Related papers: Heterogeneity-robust granular instruments
The Refined Instrumental Variable method for discrete-time systems (RIV) and its variant for continuous-time systems (RIVC) are popular methods for the identification of linear systems in open-loop. The continuous-time equivalent of the…
We study robust versions of pricing problems where customers choose products according to a generalized extreme value (GEV) choice model, and the choice parameters are not known exactly but lie in an uncertainty set. We show that, when the…
We present Bayesian Spillover Graphs (BSG), a novel method for learning temporal relationships, identifying critical nodes, and quantifying uncertainty for multi-horizon spillover effects in a dynamic system. BSG leverages both an…
Quantifying variable importance is essential for answering high-stakes questions in fields like genetics, public policy, and medicine. Current methods generally calculate variable importance for a given model trained on a given dataset.…
The quantile varying coefficient (VC) model can flexibly capture dynamical patterns of regression coefficients. In addition, due to the quantile check loss function, it is robust against outliers and heavy-tailed distributions of the…
Generalized variational inference (GVI) provides an optimization-theoretic framework for statistical estimation that encapsulates many traditional estimation procedures. The typical GVI problem is to compute a distribution of parameters…
Heart Rate Variability (HRV) plays an important role for reporting several cardiological and non-cardiological diseases. Also, the HRV has a prognostic value and is therefore quite important in modelling the cardiac risk. The nature of the…
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…
Instrumental variable analysis is a powerful tool for estimating causal effects when randomization or full control of confounders is not possible. The application of standard methods such as 2SLS, GMM, and more recent variants are…
In statistical models for the analysis of time-to-event data, individual heterogeneity is usually accounted for by means of one or more random effects, also known as frailties. In the vast majority of the literature, the random effect is…
Robust estimators for linear regression require non-convex objective functions to shield against adverse affects of outliers. This non-convexity brings challenges, particularly when combined with penalization in high-dimensional settings.…
We develop a new robust geographically weighted regression method in the presence of outliers. We embed the standard geographically weighted regression in robust objective function based on $\gamma$-divergence. A novel feature of the…
Statistical generative models for molecular graphs attract attention from many researchers from the fields of bio- and chemo-informatics. Among these models, invertible flow-based approaches are not fully explored yet. In this paper, we…
Modal regression, a widely used regression protocol, has been extensively investigated in statistical and machine learning communities due to its robustness to outliers and heavy-tailed noises. Understanding modal regression's theoretical…
Variational inference has experienced a recent surge in popularity owing to stochastic approaches, which have yielded practical tools for a wide range of model classes. A key benefit is that stochastic variational inference obviates the…
In this paper, we propose a robust profile estimation method for the parametric and nonparametric components of a single index model when the errors have a strongly unimodal density with unknown nuisance parameter. Under regularity…
We introduce a regularized Generalized Covariance (RGCov) estimator as an extension of the GCov estimator to high dimensional setting that results either from high-dimensional data or a large number of nonlinear transformations used in the…
Researchers often use instrumental variables (IV) models to investigate the causal relationship between an endogenous variable and an outcome while controlling for covariates. When an exogenous variable is unavailable to serve as the…
We extend nonparametric regression smoothing splines to a context where there is endogeneity and instrumental variables are available. Unlike popular existing estimators, the resulting estimator is one-step and relies on a unique…
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…