Related papers: Inference on Time Series Nonparametric Conditional…

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function $h_0$ and its functionals. First, we derive sup-norm convergence rates…

Statistical significance testing of neural coherence is essential for distinguishing genuine cross-signal coupling from spurious correlations. A widely accepted approach uses surrogate-based inference, where null distributions are generated…

Many economic and causal parameters depend on nonparametric or high dimensional first steps. We give a general construction of locally robust/orthogonal moment functions for GMM, where moment conditions have zero derivative with respect to…

Real-time nonlinear Bayesian filtering algorithms are overwhelmed by data volume, velocity and increasing complexity of computational models. In this paper, we propose a novel ensemble based nonlinear Bayesian filtering approach which only…

Nonparametric feature selection in high-dimensional data is an important and challenging problem in statistics and machine learning fields. Most of the existing methods for feature selection focus on parametric or additive models which may…

Flexible continuous-time survival modeling is critical for capturing complex time-varying hazard dynamics in high-dimensional data; however, training such models remains challenging due to the intractable integral required for likelihood…

The existence of generalized steady states (GSSs) in nonlinear mechanical systems under moderate temporally aperiodic forcing has only been shown recently. Here we derive systematic expansions for such GSSs and construct a numerical…

In this work we propose for the first time a transformer-based framework for unsupervised representation learning of multivariate time series. Pre-trained models can be potentially used for downstream tasks such as regression and…

We propose a pointwise inference algorithm for high-dimensional linear models with time-varying coefficients. The method is based on a novel combination of the nonparametric kernel smoothing technique and a Lasso bias-corrected ridge…

Knowing the link between observed predictive variables and outcomes is crucial for making inference in any regression model. When this link is missing, partially or completely, classical estimation methods fail in recovering the true…

We consider the off-policy evaluation problem of reinforcement learning using deep convolutional neural networks. We analyze the deep fitted Q-evaluation method for estimating the expected cumulative reward of a target policy, when the data…

We propose a new method for input variable selection in nonlinear regression. The method is embedded into a kernel regression machine that can model general nonlinear functions, not being a priori limited to additive models. This is the…

Flexible estimation of the mean outcome under a treatment regimen (i.e., value function) is the key step toward personalized medicine. We define our target parameter as a conditional value function given a set of baseline covariates which…

We study reinforcement learning methods with linear function approximation under non-Markov state and cost processes. We first consider the policy evaluation method and show that the algorithm converges under suitable ergodicity conditions…

This paper introduces a class of generalised linear models (GLMs) driven by latent processes for modelling count, real-valued, binary, and positive continuous time series. Extending earlier latent-process regression frameworks based on…

This paper proposes a new approach to obtain uniformly valid inference for linear functionals or scalar subvectors of a partially identified parameter defined by linear moment inequalities. The procedure amounts to bootstrapping the value…

In this note we explore a fully unsupervised deep-learning framework for simulating non-linear structural equation models from observational training data. The main contribution of this note is an architecture for applying moment-matching…

A driving force behind the diverse applicability of modern machine learning is the ability to extract meaningful features across many sources. However, many practical domains involve data that are non-identically distributed across sources,…

Generalized linear models (GLM) are link function based statistical models. Many supervised learning algorithms are extensions of GLMs and have link functions built into the algorithm to model different outcome distributions. There are two…

We consider parameter inference for linear quantile regression with non-stationary predictors and errors, where the regression parameters are subject to inequality constraints. We show that the constrained quantile coefficient estimators…