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多阶段学习与双重稳健深度神经网络的因果推断AI 解读

Deep neural networks (DNNs) have demonstrated remarkable empirical performance in large-scale supervised learning problems, particularly in scenarios where both the sample size $n$ and the dimension of covariates $p$ are large. This study delves into the application of DNNs across a wide spectrum of intricate causal inference tasks, where direct estimation falls short and necessitates multi-stage learning. Examples include estimating the conditional average treatment effect…

通胀即时预测中的 MIDAS 与 Lag-Llama 模型比较AI 解读

Inflation is one of the most important economic indicators closely watched by both public institutions and private agents. This study compares the performance of a traditional econometric model, Mixed Data Sampling regression, with one of the newest developments from the field of Artificial Intelligence, a foundational time series forecasting model based on a Long short-term memory neural network called Lag-Llama, in their ability to nowcast the Harmonized Index of Consumer…

调整识别距离：用于因果结构学习的gadjid工具AI 解读

Evaluating graphs learned by causal discovery algorithms is difficult: The number of edges that differ between two graphs does not reflect how the graphs differ with respect to the identifying formulas they suggest for causal effects. We introduce a framework for developing causal distances between graphs which includes the structural intervention distance for directed acyclic graphs as a special case. We use this framework to develop improved adjustment-based distances as…

使用新型集成方法稳健估计条件平均处理效应AI 解读

The estimation of Conditional Average Treatment Effects (CATE) is crucial for understanding the heterogeneity of treatment effects in clinical trials. We evaluate the performance of common methods, including causal forests and various meta-learners, across a diverse set of scenarios, revealing that each of the methods struggles in one or more of the tested scenarios. Given the inherent uncertainty of the data-generating process in real-life scenarios, the robustness of a…

通过最优传输自动校正异常值AI 解读

In this paper, we propose a novel conceptual framework to detect outliers using optimal transport with a concave cost function. Conventional outlier detection approaches typically use a two-stage procedure: first, outliers are detected and removed, and then estimation is performed on the cleaned data. However, this approach does not inform outlier removal with the estimation task, leaving room for improvement. To address this limitation, we propose an automatic outlier…

面向处理效应异质性学习的自适应实验AI 解读

Understanding treatment effect heterogeneity has become an increasingly popular task in various fields, as it helps design personalized advertisements in e-commerce or targeted treatment in biomedical studies. However, most of the existing work in this research area focused on either analyzing observational data based on strong causal assumptions or conducting post hoc analyses of randomized controlled trial data, and there has been limited effort dedicated to the design of…

降秩矩阵自回归模型：面向中等维度的方法AI 解读

Reduced-rank regressions are powerful tools used to identify co-movements within economic time series. However, this task becomes challenging when we observe matrix-valued time series, where each dimension may have a different co-movement structure. We propose reduced-rank regressions with a tensor structure for the coefficient matrix to provide new insights into co-movements within and between the dimensions of matrix-valued time series. Moreover, we relate the co-movement…

从低层级测量直接估计高层级相关性：基因通路与蛋白质组应用AI 解读

This paper tackles the challenge of estimating correlations between higher-level biological variables (e.g., proteins and gene pathways) when only lower-level measurements are directly observed (e.g., peptides and individual genes). Existing methods typically aggregate lower-level data into higher-level variables and then estimate correlations based on the aggregated data. However, different data aggregation methods can yield varying correlation estimates as they target…

检验因子增强回归中的稀疏特异成分AI 解读

We propose a novel bootstrap test of a dense model, namely factor regression, against a sparse plus dense alternative augmenting model with sparse idiosyncratic components. The asymptotic properties of the test are established under time series dependence and polynomial tails. We outline a data-driven rule to select the tuning parameter and prove its theoretical validity. In simulation experiments, our procedure exhibits high power against sparse alternatives and low power…

使用时变工具变量的两阶段最小二乘：二型糖尿病治疗强化评估AI 解读

As longitudinal data becomes more available in many settings, policy makers are increasingly interested in the effect of time-varying treatments (e.g. sustained treatment strategies). In settings such as this, the preferred analysis techniques are the g-methods, however these require the untestable assumption of no unmeasured confounding. Instrumental variable analyses can minimise bias through unmeasured confounding. Of these methods, the Two Stage Least Squares technique…

学习线性算子：无穷维回归作为良态非紧逆问题AI 解读

We consider the problem of learning a linear operator $θ$ between two Hilbert spaces from empirical observations, which we interpret as least squares regression in infinite dimensions. We show that this goal can be reformulated as an inverse problem for $θ$ with the feature that its forward operator is generally non-compact (even if $θ$ is assumed to be compact or of $p$-Schatten class). However, we prove that, in terms of spectral properties and regularisation theory, this…

特定因子模型样本相关矩阵有界与发散特征值的渐近位置及成分保留规则AI 解读

Let the dimension $N$ of data and the sample size $T$ tend to $\infty$ with $N/T \to c > 0$. The spectral properties of a sample correlation matrix $\mathbf{C}$ and a sample covariance matrix $\mathbf{S}$ are asymptotically equal whenever the population correlation matrix $\mathbf{R}$ is bounded (El Karoui 2009). We demonstrate this also for general linear models for unbounded $\mathbf{R}$, by examining the behavior of the singular values of multiplicatively perturbed…

