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作者：Seo, Won-Ki; Shang, Han Lin
作者单位：University of Sydney; Macquarie University
摘要：We develop a statistical testing procedure to examine whether the curve-valued time series of interest is integrated of order d for a nonnegative integer d. The proposed procedure can distinguish between integer-integrated time series and fractionally-integrated ones, and it has broad applicability in practice. Monte Carlo simulation experiments show that the proposed testing procedure performs reasonably well. We apply our methodology to Canadian yield curve data and French sub-national age-s...
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作者：Ke, Zheng Tracy; Kelly, Bryan; Xiu, Dacheng
作者单位：Harvard University; Yale University; National Bureau of Economic Research; University of Chicago
摘要：We develop a probabilistic framework to extract sentiment information from text by training a model to predict and rank sentiments in newly encountered documents. Our approach imposes a joint semi-parametric model on text and ordinal response variables, addressing the challenges of sparse sentiment signals and complex response distributions. Through a word screening procedure and the use of normalized ranks, our approach achieves consistent sentiment ranking without estimating the full model. ...
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作者：Kowal, Daniel R.
作者单位：Cornell University
摘要：Categorical covariates such as race, sex, or group are ubiquitous in regression analysis. While main-only (or ANCOVA) linear models are predominant, linear models that include categorical-continuous or categorical-categorical interactions are increasingly important and allow heterogeneous, group-specific effects. However, with standard approaches, the addition of categorical interactions fundamentally alters the estimates and interpretations of the main effects, often inflates their standard e...
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作者：Williams, Jonathan P.
作者单位：North Carolina State University
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作者：Ma, Haiqiang; Sheng, Zhiyan; Jiang, Jiming
作者单位：Jiangxi University of Finance & Economics; University of California System; University of California Davis
摘要：In the context of robust small area estimation (SAE), there are two types of robustness considerations, robustness against model misspecification and robustness against outliers. We propose a method of SAE that has both types of robustness features. The method combines the idea of observed best prediction (OBP), which is known to be more robust against model misspecification than the traditional best linear unbiased prediction (EBLUP) method, and the method of density power divergence (DPD), w...
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作者：Gablenz, Paula; Sesia, Matteo; Sun, Tianshu; Sabatti, Chiara
作者单位：Stanford University; University of Southern California; University of Southern California; Stanford University; Stanford Medicine; Stanford University; Stanford Medicine
摘要：We introduce local conditional hypotheses that express how the relation between explanatory variables and outcomes changes across different contexts, described by covariates. By expanding upon the model-X knockoff filter, we show how to adaptively discover these local associations, all while controlling the false discovery rate. Our enhanced inferences can help explain sample heterogeneity and uncover interactions, making better use of the capabilities offered by modern machine learning models...
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作者：Chen, Elynn; Chen, Xi; Jing, Wenbo
作者单位：New York University; City University of Hong Kong
摘要：In data-driven decision-making across marketing, healthcare, and education, leveraging large datasets from existing ventures is crucial for navigating high-dimensional feature spaces and addressing data scarcity in new ventures. We investigate knowledge transfer in dynamic decision-making by focusing on batch stationary environments and formally defining task discrepancies through the framework of Markov decision processes (MDPs). We propose the Transfer Fitted Q-Iteration algorithm with gener...
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作者：Avarucci, Marco; Cavicchioli, Maddalena; Forni, Mario; Zaffaroni, Paolo
作者单位：University of Glasgow; Universita di Modena e Reggio Emilia; Imperial College London; Sapienza University Rome
摘要：We introduce consistent estimators for the number of shocks driving large-dimensional dynamic factor models. Our estimator can be applied to single frequencies and specific frequency bands, making it suitable for disentangling shocks affecting dynamic models with a factor model representation. Noticeably, our estimator requires the time-series and cross-section sizes to diverge simultaneously without any constraint and it is free of nuisance parameters, such as penalization terms. Our methodol...
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作者：Han, Jiale; Dai, Xiaowu
作者单位：University of California System; University of California Los Angeles; University of California System; University of California Los Angeles
摘要：Online auction is a cornerstone of e-commerce, and a key challenge is designing incentive-compatible mechanisms that maximize expected revenue. Existing approaches often assume known bidder value distributions and fixed sets of bidders and items, but these assumptions rarely hold in real-world settings where bidder values are unknown, and the number of future participants is uncertain. In this article, we introduce the Conformal Online Auction Design (COAD), a novel mechanism that maximizes re...
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作者：Wang, Chunyan; Peng, Jiayu; Lin, Dennis K. J.
作者单位：Renmin University of China; Renmin University of China; Alphabet Inc.; Google Incorporated; Purdue University System; Purdue University
摘要：Order-of-addition experiments have emerged as a cornerstone in modern experimental design, yet the critical role of run-order has been entirely neglected in the literature. This oversight is surprising, given that the run order can significantly influence the cost, efficiency, and validity of the experiment. Certain run orders are inherently more economical and effective, while suboptimal orders may introduce unnecessary complexities or compromise results. To ensure experimental integrity, an ...
