Related papers: Estimation with Aggregate Shocks
Statistical models that include random effects are commonly used to analyze longitudinal and correlated data, often with strong and parametric assumptions about the random effects distribution. There is marked disagreement in the literature…
Many decision problems cannot be solved exactly and use several estimation algorithms that assign scores to the different available options. The estimation errors can have various correlations, from low (e.g. between two very different…
Parameter ensembles or sets of random effects constitute one of the cornerstones of modern statistical practice. This is especially the case in Bayesian hierarchical models, where several decision theoretic frameworks can be deployed. The…
Asset correlations are an intuitive and therefore popular way to incorporate event dependence into event risk, e.g., default risk, modeling. In this paper we study the case of estimation of inter-sector asset correlations by separation of…
Causal inference is central to many areas of artificial intelligence, including complex reasoning, planning, knowledge-base construction, robotics, explanation, and fairness. An active community of researchers develops and enhances…
We develop a uniform inference theory for high-dimensional slope parameters in threshold regression models, allowing for either cross-sectional or time series data. We first establish oracle inequalities for prediction errors, and L1…
We propose a generalized extreme shock model with a possibly increasing failure threshold. While standard models assume that the crucial threshold for the system may only decrease over time, because of weakening shocks and obsolescence, we…
Contemporary tasks of complex system simulation are often related to the issue of uncertainty management. It comes from the lack of information or knowledge about the simulated system as well as from restrictions of the model set being…
Structural Causal Models (SCMs) offer a principled framework to reason about interventions and support out-of-distribution generalization, which are key goals in scientific discovery. However, the task of learning SCMs from observed data…
Time series data with missing values is common across many domains. Healthcare presents special challenges due to prolonged periods of sensor disconnection. In such cases, having a confidence measure for imputed values is critical. Most…
Emotions that somebody develops based on an argument do not only depend on the argument itself - they are also influenced by a subjective evaluation of the argument's potential impact on the self. For instance, an argument to ban plastic…
Ensemble models can be used to estimate prediction uncertainties in machine learning models. However, an ensemble of N models is approximately N times more computationally demanding compared to a single model when it is used for inference.…
The use of emergent constraints to quantify uncertainty for key policy relevant quantities such as Equilibrium Climate Sensitivity (ECS) has become increasingly widespread in recent years. Many researchers, however, claim that emergent…
Predicting scalar outcomes using functional predictors is a classic problem in functional data analysis. In many applications, however, only specific locations or time-points of the functional predictors have an impact on the outcome. Such…
Inferring the effect of interventions within complex systems is a fundamental problem of statistics. A widely studied approach employs structural causal models that postulate noisy functional relations among a set of interacting variables.…
Causal inference is a science with multi-disciplinary evolution and applications. On the one hand, it measures effects of treatments in observational data based on experimental designs and rigorous statistical inference to draw causal…
Classical causal and statistical inference methods typically assume the observed data consists of independent realizations. However, in many applications this assumption is inappropriate due to a network of dependences between units in the…
We address the problem of forecasting a time series meeting the Causal Bernoulli Shift model, using a parametric set of predictors. The aggregation technique provides a predictor with well established and quite satisfying theoretical…
Linear mixed effects are considered excellent predictors of cluster-level parameters in various domains. However, previous work has shown that their performance can be seriously affected by departures from modelling assumptions. Since the…
Despite the major advances taken in causal modeling, causality is still an unfamiliar topic for many statisticians. In this paper, it is demonstrated from the beginning to the end how causal effects can be estimated from observational data…