Related papers: Valid Wald Inference with Many Weak Instruments

Samples with a common mean but possibly different, ordered variances arise in various fields such as interlaboratory experiments, field studies or the analysis of sensor data. Estimators for the common mean under ordered variances typically…

We propose \textbf{JAWS}, a series of wrapper methods for distribution-free uncertainty quantification tasks under covariate shift, centered on the core method \textbf{JAW}, the \textbf{JA}ckknife+ \textbf{W}eighted with data-dependent…

Instrumental variables (IVs) are a popular and powerful tool for estimating causal effects in the presence of unobserved confounding. However, classical approaches rely on strong assumptions such as the $\textit{exclusion criterion}$, which…

Variational inference (VI) is a popular method for approximating intractable posterior distributions in Bayesian inference and probabilistic machine learning. In this paper, we introduce a general framework for quantifying the statistical…

Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while have distinguished features. In this project, our primary goal is to develop stable and practical…

We study the kernel instrumental variable (KIV) algorithm, a kernel-based two-stage least-squares method for nonparametric instrumental variable regression. We provide a convergence analysis covering both identified and non-identified…

When primary objectives are insensitive or delayed, experimenters may instead focus on proxy metrics derived from secondary outcomes. For example, technology companies often infer the long-term impacts of product interventions from their…

Estimating a distribution given access to its unnormalized density is pivotal in Bayesian inference, where the posterior is generally known only up to an unknown normalizing constant. Variational inference and Markov chain Monte Carlo…

Instrumental variables (eliminate the bias that afflicts least-squares identification of dynamical systems through noisy data, yet traditionally relies on external instruments that are seldom available for nonlinear time series data. We…

In observational studies, treatments are typically not randomized and therefore estimated treatment effects may be subject to confounding bias. The instrumental variable (IV) design plays the role of a quasi-experimental handle since the IV…

Instrumental variable (IV) is a powerful approach to inferring the causal effect of a treatment on an outcome of interest from observational data even when there exist latent confounders between the treatment and the outcome. However,…

Instrumental variables (IVs) are widely used to estimate causal effects from non-randomized data. A canonical example is a randomized trial with noncompliance, in which the randomized treatment assignment serves as an IV for the…

The error or variability of machine learning algorithms is often assessed by repeatedly re-fitting a model with different weighted versions of the observed data. The ubiquitous tools of cross-validation (CV) and the bootstrap are examples…

This paper develops a first-stage linear regression representation for the instrumental variables (IV) quantile regression (QR) model. The quantile first-stage is analogous to the least squares case, i.e., a linear projection of the…

The instrumental variable (IV) approach is a widely used way to estimate the causal effects of a treatment on an outcome of interest from observational data with latent confounders. A standard IV is expected to be related to the treatment…

We consider estimation and inference in a linear model with endogenous regressors where the parameters of interest change across two samples. If the first-stage is common, we show how to use this information to obtain more efficient…

Instrumental variable (IV) methods mitigate bias from unobserved confounding in observational causal inference but rely on the availability of a valid instrument, which can often be difficult or infeasible to identify in practice. In this…

Variable selection comprises an important step in many modern statistical inference procedures. In the regression setting, when estimators cannot shrink irrelevant signals to zero, covariates without relationships to the response often…

The two-stage least-squares (2SLS) estimator is known to be biased when its first-stage fit is poor. I show that better first-stage prediction can alleviate this bias. In a two-stage linear regression model with Normal noise, I consider…

Resampling methods are especially well-suited to inference with estimators that provide only "black-box'' access. Jackknife is a form of resampling, widely used for bias correction and variance estimation, that is well-understood under…