每日简报

多层函数混合效应模型中的固定效应与随机效应变量选择AI 解读

We develop a new method for simultaneously selecting fixed and random effects in a multilevel functional regression model. The proposed method is motivated by accelerometer-derived physical activity data from the 2011-12 cohort of the National Health and Nutrition Examination Survey (NHANES), where we are interested in identifying age and race-specific heterogeneity in covariate effects on the diurnal patterns of physical activity across the lifespan. Existing methods for…

基于吸引子的共同演化随机点积图模型AI 解读

We introduce the attractor-based coevolving dot product random graph model (ABCDPRGM) to analyze time-series network data manifesting polarizing or flocking behavior. Graphs are generated based on latent positions under the random dot product graph regime. We assign group membership to each node. When evolving through time, the latent position of each node will change based on its current position and two attractors, which are defined to be the centers of the latent…

利用因果图评估双重差分研究的平行趋势AI 解读

Difference-in-differences (DID) is popular because it can allow for unmeasured confounding when the key assumption of parallel trends holds. However, there exists little guidance on how to decide a priori whether this assumption is reasonable. We attempt to develop such guidance by considering the relationship between a causal diagram and the parallel trends assumption. This is challenging because parallel trends is scale-dependent and causal diagrams are generally…

顺序平衡的被试内设计中的因果推断AI 解读

Experimental designs are fundamental for estimating causal effects. In some fields, within-subjects designs, which expose participants to both control and treatment at different time periods, are used to address practical and logistical concerns. Counterbalancing, a common technique in within-subjects designs, aims to remove carryover effects by randomizing treatment sequences. Despite its appeal, counterbalancing relies on the assumption that carryover effects are symmetric…

利用基于聚类的老虎机算法估计网络因果效应AI 解读

The gold standard for estimating causal effects is randomized controlled trial (RCT) or A/B testing where a random group of individuals from a population of interest are given treatment and the outcome is compared to a random group of individuals from the same population. However, A/B testing is challenging in the presence of interference, commonly occurring in social networks, where individuals can impact each others outcome. Moreover, A/B testing can incur a high…

利用支持向量构造高功效卡方模型设定检验AI 解读

Specification tests, such as Integrated Conditional Moment (ICM) and Kernel Conditional Moment (KCM) tests, are crucial for model validation but often lack power in finite samples. This paper proposes a novel framework to enhance specification test performance using Support Vector Machines (SVMs) for direction learning. We introduce two alternative SVM-based approaches: one maximizes the discrepancy between nonparametric and parametric classes, while the other maximizes the…

含两个中介变量的致因概率分解AI 解读

Mediation analysis for probabilities of causation (PoC) provides a fundamental framework for evaluating the necessity and sufficiency of treatment in provoking an event through different causal pathways. One of the primary objectives of causal mediation analysis is to decompose the total effect into path-specific components. In this study, we investigate the path-specific probability of necessity and sufficiency (PNS) to decompose the total PNS into path-specific components…

情景合成与宏观经济风险AI 解读

We introduce methodology to bridge scenario analysis and model-based risk forecasting, leveraging their respective strengths in policy settings. Our Bayesian framework addresses the fundamental challenge of reconciling judgmental narrative approaches with statistical forecasting. Analysis evaluates explicit measures of concordance of scenarios with a reference forecasting model, delivers Bayesian predictive synthesis of the scenarios to best match that reference, and…

贝叶斯聚类因子模型AI 解读

We present a novel framework for concomitant dimension reduction and clustering. This framework is based on a novel class of Bayesian clustering factor models. These models assume a factor model structure where the vectors of common factors follow a mixture of Gaussian distributions. We develop a Gibbs sampler to explore the posterior distribution and propose an information criterion to select the number of clusters and the number of factors. Simulation studies show that our…

随机临床试验中生存终点协变量调整的统一方法AI 解读

Covariate adjustment aims to improve the statistical efficiency of randomized trials by incorporating information from baseline covariates. Popular methods for covariate adjustment include analysis of covariance for continuous endpoints and standardized logistic regression for binary endpoints. For survival endpoints, while some covariate adjustment methods have been developed for specific effect measures, they are not commonly used in practice for various reasons, including…

VaR 模型比较：历史模拟、GARCH 蒙特卡洛与过滤历史模拟AI 解读

This report presents a comprehensive evaluation of three Value-at-Risk (VaR) modeling approaches: Historical Simulation (HS), GARCH with Normal approximation (GARCH-N), and GARCH with Filtered Historical Simulation (FHS), using both in-sample and multi-day forecasting frameworks. We compute daily 5 percent VaR estimates using each method and assess their accuracy via empirical breach frequencies and visual breach indicators. Our findings reveal severe miscalibration in the…

利用傅里叶与小波技术精简周期时间序列建模AI 解读

This paper proposes Fourier-based and wavelet-based techniques for analyzing periodic financial time series. Conventional models such as the periodic autoregressive conditional heteroscedastic (PGARCH) and periodic autoregressive conditional duration (PACD) often involve many parameters. The methods put forward here resulted in more parsimonious models with increased forecast efficiency. The effectiveness of these approaches is demonstrated through simulation and data…

