每日简报

通过非线性分位数回归推进反事实推断AI 解读

The capacity to address counterfactual "what if" inquiries is crucial for understanding and making use of causal influences. Traditional counterfactual inference, under Pearls' counterfactual framework, typically depends on having access to or estimating a structural causal model. Yet, in practice, this causal model is often unknown and might be challenging to identify. Hence, this paper aims to perform reliable counterfactual inference based solely on observational data and…

Abadie 的 Kappa 与局部平均处理效应加权估计量AI 解读

Recent research has demonstrated the importance of flexibly controlling for covariates in instrumental variables estimation. In this paper we study the finite sample and asymptotic properties of various weighting estimators of the local average treatment effect (LATE), motivated by Abadie's (2003) kappa theorem and offering the requisite flexibility relative to standard practice. We argue that two of the estimators under consideration, which are weight normalized, are…

分位数相干性的半参数估计及双变量金融时间序列聚类应用AI 解读

In multivariate time series analysis, spectral coherence measures the linear dependency between two time series at different frequencies. However, real data applications often exhibit nonlinear dependency in the frequency domain. Conventional coherence analysis fails to capture such dependency. The quantile coherence, on the other hand, characterizes nonlinear dependency by defining the coherence at a set of quantile levels based on trigonometric quantile regression. This…

多变量贝叶斯变量选择及其多性状遗传精细定位应用AI 解读

Variable selection has played a critical role in modern statistical learning and scientific discoveries. Numerous regularization and Bayesian variable selection methods have been developed in the past two decades for variable selection, but most of these methods consider selecting variables for only one response. As more data is being collected nowadays, it is common to analyze multiple related responses from the same study. Existing multivariate variable selection methods…