每日简报

衡量健康不平等的因果方差分解AI 解读

Recent causal inference literature has introduced causal effect decompositions to quantify sources of observed inequalities or disparities in outcomes, but these approaches are typically limited to pairwise comparisons. In healthcare delivery settings, both the exposure of interest-hospital or healthcare unit-and sociodemographic group membership may be polytomous, making pairwise contrasts inadequate. We therefore take the observed variance in care delivery outcomes as the…

基于高频蜡烛图的瞬时回归AI 解读

Betas from spot regressions are central to asset pricing and risk management, as measures of systematic risk. This paper develops a new estimation and inference framework for spot regressions by leveraging high-frequency candlesticks, extending conventional (open-to-close) returns with intra-period high/low prices. Specifically, I construct candlestick-based estimators of regression parameters, including spot beta, by minimizing a quadratic risk under a fixed-k asymptotic…

学习相关奖励模型：统计障碍与机会AI 解读

Random Utility Models (RUMs) are a classical framework for modeling user preferences and play a key role in reward modeling for Reinforcement Learning from Human Feedback (RLHF). However, a crucial shortcoming of many of these techniques is the Independence of Irrelevant Alternatives (IIA) assumption, which collapses \emph{all} human preferences to a universal underlying utility function, yielding a coarse approximation of the range of human preferences. On the other hand,…

超越准确率：时间序列基础模型是否校准良好？AI 解读

The recent development of foundation models for time series data has generated considerable interest in using such models across a variety of applications. Although foundation models achieve state-of-the-art predictive performance, their calibration properties remain relatively underexplored, despite the fact that calibration can be critical for many practical applications. In this paper, we investigate the calibration-related properties of five recent time series foundation…

因果效应可识别性的粒度AI 解读

The classical notion of causal effect identifiability is defined in terms of treatment and outcome variables. In this paper, we consider the identifiability of state-based causal effects: how an intervention on a particular state of treatment variables affects a particular state of outcome variables. We demonstrate that state-based causal effects may be identifiable even when variable-based causal effects may not. Moreover, we show that this separation occurs only when…

McKean–Vlasov 模型波动率的拟合优度检验AI 解读

This paper develops a statistical framework for goodness-of-fit testing of volatility functions in i.i.d. McKean-Vlasov stochastic differential equations, which model large diffusion systems with distribution-dependent dynamics. Although integrated volatility estimation for classical SDEs is well established, formal model validation and goodness-of-fit testing for McKean-Vlasov systems remain largely unexplored, particularly in settings combining large particle limits with…

随机森林的距离协方差迁移学习：误差界与电子病历应用AI 解读

We propose a method for transfer learning in nonparametric regression using a random forest (RF) with distance covariance-based feature weights, assuming the unknown source and target regression functions are sparsely different. Our method obtains residuals from a source domain-trained Centered RF (CRF) in the target domain, then fits another CRF to these residuals with feature splitting probabilities proportional to feature-residual sample distance covariance. We derive an…

宏观经济预测与机器学习AI 解读

We forecast the full conditional distribution of macroeconomic outcomes by systematically integrating three key principles: using high-dimensional data with appropriate regularization, adopting rigorous out-of-sample validation procedures, and incorporating nonlinearities. By exploiting the rich information embedded in a large set of macroeconomic and financial predictors, we produce accurate predictions of the entire profile of macroeconomic risk in real time. Our findings…

大型线性时间序列模型中的最优结构突变检验AI 解读

We develop a class of optimal tests for a structural break occurring at an unknown date in infinite and growing-order time series regression models, such as AR($\infty$), linear regression with increasingly many covariates, and nonparametric regression. Under an auxiliary i.i.d. Gaussian error assumption, we derive an average power optimal test, establishing a growing-dimensional analog of the exponential tests of Andrews and Ploberger (1994) to handle identification failure…

单因子图模型的贝叶斯推断AI 解读

We introduce efficient MCMC algorithms for Bayesian inference for single-factor models with correlated residuals where the residuals' distribution is a Gaussian graphical model. We call this family of models single-factor graphical models. We extend single-factor graphical models to datasets that also involve binary and ordinal categorical variables and to the modeling of multiple datasets that are spatially or temporally related. Our models are able to capture multivariate…

未知网络下的干扰政策效应评估：迁移学习方法AI 解读

This paper develops a sensitivity analysis framework that transfers the average total treatment effect (ATTE) from source data with a fully observed network to target data whose network is completely unknown. The ATTE represents the average social impact of a policy that assigns the treatment to every individual in the dataset. We postulate a covariate-shift type assumption that both source and target datasets share the same conditional mean outcome. However, because the…

时间序列尾部风险外推的准确贝叶斯推断AI 解读

Accurately quantifying tail risks-rare but high-impact events such as financial crashes or extreme weather-is a central challenge in risk management, with serially dependent data. We develop a Bayesian framework based on the Generalized Pareto (GP) distribution for modeling threshold exceedances, providing posterior distributions for the GP parameters and tail quantiles in time series. Two cases are considered: extrapolation of tail quantiles for the stationary marginal…

