论文检索

适用于多资产的计算高效多元波动率模型AI 解读

This paper develops a flexible and computationally efficient multivariate volatility model that accommodates dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties such as identifiability and computational tractability for many assets.A sufficient condition for strict stationarity is derived for the process.Two quasi-maximum likelihood estimation methods are proposed for the new model without and with…

条件线性的矩阵正态状态空间模型AI 解读

We develop a class of linear state space models for matrix-valued time series data where the state is a latent matrix normal process. We derive matrix versions of the Kalman filter, log-likelihood, and smoother enabling estimation of the latent state matrix as well as the model's parameters. To conduct Bayesian inference, we provide algorithms that draw from the joint posterior distribution of the latent state matrices conditional on the observed data and parameters. We…

生存结局未观测混杂的双重有效、双重锐利敏感性分析AI 解读

Time-to-event outcomes are central in oncology and rare diseases, where treatment effects are often summarized by differences in survival curves or Restricted Mean Survival Time (RMST). In real-world data, estimating these causal effects relies on the absence of unobserved confounding, an assumption that is rarely satisfied. We develop a sensitivity analysis framework for causal treatment effects with survival outcomes under the Marginal Sensitivity Model (MSM). We introduce…

正则化似然反卷积与后验密度重构AI 解读

Density deconvolution is an ill-posed inverse problem because recovering the latent density amplifies high-frequency variation in the observed data. We propose a two-stage likelihood procedure. The first estimator maximizes the convolution likelihood over a regularized Gaussian-mixture sieve; the second treats this fit as an empirical prior and averages the fitted conditional latent densities. Under fixed-model misspecification, the estimators generally have different…

利用集中不等式开展随机化推断AI 解读

Randomization or design-based inference is becoming an increasingly popular tool for analysing data from randomized experiments: It does not require modelling assumptions on the distribution of outcomes or covariates, and hypothesis testing and estimation are respectively valid and unbiased in finite samples. Yet, confidence intervals for the sample average treatment effect (SATE) are still constructed via finite-population central limit theorems and their coverage is only…

高维张量时间序列的 CP 因子分解与双投影迭代AI 解读

We adopt the canonical polyadic (CP) decomposition to model high-dimensional tensor time series. Our primary goal is to identify and estimate the factor loadings in the CP decomposition. We propose a one-pass estimation procedure through standard eigen-analysis for a matrix constructed based on the serial dependence structure of the data. The asymptotic properties of the proposed estimator are established under a general setting as long as the factor loading vectors are…

仅含当前治疗的 Cox 模型在因果推断中的局限AI 解读

Cox models with time-varying treatments often include only the current treatment level. Translating such a model into causally meaningful intervention-specific survival probabilities relies on the Markov property: that the hazard is independent of treatment history conditional on current treatment. For the Markov property to not be population-specific, it needs to hold also conditional on any unmeasured prognostic heterogeneity (frailty). Using a discrete-time argument,…

伪增量检验：利用自然发生的干预衡量广告增量效应AI 解读

We develop a method for measuring the incremental effect of advertising when randomized exper- iments are unavailable. Firms generate abrupt interventions in their own marketing as a byproduct of operations: budgets are cut, channels launch, programs pause. We propose a two-stage proce- dure that treats these events as quasi-experiments. The first stage discovers and dates interventions by exact Bayesian run-length inference on marketing activity series. The second stage…

第一阶段无法检测什么：线性工具变量中的函数形式污染AI 解读

Applied instrumental variables (IV) practice reports a first-stage F, now often the conditional F of Sanderson and Windmeijer (2016), and reads a large value as license to interpret the second stage. We show that no first-stage diagnostic can provide it. With a scalar instrument, a scalar treatment, and covariates entered linearly, the 2SLS estimand splits into a signal that a saturated specification would target and a contamination, the covariance between curvature in the…

通过汤普森采样实现探索驱动的迭代稀疏半定规划聚类AI 解读

High-dimensional sparse clustering is a challenging combinatorial problem due to the tight coupling between cluster assignment and variable selection. We demonstrate that semidefinite programming (SDP) relaxation of K-means is robust to variable over-selection by establishing minimax separation bounds. Leveraging this robustness, we offer a twist on the recent trend of using exogenous randomness to evaluate feature importance and control false discovery by partially shifting…

Tensor-BEKK：张量时间序列的条件协方差建模与推断AI 解读

Modern economic and financial data are increasingly organized as multiway arrays, with observations indexed simultaneously by geographic regions, industrial sectors, asset categories, and other economic characteristics. Representing such data as tensor-valued time series preserves their intrinsic multiway structure. Although substantial effort has been devoted to modeling the conditional mean of tensor-valued time series, comparatively less attention has been paid to their…

允许工具变量直接效应的剖面 Anderson–Rubin 稳健检验AI 解读

Instrumental variable analyses often rely on the assumption that instruments affect the outcome only through the endogenous regressor. In many applications, researchers can defend only a plausible range for direct effects of instruments, while conventional sensitivity analyses may be unreliable when instruments are weak. This paper proposes the profiled Anderson--Rubin (pAR) test, which considers all direct effects within a prespecified range and retains a candidate effect…