稀疏内在得分下的协变量辅助对象排序AI 解读

This paper addresses the item ranking problem with associate covariates, focusing on scenarios where the preference scores can not be fully explained by covariates, and the remaining intrinsic scores, are sparse. Specifically, we extend the pioneering Bradley-Terry-Luce (BTL) model by incorporating covariate information and considering sparse individual intrinsic scores. Our work introduces novel model identification conditions and examines the regularized penalized Maximum…

聚合贝叶斯因果森林：分层数据的灵活因果推断AI 解读

This paper introduces aggregate Bayesian Causal Forests (aBCF), a new Bayesian model for causal inference using aggregated data. Aggregated data are common in policy evaluations where we observe individuals such as students, but participation in an intervention is determined at a higher level of aggregation, such as schools implementing a curriculum. Interventions often have millions of individuals but far fewer higher-level units, making aggregation computationally…

主成分因子置信区域构造中的特异成分横截面相关处理AI 解读

In this paper, we propose a computationally simple estimator of the asymptotic covariance matrix of the Principal Components (PC) factors valid in the presence of cross-correlated idiosyncratic components. The proposed estimator of the asymptotic Mean Square Error (MSE) of PC factors is based on adaptive thresholding the sample covariances of the id iosyncratic residuals with the threshold based on their individual variances. We compare the nite sample performance of…

高维函数型时间序列的因子建模AI 解读

Many economic and scientific problems involve the analysis of high-dimensional functional time series, where the number of functional variables $p$ diverges as the number of serially dependent observations $n$ increases. In this paper, we present a novel functional factor model for high-dimensional functional time series that maintains and makes use of the functional and dynamic structure to achieve great dimension reduction and find the latent factor structure. To estimate…

基于半参数角度—径向模型的二元极值推断AI 解读

The modelling of multivariate extreme events is important in a wide variety of applications, including flood risk analysis, metocean engineering and financial modelling. A wide variety of statistical techniques have been proposed in the literature; however, many such methods are limited in the forms of dependence they can capture, or make strong parametric assumptions about data structures. In this article, we introduce a novel inference framework for multivariate extremes…

集群随机试验中用混合效应模型检验处理效应异质性的第一类错误风险AI 解读

Evaluating heterogeneity of treatment effects (HTE) across subgroups is common in both randomized trials and observational studies. Although several statistical challenges of HTE analyses including low statistical power and multiple comparisons are widely acknowledged, issues arising for clustered data, including cluster randomized trials (CRTs), have received less attention. Notably, the potential for model misspecification is increased given the complex clustering…

基于替代终点的临时批准因果路线图AI 解读

For many rare diseases with no approved preventive interventions, promising interventions exist, yet it has been difficult to conduct a pivotal phase 3 trial that could provide direct evidence demonstrating a beneficial effect on the target disease outcome. When a promising putative surrogate endpoint(s) for the target outcome is available, surrogate-based provisional approval of an intervention may be pursued. We apply the Causal Roadmap rubric to define a surrogate…

如何在信息借用下向进行中的篮式试验加入新篮AI 解读

Basket trials test a single therapeutic treatment on several patient populations under one master protocol. A desirable adaptive design feature in these studies may be the incorporation of new baskets to an ongoing study. Limited basket sample sizes can cause issues in power and precision of treatment effect estimates which could be amplified in added baskets due to the shortened recruitment time. While various Bayesian information borrowing techniques have been introduced…

面向一般响应类型的模型化因果特征选择AI 解读

Discovering causal relationships from observational data is a fundamental yet challenging task. Invariant causal prediction (ICP, Peters et al., 2016) is a method for causal feature selection which requires data from heterogeneous settings and exploits that causal models are invariant. ICP has been extended to general additive noise models and to nonparametric settings using conditional independence tests. However, the latter often suffer from low power (or poor type I error…

高维时间序列的动态矩阵因子模型AI 解读

Matrix time series, which consist of matrix-valued data observed over time, are prevalent in various fields such as economics, finance, and engineering. Such matrix time series data are often observed in high dimensions. Matrix factor models are employed to reduce the dimensionality of such data, but they lack the capability to make predictions without specified dynamics in the latent factor process. To address this issue, we propose a two-component dynamic matrix factor…

合成控制的贝叶斯与频率学派推断AI 解读

The synthetic control method has become a widely popular tool to estimate causal effects with observational data. Despite this, inference for synthetic control methods remains challenging. Often, inferential results rely on linear factor model data generating processes. In this paper, we characterize the conditions on the factor model primitives (the factor loadings) for which the statistical risk minimizers are synthetic controls (in the simplex). Then, we propose a…

用于插补与个体化推断的凸化匹配方法AI 解读

We introduce a new convexified matching method for missing value imputation and individualized inference inspired by computational optimal transport. Our method integrates favorable features from mainstream imputation approaches: optimal matching, regression imputation, and synthetic control. We impute counterfactual outcomes based on convex combinations of observed outcomes, defined based on an optimal coupling between the treated and control data sets. The optimal coupling…