一般条件下的回归模型选择AI 解读

Model selection criteria are one of the most important tools in statistics. Proofs showing a model selection criterion is asymptotically optimal are tailored to the type of model (linear regression, quantile regression, penalized regression, etc.), the estimation method (linear smoothers, maximum likelihood, generalized method of moments, etc.), the type of data (i.i.d., dependent, high dimensional, etc.), and the type of model selection criterion. Moreover, assumptions are…

二维与三维随机场空间依赖的非参数检验AI 解读

We propose a flexible and robust nonparametric framework for testing spatial dependence in two- and three-dimensional random fields. Our approach involves converting spatial data into one-dimensional time series using space-filling Hilbert curves. We then apply ordinal pattern-based tests for serial dependence to this series. Because Hilbert curves preserve spatial locality, spatial dependence in the original field manifests as serial dependence in the transformed sequence.…

空间标量对函数分位数回归模型AI 解读

This paper introduces a novel spatial scalar-on-function quantile regression model that extends classical scalar-on-function models to account for spatial dependence and heterogeneous conditional distributions. The proposed model incorporates spatial autocorrelation through a spatially lagged response and characterizes the entire conditional distribution of a scalar outcome given a functional predictor. To address the endogeneity induced by the spatial lag term, we develop…

生成式分位数贝叶斯预测AI 解读

Prediction is a central task of machine learning. Our goal is to solve large scale prediction problems using Generative Quantile Bayesian Prediction (GQBP).By directly learning predictive quantiles rather than densities we achieve a number of theoretical and practical advantages. We contrast our approach with state-of-the-art methods including conformal prediction, fiducial prediction and marginal likelihood. Our distinguishing feature of our method is the use of generative…

二元结果高维广义线性模型中的因果推断AI 解读

This paper proposes a debiased estimator for causal effects in high-dimensional generalized linear models with binary outcomes and general link functions. The estimator augments a regularized regression plug-in with weights computed from a convex optimization problem that approximately balances link-derivative-weighted covariates and controls variance; it does not rely on estimated propensity scores. Under standard conditions, the estimator is $\sqrt{n}$-consistent and…

双重差分中的空间与时间边界：源自纳维–斯托克斯方程的框架AI 解读

This paper develops a unified framework for identifying spatial and temporal boundaries of treatment effects in difference-in-differences designs. Starting from fundamental fluid dynamics equations (Navier-Stokes), we derive conditions under which treatment effects decay exponentially in space and time, enabling researchers to calculate explicit boundaries beyond which effects become undetectable. The framework encompasses both linear (pure diffusion) and nonlinear…

动态空间处理效应边界：源自纳维–斯托克斯方程的连续函数框架AI 解读

I develop a comprehensive theoretical framework for dynamic spatial treatment effect boundaries using continuous functional definitions grounded in Navier-Stokes partial differential equations. Rather than discrete treatment effect estimators, the framework characterizes treatment intensity as a continuous function $τ(\mathbf{x}, t)$ over space-time, enabling rigorous analysis of propagation dynamics, boundary evolution, and cumulative exposure patterns. Building on exact…

作为连续泛函的动态空间处理效应：医疗可及性的理论与证据AI 解读

I develop a continuous functional framework for spatial treatment effects grounded in Navier-Stokes partial differential equations. Rather than discrete treatment parameters, the framework characterizes treatment intensity as continuous functions $τ(\mathbf{x}, t)$ over space-time, enabling rigorous analysis of boundary evolution, spatial gradients, and cumulative exposure. Empirical validation using 32,520 U.S. ZIP codes demonstrates exponential spatial decay for healthcare…

多重插补与双重稳健因果估计中的相容性AI 解读

This paper provides clear and practical guidance on the specification of imputation models when multiple imputation is used in conjunction with doubly robust estimation methods for causal inference. Through theoretical arguments and targeted simulations, we demonstrate that if a confounder has missing data, the corresponding imputation model must include all variables appearing in either the propensity score model or the outcome model, in addition to both the exposure and…

单侧不依从随机对照试验中的依从者一般因果效应AI 解读

A randomized controlled trial (RCT) is widely regarded as the gold standard for assessing the causal effect of a treatment or intervention, assuming perfect implementation. In practice, however, randomization can be compromised for various reasons, such as one-sided noncompliance. In this paper, we first systematically study the likelihood-based identifiability in an RCT with one-sided noncompliance. This foundational analysis naturally gives rise to the complier general…

无限变差跳跃下瞬时波动率的去偏核估计AI 解读

Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the problem of spot volatility estimation for an Itô semimartingale with jumps of unbounded variation. We construct truncated kernel-based estimators and debiased variants that extend rate-optimal spot volatility estimation to a wider range of…

组成数据的 α 回归：涵盖时间、空间及组成型解释变量的统一框架AI 解读

We revisit the $α$--regression framework for compositional data. We formulate $α$--regression as a non--linear least squares problem, study its asymptotic properties, and provide efficient estimation via the Levenberg--Marquardt algorithm. We then propose a permutation--based hypothesis testing procedure, derive marginal effects for interpretation, and provide a visual inspection of the effect of each predictor. We further discuss robustified versions, the inclusion of…