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混合分数 Merton 跳跃扩散模型的 EM 参数估计AI 解读

This paper proposes an Expectation--Maximization algorithm with Metropolis--Hastings sampling for parameter estimation in a Mixed Fractional Merton Jump Diffusion model. The model combines fractional Brownian motion to capture long-range dependence with a compound Poisson jump process to describe abrupt movements in financial returns. The latent jump process is inferred during the E-step using Markov Chain Monte Carlo sampling, while the M-step updates the model parameters…

大规模数据变量选择的贝叶斯双向拆分框架AI 解读

Modern tabular datasets are becoming increasingly large, both in the number of samples and covariates, posing significant challenges for Bayesian variable selection due to the resulting computational burden. While there is extensive literature on scaling Bayesian inference to large numbers of observations or high-dimensional covariate spaces, comparatively little work addresses scalable Bayesian variable selection when both dimensions are large simultaneously in a practical…

确证性临床试验中图形多重检验程序的收益函数优化AI 解读

Graphical multiple testing procedures are a flexible and transparent way to control the family-wise error rate when a confirmatory trial pursues several label claims, but they leave open the question of which graph to use. In practice sponsors often fall back on fixed-sequence or Holm procedures that may poorly reflect what the trial is actually trying to achieve. We propose to instead choose the graph that maximises an explicit gain function, which states what each possible…

局部渐近极小极大风险的公理化AI 解读

Local asymptotic minimax (LAM) risk is a foundational efficiency criterion in statistics and econometrics. The literature uses two definitions of LAM risk: one which appears in classical lower bounds and another which appears in arguments establishing attainment of those bounds. Conventional efficiency arguments are consistent with any estimator-dependent weighted average of the two, and consequently do not reveal which of these generalized $α$-LAM risk indices describes…

组成数据的合成控制AI 解读

When applying synthetic control to compositional outcomes (budget, vote shares), researchers commonly minimize Euclidean distances between raw shares. I propose constructing synthetic controls in Aitchison geometry, using centered log-ratio coordinates to select donor weights and form counterfactuals. This approach respects proportional comparisons and is exactly invariant to common multiplicative changes in relative odds. Under a multinomial-choice model, its weights…

任意维度下依赖研究推断的重右尾策略AI 解读

We leverage recent advances in heavy-tail approximations for global hypothesis testing with dependent studies to construct approximate confidence regions without modeling or estimating their dependence structures. A non-rejection region is a confidence region but it may not be convex. Convexity is appealing because it ensures any one-dimensional linear projection of the region is a confidence interval, easy to compute and interpret. We show why convexity fails for nearly all…

高维聚类数据中的估计目标偏移与合成近似AI 解读

In high-dimensional clustered data, covariates whose distributions differ across clusters can act as proxies for unobserved cluster effects. We show that the marginal-model LASSO implicitly uses sparse combinations of such covariates to shift the estimation target from structural coefficients to a contaminated vector, which inflates false selections. We therefore propose the Synthetic Heterogeneous-Effects LASSO (SHEL), which augments the regression design with separately…

多变量纵向数据的向量藤 Copula 模型AI 解读

Multivariate longitudinal data may exhibit non-Gaussian margins, nonlinear dynamics, and response vectors with composition that varies across waves. To account for these features, we introduce a vector drawable vine (VD-vine) copula that extends conventional drawable vine copulas from scalar to vector-valued nodes. Here, the response vector at each wave forms a multivariate marginal, and serial dependence is captured through a sequence of linking vector copulas. We establish…

多元高维线性模型的信噪比推断AI 解读

We study inference for the fraction of total response variation explained by multivariate high-dimensional linear models. Two moment equations yield explicit estimates without fitting the regression coefficients. We establish asymptotically valid confidence intervals for fixed- and random-effects models, allowing the response dimension to grow with the sample size. The theory describes how response dependence affects precision and provides a correction for unequal noise…

超越行动者—伴侣关联：纵向双人数据因果溢出效应的目标试验框架AI 解读

Actor-partner interdependence models (APIMs) describe how one member's exposure is associated with that member's and the partner's outcomes, but actor and partner coefficients are causal only under additional design and identification assumptions. We formulate APIM-style questions as dyadic target trials under within-dyad interference and make three links between the associational and causal formulations explicit. First, under joint exchangeability, positivity, and a…

线性模型中的内生异方差AI 解读

Linear regressions with endogeneity are widely used to estimate causal effects. This paper studies a framework that involves two common practical issues: endogeneity of the regressors and heteroskedasticity that depends on endogenous regressors, i.e., endogenous heteroskedasticity. To address the inconsistency of the two-stage least squares estimator in this scenario, and recover the causal parameters of interest, we develop a framework for practical estimation and inference…

向量值核岭回归的稳健误差界AI 解读

While kernel-based learning methods for scalar-valued functions have been extensively studied, comparatively little work considers nonlinear vector-valued operators. Such operators with vector-valued outputs, e.g., state vectors and trajectories, commonly arise in system identification problems. In this paper, we study the problem of learning a vector-valued operator under the framework of vector-valued kernel ridge regression. We assume that the outputs take values in an…

