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Sparse joint shift (SJS) was recently proposed as a tractable model for general dataset shift which may cause changes to the marginal distributions of features and labels as well as the posterior probabilities and the class-conditional…
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Semiparametric regression offers a flexible framework for modeling non-linear relationships between a response and covariates. A prime example are generalized additive models where splines (say) are used to approximate non-linear functional…
Instrumental variables (IV) regression is widely used to estimate causal treatment effects in settings where receipt of treatment is not fully random, but there exists an instrument that generates exogenous variation in treatment exposure.…
In a causal graphical model, an instrument for a variable X and its effect Y is a random variable that is a cause of X and independent of all the causes of Y except X. (Pearl (1995), Spirtes et al (2000)). Instrumental variables can be used…
In supervised learning, the estimation of prediction error on unlabeled test data is an important task. Existing methods are usually built on the assumption that the training and test data are sampled from the same distribution, which is…
This paper proposes IV-based estimators for the semiparametric distribution regression model in the presence of an endogenous regressor, which are based on an extension of IV probit estimators. We discuss the causal interpretation of the…
This paper develops a unified framework that links firm-level predictive signals, cross-asset spillovers, and the stochastic discount factor (SDF). Signals and spillovers are jointly estimated by maximizing the Sharpe ratio, yielding an…
Semisupervised methods inevitably invoke some assumption that links the marginal distribution of the features to the regression function of the label. Most commonly, the cluster or manifold assumptions are used which imply that the…
Instrumental variable analysis is a widely used method to estimate causal effects in the presence of unmeasured confounding. When the instruments, exposure and outcome are not measured in the same sample, Angrist and Krueger (1992)…
This paper develops a set of empirically tractable and flexible sieve estimators for semi-nonparametric multidimensional matching models with transferable utility, focusing on worker-job matching. We generalize the parametric…
We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…
Learning representation from relative similarity comparisons, often called ordinal embedding, gains rising attention in recent years. Most of the existing methods are based on semi-definite programming (\textit{SDP}), which is generally…
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This paper develops a unified framework for partial identification and inference in stratified experiments with attrition, accommodating both equal and heterogeneous treatment shares across strata. For equal-share designs, we apply recent…
Selective inference (post-selection inference) is a methodology that has attracted much attention in recent years in the fields of statistics and machine learning. Naive inference based on data that are also used for model selection tends…
Instrumental variable methods are widely used for inferring the causal effect in the presence of unmeasured confounders. Existing instrumental variable methods for nonlinear outcome models require stringent identifiability conditions. This…
Compartmental transmission models have become an invaluable tool to study the dynamics of infectious diseases. The Susceptible-Infectious-Recovered (SIR) model is known to have an exact semi-analytical solution. In the current study, the…
Non-standard distributional approximations have received considerable attention in recent years. They often provide more accurate approximations in small samples, and theoretical improvements in some cases. This paper shows that the…