超越均值：无限均值自回归条件持续期模型的极限理论与检验AI 解读

Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite their resemblance, asymptotic theory for ACD is challenging and also not complete, in particular for integrated ACD. Central challenges arise from the facts that (i) integrated ACD processes imply durations with infinite expectation, and (ii) even in the non-integrated case, conventional asymptotic…

通过统一偏斜正态先验的贝叶斯非参数重缩放共享未对齐二元时间序列信息AI 解读

We define a Bayesian semi-parametric model to effectively conduct inference with unaligned longitudinal binary data. The proposed strategy is motivated by data from the Human Epilepsy Project (HEP), which collects seizure occurrence data for epilepsy patients, together with relevant covariates. The model is designed to flexibly accommodate the particular challenges that arise with such data. First, epilepsy data require models that can allow for extensive heterogeneity,…

利用大规模贝叶斯 VAR 探索货币政策冲击AI 解读

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally efficient estimation in high-dimensional settings through a straightforward Gibbs sampler. By incorporating time variation in the effects of monetary policy while maintaining tractability, the methodology offers a flexible and scalable approach…

时变安慰剂效应确证性临床试验中的半参数加权样条回归AI 解读

In confirmatory Phase 3 clinical trials with recruitment over the years, the underlying placebo effect may follow an unknown temporal trend. Taking a clinical trial on Hidradenitis Suppurativa (HS) as an example, fluctuations or variabilities are common in HS-related endpoints, mainly due to the natural disease characteristics, variations of evaluation from different physicians, and standard of care evolvement. The adjustment of time-varying placebo effects receives some…

可控制伤害率的安全个体化处理规则AI 解读

Estimating individualized treatment rules (ITRs) is crucial for tailoring interventions in precision medicine. Typical ITR estimation methods rely on conditional average treatment effects (CATEs) to guide treatment assignments. However, such methods overlook individual-level harm within covariate-specific subpopulations, potentially leading many individuals to experience worse outcomes under CATE-based ITRs. In this article, we aim to estimate ITRs that maximize the reward…

斯勒茨基对称性的非参数可检验性AI 解读

Economic theory implies strong limitations on what types of consumption behavior are considered rational. Rationality implies that the Slutsky matrix, which captures the substitution effects of compensated price changes on demand for different goods, is symmetric and negative semi-definite. While empirically informed versions of negative semi-definiteness have been shown to be nonparametrically testable, the analogous question for Slutsky symmetry has remained open.…

二元选择模型准最大似然估计的斜率一致性AI 解读

Although QMLE is generally inconsistent, logistic regression relying on the binary choice model (BCM) with logistic errors is widely used, especially in machine learning contexts with many covariates. This paper revisits the slope consistency of QMLE for BCMs. Ruud (1983) introduced a set of conditions under which QMLE may yield a constant multiple of the slope coefficient of BCMs asymptotically. However, he did not fully establish the slope consistency of QMLE, which…

分布偏移与重叠衰减下的一般目标半参数半监督学习AI 解读

In modern scientific applications, large volumes of covariate data are readily available, while outcome labels are costly, sparse, and often subject to distribution shift. This asymmetry has spurred interest in semi-supervised (SS) learning, but most existing approaches rely on strong assumptions -- such as missing completely at random (MCAR) labeling or strict positivity -- that put substantial limitations on their practical usefulness. In this work, we introduce a general…

同时存在死亡截断与缺失的多元结局整群随机试验贝叶斯推断AI 解读

Cluster-randomized trials (CRTs) on fragile populations frequently encounter complex attrition problems where the reasons for missing outcomes can be heterogeneous, with participants who are known alive, known to have died, or with unknown survival status, and with complex and distinct missing data mechanisms for each group. Although existing methods have been developed to address death truncation in CRTs, no existing methods can jointly accommodate participants who drop out…

MetaCountRegressor：计数模型综合分析与辅助估计的 Python 包AI 解读

{Analyzing and modeling rare events in count data presents significant challenges due to the scarcity of observations and the complexity of underlying processes, which are often overlooked by analysts due to limitations in time, resources, knowledge, and the influence of biases. This paper introduces MetaCountRegressor, a Python package designed to facilitate predictive count modeling of rare events guided by metaheuristics. The MetaCountRegressor package offers a wide range…

气候变化检测与归因中的正则化指纹法：线性最优权重矩阵AI 解读

Climate change detection and attribution play a central role in establishing the causal influence of human activities on global warming. The dominant framework, optimal fingerprinting, is a linear errors-in-variables model in which each covariate is subject to measurement error with covariance proportional to that of the regression error. The reliability of such analyses depends critically on accurate inference of the regression coefficients. The optimal weight matrix for…

从单变量贝叶斯回归视角预测泰国通胀AI 解读

This study investigates the forecasting performance of Bayesian shrinkage priors in predicting Thai inflation in a univariate setup, with a particular interest in comparing those more advance shrinkage prior to a likelihood dominated/noninformative prior. Our forecasting exercises are evaluated using Root Mean Squared Error (RMSE), Quantile-Weighted Continuous Ranked Probability Scores (qwCRPS), and Log Predictive Likelihood (LPL). The empirical results reveal several…