稳定的政策学习AI 解读

In evidence-based policymaking, typically one experimental sample is observed, then a learned policy recommendation is implemented at scale. Policies learned from the experimental data can perform well in expected welfare, yet random sampling in the experiment can produce recommendations with poor welfare outcomes. In this paper, we ask: how should policy learning algorithms balance expected welfare against sampling risk? Our main contribution is to show that algorithmic…

使用估计权重聚合大量估计量AI 解读

Consider an increasing number of consistent estimators to be averaged when only estimated weights are available. The underlying parameter of interest can be identical across estimators (homogeneity) or not (heterogeneity). The contribution of the paper is threefold. First, it is shown that the interaction of the estimated weights with the estimators can generate specific bias terms. This constrains the number of estimators that can be aggregated when weight estimation is…

条件秩对秩回归AI 解读

Rank-rank regression is commonly employed in economic research as a way of capturing the relationship between two economic variables. The slope of this regression is the Spearman rank correlation, a classical measure of association. However, in many applications it is common practice to include covariates to account for differences in association levels between groups as defined by the values of these covariates. This is either done by including the covariates or by modeling…

双重差分设计中的遗漏变量偏误AI 解读

We study the omitted variable bias (OVB) problem in canonical difference-in-differences (DiD) designs when unobserved confounding induces departures from the parallel trends assumption. Our results provide a novel characterization of the OVB formula for the average treatment effect on the treated (ATT), which is of independent interest. We show how the ATT bias is mainly governed by the strength of confounding in the treatment assignment mechanism and provide alternative…

审查员工具变量设计的局部稳健半参数方法AI 解读

I propose a locally robust semiparametric framework for estimating causal effects using examiner IV designs when adjustment for many or continuous covariates makes saturation infeasible or produces sparse cells. The key ingredient of this approach is an orthogonal moment function that removes the first-order effect of estimation errors in the two treatment regressions defining the examiner IV. I derive the orthogonal moment function and show that it remains valid under…

用于语音信号处理的拓扑增强机器学习AI 解读

In artificial-intelligence-aided signal processing, existing deep learning models often exhibit a black-box structure. Here, conceptually beyond spectral analysis, we demonstrate that topological methods not only effectively capture intrinsic and complex structural information but can also enhance neural networks. We provide a transparent methodology, TopCap, to capture topological features inherent in time series for basic machine learning. Compared to prior approaches, we…

超越预趋势：基于反事实填补不一致性的双重差分敏感性分析AI 解读

In the canonical Difference-in-Differences design, the control group's post-treatment change serves as an imputation of the treated group's counterfactual change in the same period, an imputation justified by parallel trends. However, differences in group composition can produce between-group differences in how outcomes would evolve over time, rendering this imputation vulnerable to confounding. An alternative imputation -- such as one based on the treated group's…

断点回归设计中外推治疗效应的界AI 解读

External validity is a central concern in regression discontinuity (RD) designs. To assess treatment effect heterogeneity and the representativeness of the conventional RD estimand, this paper studies the identifying content of monotonicity and smoothness restrictions for treatment effects away from the cutoff in both canonical and multi-cutoff RD designs. In the canonical design, monotonicity in the running variable alone has limited identifying power and generally yields…

带工具变量的收缩贝叶斯因果森林AI 解读

Discovering interpretable subgroups whose complier effects deviate from the average is a central goal of instrumental variable analysis under imperfect compliance, yet existing tree-based methods degrade when most covariates are irrelevant to the effect. We propose Shrinkage Bayesian Causal Forest with Instrumental Variable (SBCF-IV) for discovering and estimating subgroups with heterogeneous Complier Average Causal Effects (CACE) in sparse high-dimensional settings. SBCF-IV…

通过惩罚成对加速失效时间模型选择传染病传播变量AI 解读

In infectious disease transmission, regression and variable selection for time-to-event outcomes are complicated by transmission-induced dependence that violates standard independence assumptions. Pairwise survival analysis addresses this dependence by modeling contact intervals in ordered pairs, defined as the time from the onset of infectiousness in the pair's first individual to their first infectious contact with the second individual. We propose a penalized pairwise…

从复数到八元数：地球与空间观测的多元自回归时间序列分析AI 解读

Many datasets arise as multivariate time series observed at irregular time intervals, particularly in Earth observation and astronomical measurements. Classical time-series models assume that time is discrete and observations occur at equally spaced intervals, limiting their ability to capture dynamics when observation gaps vary. Existing approaches to irregular sampling rely on continuous-time formulations, which assume that observation intervals are sufficiently small. We…

生存治疗效应的有效迁移与推广AI 解读

Randomized controlled trials provide internally valid estimates of treatment effects, but their results may not directly apply to broader target populations due to differences in baseline covariate distributions, adherence to treatment or variations in outcome mechanisms. Under standard transport and time-to-event identifiability assumptions, we develop nonparametric, debiased machine learning estimators for transporting and generalizing causal survival treatment effect…