含不可观测异质性的动态离散选择模型序贯估计AI 解读

Unobserved heterogeneity is empirically central in dynamic discrete choice models but computationally costly to incorporate: estimation requires repeatedly solving fixed-point equations for every latent type. We develop EM-NPL($q$), a unified framework combining the sequential pseudo-likelihood (NPL) and finite-mixture Expectation-Maximization (EM) algorithms, truncating the inner solver to $q$ iterations, and accommodating the Bellman, policy valuation, Euler, and Efficient…

用于因果推断与模型发现的连续时间集合 Kalman–Bucy 平滑器AI 解读

Data assimilation (DA) integrates observational information with model predictions to improve state estimation in complex systems. While filtering provides the basis for online forecasts by using only past and present observations, it can exhibit delays and biases when the underlying dynamics evolve rapidly or undergo regime transitions. Smoothing, which additionally incorporates future observations, provides a natural pipeline for hindcasting and reanalysis that yields an…

保形化 Lee 推断：单调样本选择下个体治疗效应的预测集AI 解读

Treatment can change which outcomes are observed, so treated-selected and selected-control units need not represent the same latent population. This paper proposes conformalized Lee inference for counterfactual prediction under randomized treatment and monotone sample selection. The procedure uses treated-selected observations to fit and calibrate an arbitrary prediction rule and replaces the usual $(1-α)$ score quantile with the adjusted $(1-απ)$ quantile, where $π$ is the…

图依赖经验过程的耦合与最大不等式AI 解读

We develop maximal inequalities for empirical processes indexed by graph-dependent observations. Our bounds separate the complexity of the indexing class from two features specific to graph dependence: the geometry of the underlying graph and the cost of coupling graph-separated blocks to independent copies. The coupling construction combines a novel graph-adapted dependence coefficient with a coloring of a block partition. As an application, we derive Glivenko--Cantelli…

变量投影稀疏函数主成分分析：可解释降维及拉曼光谱应用AI 解读

Functional principal component analysis (FPCA) provides low-rank representations of functional data but generally produces dense components, making it difficult to identify the localised regions contributing to dominant modes of variation. This limitation is particularly relevant in Raman spectroscopy, where spectra are observed over an ordered domain and interpretation often focuses on chemically meaningful spectral regions. This study proposes variable-projection sparse…

线性参数模型中混合有序与指数族因果图的可识别性AI 解读

The problem of identifiability in linear parametric models (LPMs) whose nodes follow either an ordered logit model or a regular one-parameter exponential family is evaluated. The results go beyond classical structural equation models as well as results for nodes with observations from a homogeneous family of distributions. The main result establishes that the orientation of every edge joining an ordinal node to an exponential-family node is identifiable from the joint…

有限状态嵌套 Markov 模型的递归头几何与无序有效推断AI 解读

Exploiting the equality restrictions that nested Markov models encode requires their tangent-space geometry. For strictly positive finite-state models on arbitrary acyclic directed mixed graphs (ADMGs), we differentiate the recursive-head chart and prove that the range of its score map is the full tangent space. Intrinsic-set coordinate blocks form an algebraic direct sum, blocks of distinct districts are orthogonal, and the resulting Gram projection needs neither…

比例与离散时间序列的层级一致预测AI 解读

Hierarchical and grouped time series arise when a multivariate time series is forced to satisfy a set of aggregation constraints, motivating forecast reconciliation methods that ensure coherent forecasts of such hierarchical structures. Many real-world applications involve discrete or bounded supports, introducing additional challenges that are not addressed Gaussian-based reconciliation methods. We develop a post-hoc hierarchical forecasting approach to construct coherent…

因果测地学：沿相关与因果之间的路径估计反事实AI 解读

We introduce causal geodesy, a framework for studying the landscape of stochastic interventions that lie between the two extremes of performing no intervention and performing a sharp intervention that sets an exposure equal to a specific value. We define this framework by constructing paths of distributions that smoothly interpolate between the treatment density and a point mass at the target intervention. Thus, each path starts at a purely observational (or correlational)…

单调序贯随机缺失下的有效估计与完整案例粗化成本AI 解读

Complete-case coarsening discards observed confounder values from partially complete records. We study its consequences for average treatment effect estimation with two ordered, partially observed confounders under monotone sequential missing at random. We specialize the standard coarsening-at-random transformation to the causal influence function, establish the canonical gradient, and give an exact drift identity for a cross-fitted estimator with sequential multiple…

信息集仿真：AI 提取电子健康记录特征的因果证书AI 解读

AI and large language models can recover clinically meaningful features from electronic health records (EHRs), but predictive usefulness does not establish admissibility for causal inference. We introduce information set emulation: an AI typed lift attaches source evidence, clinical and recording times, decision-time availability, representation version, proposed causal roles, and unresolved ambiguity to extracted features under a locked target trial. Causal certificates…

AI 生成协变量：序贯实验中的因果角色与目标量漂移AI 解读

AI-generated covariates from notes, conversations, images, and wearable streams can change the causal question when their roles are left unspecified. A generated feature may represent a treatment version, pre-action state, history, design variable, mediator, outcome proxy, observation process, or intercurrent event; these roles are not interchangeable. We formulate a causal type discipline for sequential experiments: a versioned representation map, a causal role classifier,…