每日简报

结合随机试验与真实世界数据的平均处理效应自适应 TMLEAI 解读

We consider the problem of estimating the average treatment effect (ATE) when both randomized control trial (RCT) data and external real-world data (RWD) are available. We decompose the ATE estimand as the difference between a pooled-ATE estimand that integrates RCT and RWD and a bias estimand that captures the conditional effect of RCT enrollment on the outcome. We introduce an adaptive targeted maximum likelihood estimation (A-TMLE) framework to estimate them. We prove…

重复结果结构嵌套均值模型中效应修饰变量选择的惩罚 G 估计AI 解读

Effect modification occurs when the impact of the treatment on an outcome varies based on the levels of other covariates known as effect modifiers. Modeling these effect differences is important for etiological goals and for purposes of optimizing treatment. Structural nested mean models (SNMMs) are useful causal models for estimating the potentially heterogeneous effect of a time-varying exposure on the mean of an outcome in the presence of time-varying confounding. A…

随机对照试验中分布处理效应估计的回归调整AI 解读

In this paper, we address the issue of estimating and inferring distributional treatment effects in randomized experiments. The distributional treatment effect provides a more comprehensive understanding of treatment heterogeneity compared to average treatment effects. We propose a regression adjustment method that utilizes distributional regression and pre-treatment information, establishing theoretical efficiency gains without imposing restrictive distributional…

函数型数据驱动的分位数模型平均及其加密货币应用AI 解读

Given the high volatility and susceptibility to extreme events in the cryptocurrency market, forecasting tail risk is of paramount importance. Value-at-Risk (VaR), a quantile-based risk measure, is widely used for assessing tail risk and is central to monitoring financial market stability. In data-rich environments, functional data from various domains are employed to forecast conditional quantiles. However, the infinite-dimensional nature of functional data introduces…

因子模型结构变化的稳健残差检验AI 解读

In this paper, we propose an easy-to-implement residual-based specification testing procedure for detecting structural changes in factor models, which is powerful against both smooth and abrupt structural changes with unknown break dates. The proposed test is robust against the over-specified number of factors, and serially and crosssectionally correlated error processes. A new central limit theorem is given for the quadratic forms of panel data with dependence over both…

用 Transformer 学习谱方法AI 解读

Transformers demonstrate significant advantages as the building block of modern LLMs. In this work, we study the capacities of Transformers in performing unsupervised learning. We show that multi-layered Transformers, given a sufficiently large set of pre-training instances, are able to learn the algorithms themselves and perform statistical estimation tasks given new instances. This learning paradigm is distinct from the in-context learning setup and is similar to the…

重复测量中介与结局的连续时间中介分析AI 解读

Mediation analysis aims to decipher the underlying causal mechanisms between an exposure, an outcome, and intermediate variables called mediators. Initially developed for fixed-time mediator and outcome, it has been extended to the framework of longitudinal data by discretizing the assessment times of mediator and outcome. Yet, processes in play in longitudinal studies are usually defined in continuous time and measured at irregular and subject-specific visits. This is the…

利用整数规划分析随机化检验对二元结局误分类的敏感性AI 解读

Conducting a randomization test is a common method for testing causal null hypotheses in randomized experiments. The popularity of randomization tests is largely because their statistical validity only depends on the randomization design, and no distributional or modeling assumption on the outcome variable is needed. However, randomization tests may still suffer from other sources of bias, among which outcome misclassification is a significant one. We propose a model-free…

平均处理效应的半参数单指标估计AI 解读

We propose a semiparametric method to estimate the average treatment effect under the assumption of unconfoundedness given observational data. Our estimation method alleviates misspecification issues of the propensity score function by estimating the single-index link function involved through Hermite polynomials. Our approach is computationally tractable and allows for moderately large dimension covariates. We provide the large sample properties of the estimator and show…

随机对照试验中死亡截断结局：幸存者平均因果效应的模拟研究AI 解读

Continuous outcome measurements truncated by death present a challenge for the estimation of unbiased treatment effects in randomized controlled trials (RCTs). One way to deal with such situations is to estimate the survivor average causal effect (SACE), but this requires making non-testable assumptions. Motivated by an ongoing RCT in very preterm infants with intraventricular hemorrhage, we performed a simulation study to compare a SACE estimator with complete case analysis…

