Related papers: Individual Shrinkage for Random Effects
Survey instruments and assessments are frequently used in many domains of social science. When the constructs that these assessments try to measure become multifaceted, multidimensional item response theory (MIRT) provides a unified…
Cross-classified data frequently arise in scientific fields such as education, healthcare, and social sciences. A common modeling strategy is to introduce crossed random effects within a regression framework. However, this approach often…
We consider how increasingly available observational data can be used to improve the design of randomized controlled trials (RCTs). We seek to design a prospective RCT, with the intent of using an Empirical Bayes estimator to shrink the…
Inferring the causal effects of time-varying treatments is often hindered by highly variable inverse propensity weights, particularly in settings with limited covariate overlap. Building on the key framework of Imai and Ratkovic (2015), we…
Data in non-Euclidean spaces are commonly encountered in many fields of Science and Engineering. For instance, in Robotics, attitude sensors capture orientation which is an element of a Lie group. In the recent past, several researchers…
This Element offers a practical guide to estimating conditional marginal effects-how treatment effects vary with a moderating variable-using modern statistical methods. Commonly used approaches, such as linear interaction models, often…
Stochastic gradient methods are central to large-scale learning, but they treat mini-batch gradients as unbiased estimators, which classical decision theory shows are inadmissible in high dimensions. We formulate gradient computation as a…
Let $X$ be a random vector with distribution $P_{\theta}$ where $\theta$ is an unknown parameter. When estimating $\theta$ by some estimator $\varphi(X)$ under a loss function $L(\theta,\varphi)$, classical decision theory advocates that…
Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, such as the Pickands dependence function. Some estimators for…
In this paper, we present a general specification for Functional Effects Models, which use Machine Learning (ML) methodologies to learn individual-specific preference parameters from socio-demographic characteristics, therefore accounting…
We provide a comprehensive examination of the predictive performance of panel forecasting methods based on individual, pooling, fixed effects, and empirical Bayes estimation, and propose optimal weights for forecast combination schemes. We…
When individuals engage in social or physical interactions, a unit's outcome may depend on the treatments received by others. In such interference environments, we provide a unified framework characterizing a broad class of spillover…
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…
We propose a rate optimal estimator for the linear regression model on network data with interacted (unobservable) individual effects. The estimator achieves a faster rate of convergence $N$ compared to the standard estimators' $\sqrt{N}$…
In randomized controlled trials, forest plots are frequently used to investigate the homogeneity of treatment effect estimates in subgroups. However, the interpretation of subgroup-specific treatment effect estimates requires great care due…
Empirical Bayes small area estimation based on the well-known Fay-Herriot model may produce unreliable estimates when outlying areas exist. Existing robust methods against outliers or model misspecification are generally inefficient when…
Stein showed that the multivariate sample mean is outperformed by "shrinking" to a constant target vector. Ledoit and Wolf extended this approach to the sample covariance matrix and proposed a multiple of the identity as shrinkage target.…
Variable selection naturally arises as a useful subject when faced with data with massive predictor space. In addition to the massive dimensionality, the data may be characterized by intra-subject correlation, and cure fraction, which are…
In a remarkable series of papers beginning in 1956, Charles Stein set the stage for the future development of minimax shrinkage estimators of a multivariate normal mean under quadratic loss. More recently, parallel developments have seen…
A 'Winner's Curse' arises in large-scale online experimentation platforms when the same experiments are used to both select treatments and evaluate their effects. In these settings, classical difference-in-means estimators of treatment…