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There has been a surge of interest in developing robust estimators for models with heavy-tailed and bounded variance data in statistics and machine learning, while few works impose unbounded variance. This paper proposes two type of robust…
The method of instrumental variables (IV) provides a framework to study causal effects in both randomized experiments with noncompliance and in observational studies where natural circumstances produce as-if random nudges to accept…
The generalized least square (GLS) is one of the most basic tools in regression analyses. A major issue in implementing the GLS is estimation of the conditional variance function of the error term, which typically requires a restrictive…
Two-phase sampling designs are frequently employed in epidemiological studies and large-scale health surveys. In such designs, certain variables are exclusively collected within a second-phase random subsample of the initial first-phase…
We present a simulation-based inference approach for two-stage estimators, focusing on extremum estimators in the second stage. We accommodate a broad range of first-stage estimators, including extremum estimators, high-dimensional…
This paper develops a new specification test for the instrument weakness when the number of instruments $K_n$ is large with a magnitude comparable to the sample size $n$. The test relies on the fact that the difference between the two-stage…
The generalized log-gamma (GLG) model is a very flexible family of distributions to analyze datasets in many different areas of science and technology. In this paper, we propose estimators which are simultaneously highly robust and highly…
This paper contributes to the literature on treatment effects estimation with machine learning inspired methods by studying the performance of different estimators based on the Lasso. Building on recent work in the field of high-dimensional…
In this paper, we analyze the asymptotic properties of the Two-Stage (TS) estimator -- a simulation-based parameter estimation method that constructs estimators offline from synthetic data. While TS offers significant computational…
In recent years, promising statistical modeling approaches to tensor data analysis have been rapidly developed. Traditional multivariate analysis tools, such as multivariate regression and discriminant analysis, are generalized from…
We propose a new estimator for average causal effects of a binary treatment with panel data in settings with general treatment patterns. Our approach augments the popular two-way-fixed-effects specification with unit-specific weights that…
Traditional instrumental variable (IV) estimators face a fundamental constraint: they can only accommodate as many endogenous treatment variables as available instruments. This limitation becomes particularly challenging in settings where…
Global sensitivity analysis (GSA) of numerical simulators aims at studying the global impact of the input uncertainties on the output. To perform the GSA, statistical tools based on inputs/output dependence measures are commonly used. We…
Linear relations, containing measurement errors in input and output data, are taken into account in this paper. Parameters of these so-called errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of…
Doubly robust estimators of causal effects are a popular means of estimating causal effects. Such estimators combine an estimate of the conditional mean of the outcome given treatment and confounders (the so-called outcome regression) with…
This paper considers the asymptotic theory of a semiparametric M-estimator that is generally applicable to models that satisfy a monotonicity condition in one or several parametric indexes. We call the estimator two-stage maximum score…
Causal inference necessarily relies upon untestable assumptions; hence, it is crucial to assess the robustness of obtained results to violations of identification assumptions. However, such sensitivity analysis is only occasionally…
We often seek to estimate the impact of an exposure naturally occurring or randomly assigned at the cluster-level. For example, the literature on neighborhood determinants of health continues to grow. Likewise, community randomized trials…
Given a statistical model, we propose a novel estimation method that yields randomised estimators for the unknown distribution of an observed random variable. We establish non-asymptotic bounds for the performance of these estimators and…
We study efficiency improvements in randomized experiments for estimating a vector of potential outcome means using regression adjustment (RA) when there are more than two treatment levels. We show that linear RA which estimates separate…