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类别指标贝叶斯因子分析中稀疏响应模式的阈值先验正则化AI 解读

Using instruments comprising ordered responses to items are ubiquitous for studying many constructs of interest. However, using such an item response format may lead to items with response categories infrequently endorsed or unendorsed completely. In maximum likelihood estimation, this results in non-existing estimates for thresholds. This work focuses on a Bayesian estimation approach to counter this issue. The issue changes from the existence of an estimate to how to…

正交 Bootstrap：高效模拟输入不确定性AI 解读

Bootstrap is a popular methodology for simulating input uncertainty. However, it can be computationally expensive when the number of samples is large. We propose a new approach called \textbf{Orthogonal Bootstrap} that reduces the number of required Monte Carlo replications. We decomposes the target being simulated into two parts: the \textit{non-orthogonal part} which has a closed-form result known as Infinitesimal Jackknife and the \textit{orthogonal part} which is easier…

点到区域随机效应的时空极值建模AI 解读

One measurement modality for rainfall is a fixed location rain gauge. However, extreme rainfall, flooding, and other climate extremes often occur at larger spatial scales and affect more than one location in a community. For example, in 2017 Hurricane Harvey impacted all of Houston and the surrounding region causing widespread flooding. Flood risk modeling requires understanding of rainfall for hydrologic regions, which may contain one or more rain gauges. Further, policy…

利用整群 SMART 数据比较整群自适应干预的有限样本校正AI 解读

Adaptive interventions, aka dynamic treatment regimens, are sequences of pre-specified decision rules that guide the provision of treatment for an individual given information about their baseline and evolving needs, including in response to prior intervention. Clustered adaptive interventions (cAIs) extend this idea by guiding the provision of intervention at the level of clusters (e.g., clinics), but with the goal of improving outcomes at the level of individuals within…

投资组合的预测决策综合：押注更好的模型AI 解读

We discuss and develop Bayesian dynamic modelling and predictive decision synthesis for portfolio analysis. The context involves model uncertainty with a set of candidate models for financial time series with main foci in sequential learning, forecasting, and recursive decisions for portfolio reinvestments. The foundational perspective of Bayesian predictive decision synthesis (BPDS) defines novel, operational analysis and resulting predictive and decision outcomes. A…

利用双重机器学习估计因果效应：方法评估AI 解读

The estimation of causal effects with observational data continues to be a very active research area. In recent years, researchers have developed new frameworks which use machine learning to relax classical assumptions necessary for the estimation of causal effects. In this paper, we review one of the most prominent methods - "double/debiased machine learning" (DML) - and empirically evaluate it by comparing its performance on simulated data relative to more traditional…

纵向实验的混杂校正：基于潜在条件可交换性的非线性混合效应标准化AI 解读

Non-linear mixed effects modeling and simulation (NLME M&S) is evaluated to be used for standardization with longitudinal data in presence of confounders. Standardization is a well-known method in causal inference to correct for confounding by analyzing and combining results from subgroups of patients. We show that non-linear mixed effects modeling is a particular implementation of standardization that conditions on individual parameters described by the random effects of…

基于空间融合LASSO与岭惩罚的非平稳极值相依灵活建模AI 解读

Statistical modeling of a nonstationary spatial extremal dependence structure is challenging. Max-stable processes are common choices for modeling spatially-indexed block maxima, where an assumption of stationarity is usual to make inference feasible. However, this assumption is often unrealistic for data observed over a large or complex domain. We propose a computationally-efficient method for estimating extremal dependence using a globally nonstationary, but…

线性估计量的敏感性分析AI 解读

We propose a novel sensitivity analysis framework for linear estimators with identification failures that can be viewed as seeing the wrong outcome distribution. Our approach measures the degree of identification failure through the change in measure between the observed distribution and a hypothetical target distribution that would identify the causal parameter of interest. The framework yields a sensitivity analysis that generalizes existing bounds for Average Potential…

异质因果效应估计中模型选择的实证分析AI 解读

We study the problem of model selection in causal inference, specifically for conditional average treatment effect (CATE) estimation. Unlike machine learning, there is no perfect analogue of cross-validation for model selection as we do not observe the counterfactual potential outcomes. Towards this, a variety of surrogate metrics have been proposed for CATE model selection that use only observed data. However, we do not have a good understanding regarding their…

高维点过程的正则化谱估计AI 解读

Advances in modern technology have enabled the simultaneous recording of neural spiking activity, which statistically can be represented by a multivariate point process. We characterise the second order structure of this process via the spectral density matrix, a frequency domain equivalent of the covariance matrix. In the context of neuronal analysis, statistics based on the spectral density matrix can be used to infer connectivity in the brain network between individual…

采用 Laplace 链接函数的计数时间序列半参数均值与方差联合模型AI 解读

Count time series data are frequently analyzed by modeling their conditional means and the conditional variance is often considered to be a deterministic function of the corresponding conditional mean and is not typically modeled independently. We propose a semiparametric mean and variance joint model, called random rounded count-valued generalized autoregressive conditional heteroskedastic (RRC-GARCH) model, to address this limitation. The RRC-GARCH model and its variations…

