Related papers: Technical Report: Higher Order Influence Functions…
This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate It\^o semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and…
Causal inference with observational data can be performed under an assumption of no unobserved confounders (unconfoundedness assumption). There is, however, seldom clear subject-matter or empirical evidence for such an assumption. We…
Causal inference has received great attention across different fields from economics, statistics, education, medicine, to machine learning. Within this area, inferring causal effects at individual level in observational studies has become…
We introduce an operator-theoretic framework for analyzing directional dependence in multivariate time series based on order-constrained spectral non-invariance. Directional influence is defined as the sensitivity of second-order dependence…
How can we explain the predictions of a black-box model? In this paper, we use influence functions -- a classic technique from robust statistics -- to trace a model's prediction through the learning algorithm and back to its training data,…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
Causal inference on multiple non-independent outcomes raises serious challenges, because multivariate techniques that properly account for the outcome's dependence structure need to be considered. We focus on the case of binary outcomes…
Influence functions (IFs) elucidate how training data changes model behavior. However, the increasing size and non-convexity in large-scale models make IFs inaccurate. We suspect that the fragility comes from the first-order approximation…
This paper looks at effects, due to the boundary, on inference in logistic regression. It shows that first -- and, indeed, higher -- order asymptotic results are not uniform across the model. Near the boundary, effects such as high…
Chernozhukov et al. (2018) proposed the sorted effect method for nonlinear regression models. This method consists of reporting percentiles of the partial effects in addition to the average commonly used to summarize the heterogeneity in…
Randomized experiments in which the treatment of a unit can affect the outcomes of other units are becoming increasingly common in healthcare, economics, and in the social and information sciences. From a causal inference perspective, the…
On one hand, a large class of inequality measures, which includes the generalized entropy, the Atkinson, the Gini, etc., for example, has been introduced in Mergane and Lo (2013). On the other hand, the influence function of statistics is…
We extend Robins' theory of causal inference for complex longitudinal data to the case of continuously varying as opposed to discrete covariates and treatments. In particular we establish versions of the key results of the discrete theory:…
The issue of opinion sharing and formation has received considerable attention in the academic literature, and a few models have been proposed to study this problem. However, existing models are limited to the interactions among nearest…
Evaluating higher-order functional programs through abstract machines inspired by the geometry of the interaction is known to induce $\textit{space}$ efficiencies, the price being $\textit{time}$ performances often poorer than those…
The No Unmeasured Confounding Assumption is widely used to identify causal effects in observational studies. Recent work on proximal inference has provided alternative identification results that succeed even in the presence of unobserved…
In biomedical research, repeated measurements within each subject are often processed to remove artifacts and unwanted sources of variation. The resulting data are used to construct derived outcomes that act as proxies for scientific…
In this paper we derive tight bounds on the expected value of products of {\em low influence} functions defined on correlated probability spaces. The proofs are based on extending Fourier theory to an arbitrary number of correlated…
We consider the problem of efficient inference of the Average Treatment Effect in a sequential experiment where the policy governing the assignment of subjects to treatment or control can change over time. We first provide a central limit…
We consider a longitudinal data structure consisting of baseline covariates, time-varying treatment variables, intermediate time-dependent covariates, and a possibly time dependent outcome. Previous studies have shown that estimating the…