每日简报

利用题目级结果估计异质性处理效应：项目反应理论的启示AI 解读

Analyses of heterogeneous treatment effects (HTE) are common in applied causal inference research. However, when outcomes are latent variables assessed via psychometric instruments such as educational tests, standard methods ignore the potential HTE that may exist among the individual items of the outcome measure. Failing to account for "item-level" HTE (IL-HTE) can lead to both underestimated standard errors and identification challenges in the estimation of…

为实现人机互补而设计算法建议AI 解读

Algorithms frequently assist, rather than replace, human decision-makers. However, the design and analysis of algorithms often focus on predicting outcomes and do not explicitly model their effect on human decisions. This discrepancy between the design and role of algorithmic assistants becomes particularly concerning in light of empirical evidence that suggests that algorithmic assistants again and again fail to improve human decisions. In this article, we formalize the…

ALCM：自主大语言模型增强的因果发现框架AI 解读

To perform effective causal inference in high-dimensional datasets, initiating the process with causal discovery is imperative, wherein a causal graph is generated based on observational data. However, obtaining a complete and accurate causal graph poses a formidable challenge, recognized as an NP- hard problem. Recently, the advent of Large Language Models (LLMs) has ushered in a new era, indicating their emergent capabilities and widespread applicability in facilitating…

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…

对偏差决策模型进行去偏：基于住房抵押贷款申请数据的方法比较AI 解读

Prediction models can improve efficiency by automating decisions such as the approval of loan applications. However, they may inherit bias against protected groups from the data they are trained on. This paper adds counterfactual (simulated) ethnic bias to real data on mortgage application decisions, and shows that this bias is replicated by a machine learning model (XGBoost) even when ethnicity is not used as a predictive variable. Next, several other de-biasing methods are…

使用纵向数据研究多种治疗的因果效应：一项模拟研究AI 解读

Many clinical questions involve estimating the effects of multiple treatments using observational data. When using longitudinal data, the interest is often in the effect of treatment strategies that involve sustaining treatment over time. This requires causal inference methods appropriate for handling multiple treatments and time-dependent confounding. Robins Generalised methods (g-methods) are a family of methods which can deal with time-dependent confounding and some of…

平台试验中利用非同期对照识别与估计因果效应AI 解读

Platform trials are multi-arm designs that simultaneously evaluate multiple treatments for a single disease within the same overall trial structure. Unlike traditional randomized controlled trials, they allow treatment arms to enter and exit the trial at distinct times while maintaining a control arm throughout. This control arm comprises both concurrent controls, where participants are randomized concurrently to either the treatment or control arm, and non-concurrent…

局部平均处理效应的随机化置信集合AI 解读

We consider the problem of generating confidence sets in randomized experiments with noncompliance. We show that a refinement of a randomization-based procedure proposed by Imbens and Rosenbaum (2005) has desirable properties. Namely, we show that using a studentized Anderson--Rubin-type statistic as a test statistic yields confidence sets that are finite-sample exact under treatment effect homogeneity, and remain asymptotically valid for the Local Average Treatment Effect…

SARMA：基于张量分解的可扩展低秩高维自回归移动平均模型AI 解读

Existing models for high-dimensional time series are overwhelmingly developed within the finite-order vector autoregressive (VAR) framework. However, the more flexible vector autoregressive moving averages (VARMA) have been much less considered. This paper introduces a Tucker-low-rank framework to efficiently capture VARMA-type dynamics for high-dimensional time series, named the Scalable ARMA (SARMA) model. It generalizes the Tucker-low-rank finite-order VAR model to the…

高维离散协变量下的因果推断AI 解读

When estimating causal effects from observational studies, researchers often need to adjust for many covariates to deconfound the non-causal relationship between exposure and outcome, among which many covariates are discrete. The behavior of commonly used estimators in the presence of many discrete covariates is not well understood since their properties are often analyzed under structural assumptions including sparsity and smoothness, which do not apply in discrete…