个体数与时间长度均较大时的面板 ARMA-GARCH 模型推断AI 解读

We propose a panel ARMA-GARCH model to capture the dynamics of large panel data with $N$ individuals over $T$ time periods. For this model, we provide a two-step estimation procedure to estimate the ARMA parameters and GARCH parameters stepwisely. Under some regular conditions, we show that all of the proposed estimators are asymptotically normal with the convergence rate $(NT)^{-1/2}$, and they have the asymptotic biases when both $N$ and $T$ diverge to infinity at the same…

约束条件下的最优处理分配AI 解读

In optimal policy problems where treatment effects vary at the individual level, optimally allocating treatments to recipients is complex even when potential outcomes are known. We present an algorithm for multi-arm treatment allocation problems that is guaranteed to find the optimal allocation in strongly polynomial time, and which is able to handle arbitrary potential outcomes as well as constraints on treatment requirement and capacity. Further, starting from an arbitrary…

横截面观测数据的通用因果推断框架AI 解读

Causal inference methods for observational data are highly regarded due to their wide applicability. While there are already numerous methods available for de-confounding bias, these methods generally assume that covariates consist solely of confounders or make naive assumptions about the covariates. Such assumptions face challenges in both theory and practice, particularly when dealing with high-dimensional covariates. Relaxing these naive assumptions and identifying the…

不公平背后是什么？强化学习中的动态公平性AI 解读

In sequential decision-making problems involving sensitive attributes like race and gender, reinforcement learning (RL) agents must carefully consider long-term fairness while maximizing returns. Recent works have proposed many different types of fairness notions, but how unfairness arises in RL problems remains unclear. In this paper, we address this gap in the literature by investigating the sources of inequality through a causal lens. We first analyse the causal…

马氏平衡：近似协变量平衡的多变量视角AI 解读

In the past decade, various exact balancing-based weighting methods were introduced to the causal inference literature. Exact balancing alleviates the extreme weight and model misspecification issues that may incur when one implements inverse probability weighting. It eliminates covariate imbalance by imposing balancing constraints in an optimization problem. The optimization problem can nevertheless be infeasible when there is bad overlap between the covariate distributions…

爆炸性波动率状态的序贯监测AI 解读

In this paper, we develop two families of sequential monitoring procedure to (timely) detect changes in a GARCH(1,1) model. Whilst our methodologies can be applied for the general analysis of changepoints in GARCH(1,1) sequences, they are in particular designed to detect changes from stationarity to explosivity or vice versa, thus allowing to check for volatility bubbles. Our statistics can be applied irrespective of whether the historical sample is stationary or not, and…

线性模型中迭代算法的不确定性量化及在早停中的应用AI 解读

This paper investigates the iterates $\hbb^1,\dots,\hbb^T$ obtained from iterative algorithms in high-dimensional linear regression problems, in the regime where the feature dimension $p$ is comparable with the sample size $n$, i.e., $p \asymp n$. The analysis and proposed estimators are applicable to Gradient Descent (GD), proximal GD and their accelerated variants such as Fast Iterative Soft-Thresholding (FISTA). The paper proposes novel estimators for the generalization…

始终存活者及其他人群因果效应界限的统一框架AI 解读

We investigate the bounding problem of causal effects in experimental studies in which the outcome is truncated by death, meaning that the subject dies before the outcome can be measured. Causal effects cannot be point identified without instruments and/or tight parametric assumptions but can be bounded under mild restrictions. Previous work on partial identification under the principal stratification framework has primarily focused on the `always-survivor' subpopulation. In…

Riesz 表示元的对抗式估计AI 解读

Many causal parameters are linear functionals of an underlying regression. The Riesz representer is a key component in the asymptotic variance of a semiparametrically estimated linear functional. We propose an adversarial framework to estimate the Riesz representer using general function spaces. We prove a nonasymptotic mean square rate in terms of an abstract quantity called the critical radius, then specialize it for neural networks, random forests, and reproducing kernel…

Lasso与最大似然估计在逻辑回归中判别性能的比较AI 解读

Logistic regression is widely used in many areas of knowledge. Several works compare the performance of lasso and maximum likelihood estimation in logistic regression. However, part of these works do not perform simulation studies and the remaining ones do not consider scenarios in which the ratio of the number of covariates to sample size is high. In this work, we compare the discrimination performance of lasso and maximum likelihood estimation in logistic regression using…

没有外生变异时反向因果关系的可检验性AI 解读

This paper shows that testability of reverse causality is possible even in the absence of exogenous variation, such as in the form of instrumental variables. Instead of relying on exogenous variation, we achieve testability by imposing relatively weak model restrictions and exploiting that a dependence of residual and purported cause is informative about the causal direction. Our main assumption is that the true functional relationship is nonlinear and that error terms are…

日前电价预测的自适应标准化方法AI 解读

The study of Day-Ahead prices in the electricity market is one of the most popular problems in time series forecasting. Previous research has focused on employing increasingly complex learning algorithms to capture the sophisticated dynamics of the market. However, there is a threshold where increased complexity fails to yield substantial improvements. In this work, we propose an alternative approach by introducing an adaptive standardisation to mitigate the effects of…