通过倾向得分校准改善双重／去偏机器学习的平均处理效应估计AI 解读

In the last decade, machine learning techniques have gained popularity for estimating causal effects. One machine learning approach that can be used for estimating an average treatment effect is Double/debiased machine learning (DML) (Chernozhukov et al., 2018). This approach uses a double-robust score function that relies on the prediction of nuisance functions, such as the propensity score, which is the probability of treatment assignment conditional on covariates.…

局部平稳过程与二维白噪声的渐近等价性AI 解读

We consider a general class of statistical experiments, in which an $n$-dimensional centered Gaussian random variable is observed and its covariance matrix is the parameter of interest. The covariance matrix is assumed to be well-approximable in a linear space of lower dimension $K_n$ with eigenvalues uniformly bounded away from zero and infinity. We prove asymptotic equivalence of this experiment and a class of $K_n$-dimensional Gaussian models with informative expectation…

重尾时间序列极端事件的最优预测及太阳耀斑预报应用AI 解读

The prediction of extreme events in time series is a fundamental problem arising in many financial, scientific, engineering, and other applications. We begin by establishing a general Neyman-Pearson-type characterization of optimal extreme event predictors in terms of density ratios. This yields new insights and several closed-form optimal extreme event predictors for additive models. These results naturally extend to time series, where we study optimal extreme event…

利用点预测增强预测区间可靠性：异方差分位数回归与宽度自适应共形推断AI 解读

Constructing prediction intervals for time series forecasting is challenging, particularly when practitioners rely solely on point forecasts. While previous research has focused on creating increasingly efficient intervals, we argue that standard measures alone are inadequate. Beyond efficiency, prediction intervals must adapt their width based on the difficulty of the prediction while preserving coverage regardless of complexity. To address these issues, we propose…

结合历史文献、气候模型与数据同化重建1368—1911年东亚气温AI 解读

We propose a novel approach for reconstructing annual temperatures in East Asia from 1368 to 1911, leveraging the Reconstructed East Asian Climate Historical Encoded Series (REACHES). The lack of instrumental data during this period poses significant challenges to understanding past climate conditions. REACHES digitizes historical documents from the Ming and Qing dynasties of China, converting qualitative descriptions into a four-level ordinal temperature scale. However,…

利用加权能量距离估计修正处理政策效应AI 解读

The causal effects of continuous treatments are often characterized through the average dose response function, which is challenging to estimate from observational data due to confounding and positivity violations. Modified treatment policies (MTPs) are an alternative approach that aim to assess the effect of a modification to observed treatment values and work under relaxed assumptions. Estimators for MTPs generally focus on estimating the conditional density of treatment…

不依赖正值性条件的剂量反应曲线非参数推断AI 解读

Existing statistical methods in causal inference often assume the positivity condition, where every individual has some chance of receiving any treatment level regardless of covariates. This assumption could be violated in observational studies with continuous treatments. In this paper, we develop identification and estimation theories for causal effects with continuous treatments (i.e., dose-response curves) without relying on the positivity condition. Our approach…

加权因果分解的校准敏感性分析AI 解读

Disparities in health or well-being experienced by minority groups can be difficult to study using the traditional exposure-outcome paradigm in causal inference, since potential outcomes in variables such as race or sexual minority status are challenging to interpret. Causal decomposition analysis addresses this gap by positing causal effects on disparities under interventions to other, intervenable exposures that may play a mediating role in the disparity. While invoking…

以集中指数为目标的健康不平等因果推断AI 解读

A concentration index, a standardized covariance between a health variable and relative income ranks, is often used to quantify income-related health inequalities. There is a lack of formal approach to study the effect of an exposure, e.g., education, on such measures of inequality. In this paper we contribute by filling this gap and developing the necessary theory and method. Thus, we define a counterfactual concentration index for different levels of an exposure. We give…