广义去偏 Lasso 的稳定性及其在重抽样变量选择中的应用AI 解读

We propose a generalized debiased Lasso estimator based on a stability principle. When a single column of the design matrix is perturbed, the estimator admits a simple update formula that can be computed from the original solution. Under sub-Gaussian designs with well-conditioned covariance, this approximation is asymptotically accurate for all but a vanishing fraction of coordinates in the proportional growth regime. The proof relies on concentration and anti-concentration…

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…

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…

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…

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…

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…

采用截断拉普拉斯链接函数的有界整数时间序列半参数均值—方差联合模型AI 解读

We present a novel approach for modeling bounded count time series data, by deriving accurate upper and lower bounds for the variance of a bounded count random variable while maintaining a fixed mean. Leveraging these bounds, we propose semiparametric mean and variance joint (MVJ) models utilizing a clipped-Laplace link function. These models offer a flexible and feasible structure for both mean and variance, accommodating various scenarios of under-dispersion,…

理解自适应实验后的统计推断AI 解读

Adaptive experiments such as multi-arm bandits adapt the treatment-allocation policy and/or the decision to stop the experiment to the data observed so far. This has the potential to improve outcomes for study participants within the experiment, to improve the chance of identifying best treatments after the experiment, and to avoid wasting data. Seen as an experiment (rather than just a continually optimizing system) it is still desirable to draw statistical inferences with…

存在溢出效应时的合成控制：一项比较研究AI 解读

Iterative Synthetic Control Method is introduced in this study, a modification of the Synthetic Control Method (SCM) designed to improve its predictive performance by utilizing control units affected by the treatment in question. This method is then compared to other SCM modifications: SCM without any modifications, SCM after removing all spillover-affected units, Inclusive SCM, and the SP SCM model. For the comparison, Monte Carlo simulations are utilized, generating…

依赖条件下最大值的极限行为AI 解读

Weak convergence of maxima of dependent sequences of identically distributed continuous random variables is studied under normalizing sequences arising as subsequences of the normalizing sequences from an associated iid sequence. This general framework allows one to derive several generalizations of the well-known Fisher-Tippett-Gnedenko theorem under conditions on the univariate marginal distribution and the dependence structure of the sequence. The limiting distributions…

高维岭回归中的最优偏差修正与有效推断：闭式解AI 解读

Ridge regression is an indispensable tool in big data analysis. Yet its inherent bias poses a significant and longstanding challenge, compromising both statistical efficiency and scalability across various applications. To tackle this critical issue, we introduce an iterative strategy to correct bias effectively when the dimension $p$ is less than the sample size $n$. For $p>n$, our method optimally mitigates the bias such that any remaining bias in the proposed de-biased…

强、半强及潜在因子下线性资产定价模型的 alpha 识别与利用AI 解读

The risk premia of traded factors are the sum of factor means and a parameter vector we denote by φ which is identified from the cross section regression of alpha of individual securities on the vector of factor loadings. If phi is non-zero one can construct "phi-portfolios" which exploit the systematic components of non-zero alpha. We show that for known values of betas and when phi is non-zero there exist phi-portfolios that dominate mean-variance portfolios. The paper…

带变点检测的贝叶斯函数型图模型AI 解读

Functional data analysis, which models data as realizations of random functions over a continuum, has emerged as a useful tool for time series data. Often, the goal is to infer the dynamic connections (or time-varying conditional dependencies) among multiple functions or time series. For this task, a dynamic and Bayesian functional graphical model is introduced. The proposed modeling approach prioritizes the careful definition of an appropriate graph to identify both…

利用专家混合模型估计依从者平均因果效应AI 解读

Treatment non-compliance, where individuals deviate from their assigned experimental conditions, frequently complicates the estimation of causal effects. To address this, we introduce a novel learning framework based on a mixture of experts architecture to estimate the Complier Average Causal Effect (CACE). Our framework provides a flexible alternative to classical instrumental variable methods by relaxing their strict monotonicity and exclusion restriction assumptions. We…