进行即时预测AI 解读

Using a state-of-the-art large language model, we extract forward-looking and context-sensitive signals related to inflation and unemployment in the euro area from millions of Reddit submissions and comments. We develop daily indicators that incorporate, in addition to posts, the social interaction among users. Our empirical results show consistent gains in out-of-sample nowcasting accuracy relative to daily newspaper sentiment and financial variables, especially in unusual…

存在未观测混杂时连续处理效应的锐界AI 解读

In causal inference, treatment effects are typically estimated under the ignorability, or unconfoundedness, assumption, which is often unrealistic in observational data. By relaxing this assumption and conducting a sensitivity analysis, we introduce novel bounds and derive confidence intervals for the Average Potential Outcome (APO) - a standard metric for evaluating continuous-valued treatment or exposure effects. We demonstrate that these bounds are sharp under a…

反演得分检验得到的局部平均处理效应置信集性质AI 解读

We study the properties of the score confidence set for the local average treatment effect in non and semiparametric instrumental variable models. This confidence set is constructed by inverting a score test based on an estimate of the nonparametric influence function for the estimand, and is known to be uniformly valid in models that allow for arbitrarily weak instruments; because of this, the confidence set can have infinite diameter at some laws. We characterize the six…

条件三重差分法AI 解读

Triple difference-in-differences designs are widely used to estimate causal effects in empirical work. Surveying the literature, we find that most applications include controls. We show that this standard practice is generally biased for the target causal estimand when covariate distributions differ across groups. To address this, we propose identifying a causal estimand by fixing the covariate distribution to that of one group. We then develop a double-robust estimator and…

含交互效应动态面板模型的准极大似然估计效率AI 解读

This paper studies the problem of efficient estimation of panel data models in the presence of an increasing number of incidental parameters. We formulate the dynamic panel as a simultaneous equations system, and derive the efficiency bound under the normality assumption. We then show that the Gaussian quasi-maximum likelihood estimator (QMLE) applied to the system achieves the normality efficiency bound without the normality assumption. Comparison of QMLE with the fixed…

稀疏张量PCA的近乎最优局部搜索方法AI 解读

Local-search methods are widely employed in statistical applications, yet interestingly, their theoretical foundations remain rather underexplored, compared to other classes of estimators such as low-degree polynomials and spectral methods. Of note, among the few existing results recent studies have revealed a significant "local-computational" gap in the context of a well-studied sparse tensor principal component analysis (PCA), where a broad class of local Markov chain…

面板有限混合回归的成分数估计及生产函数异质性应用AI 解读

This paper develops statistical methods for determining the number of components in panel data finite mixture regression models with regression errors independently distributed as normal or more flexible normal mixtures. We analyze the asymptotic properties of the likelihood ratio test (LRT) and information criteria (AIC and BIC) for model selection in both conditionally independent and dynamic panel settings. Unlike cross-sectional normal mixture models, we show that panel…

非终末事件时间的因果效应：抗生素使用与未来耐药性AI 解读

Comparing future antibiotic resistance levels resulting from different antibiotic treatments is challenging because some patients may survive only under one of the antibiotic treatments. We embed this problem within a semi-competing risks approach to study the causal effect on resistant infection, treated as a non-terminal event time. We argue that existing principal stratification estimands for such problems exclude patients for whom a causal effect is well-defined and is…

较弱载荷下的扩散指数预测：主成分、岭回归与随机投影AI 解读

We study the accuracy of forecasts in the diffusion index forecast model with possibly weak loadings. The default option to construct forecasts is to estimate the factors through principal component analysis (PCA) on the available predictor matrix, and use the estimated factors to forecast the outcome variable. Alternatively, we can directly relate the outcome variable to the predictors through either ridge regression or random projections. We establish that forecasts based…

不同依赖与尺度结构下 LASSO 及其衍生方法的使用指南AI 解读

In a multivariate linear regression model with $p>1$ covariates, implementation of penalization techniques often implies a preliminary univariate standardization step. Although this prevents scale effects on the covariates selection procedure, possible dependence structures can be disrupted, leading to wrong results. This is particularly challenging in high-dimensional settings where $p \geq n$. In this paper, we analyze the standardization effect on the LASSO for different…

利用在线文本时间序列进行大语言模型驱动的 CPI 预测推断AI 解读

Forecasting the Consumer Price Index (CPI) is an important yet challenging task in economics, where most existing approaches rely on low-frequency, survey-based data. With the recent advances of large language models (LLMs), there is growing potential to leverage high-frequency online text data for improved CPI prediction, an area still largely unexplored. This paper proposes LLM-CPI, an LLM-based approach for CPI prediction inference incorporating online text time series.…

累计无限阶整数值自回归过程的最小二乘统计推断AI 解读

This paper investigates the cumulative Integer-Valued Autoregressive model of infinite order, denoted as INAR($\infty$), a class of processes crucial for modeling count time series and equivalent to discrete-time Hawkes processes. We propose a computationally efficient conditional least-squares (CLS) estimator to address the challenge of parameter inference in this infinite-dimensional setting. We establish the key theoretical properties of the estimator, including its…

函数型张量回归AI 解读

Tensor regression has attracted significant attention in statistical research. This study tackles the challenge of handling covariates with smooth varying structures. We introduce a novel framework, termed functional tensor regression, which incorporates both the tensor and functional aspects of the covariate. To address the high dimensionality and functional continuity of the regression coefficient, we employ a low Tucker rank decomposition along with smooth regularization…

适用于一般处理类型的 Fisher 因果随机化检验AI 解读

We extend Fisher's randomization test (FRT) to test conditional independence between observed outcomes and treatments given covariates in both randomized experiments and observational studies, with no restriction on the variable type of treatments. Under a generalized unconfoundedness assumption, we provide causal identification for this hypothesis. Our approach requires neither the no-interference nor the positive overlap assumption, making it a widely applicable tool for…

基于翻转干预的纵向加权与修剪处理效应AI 解读

Weighting and trimming are popular methods for addressing positivity violations in causal inference. While well-studied with single-timepoint data, standard methods do not easily generalize to address non-baseline positivity violations in longitudinal data, and remain vulnerable to such violations. In this paper, we extend weighting and trimming to longitudinal data via stochastic ``flip'' interventions, which maintain the treatment status of subjects who would have received…