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ArXiv Paperboy (Stat.ME+Econ.EM)

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posts updates from arXiv rss feeds for methodology papers in Statistics and Econometrics. Also maintains an arxiv and posts random papers from it. maintainer: @apoorvalal.com source code: https://github.com/apoorvalal/bsky_paperbot

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ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 3h ago

arXiv📈🤖 Hybrid Bayesian Smoothing on Surfaces By

arXiv:2410.21469v1 Announce Type: new
Abstract: Modeling spatial processes that exhibit both smooth and rough features poses a significant challenge. This is especially true in fields where complex physical variables are observed across spatial domains. Traditional spatial techniques, such as Gaussian processes (GPs), are ill-suited to capture sharp transitions and discontinuities in spatial fields. In this paper, we propose a new approach incorporating non-Gaussian processes (NGPs) into a hybrid model which identifies both smooth and rough components. Specifically, we model the rough process using scaled mixtures of Gaussian distributions in a Bayesian hierarchical model (BHM).
Our motivation comes from the Community Earth System Model Large Ensemble (CESM-LE), where we seek to emulate climate sensitivity fields that exhibit complex spatial patterns, including abrupt transitions at ocean-land boundaries. We demonstrate that traditional GP models fail to capture such abrupt changes and that our proposed hybrid model, implemented through a full Gibbs sampler. This significantly improves model interpretability and accurate recovery of process parameters.
Through a multi-factor simulation study, we evaluate the performance of several scaled mixtures designed to model the rough process. The results highlight the advantages of using these heavier tailed priors as a replacement to the Bayesian fused LASSO. One prior in particular, the normal Jeffrey's prior stands above the rest. We apply our model to the CESM-LE dataset, demonstrating its ability to better represent the mean function and its uncertainty in climate sensitivity fields.
This work combines the strengths of GPs for smooth processes with the flexibility of NGPs for abrupt changes. We provide a computationally efficient Gibbs sampler and include additional strategies for accelerating Monte Carlo Markov Chain (MCMC) sampling.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Approximating Choice Data by Discrete Choice Models By Chang, Narita, Saito

We obtain a necessary and sufficient condition under which random-coefficient discrete choice models, such as mixed-logit models, are rich enough to approximate any nonparametric random utility models arbitrarily well across choice sets. The condition turns out to be the affine-independence of the set of characteristic vectors. When the condition fails, resulting in some random utility models that cannot be closely approximated, we identify preferences and substitution patterns that are challenging to approximate accurately. We also propose algorithms to quantify the magnitude of approximation errors.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 A Beta-Based Heteroskedasticity-Consistent Covariance Matrix Estimator By Cunha, Cribari-Neto, Marinho

This paper introduces an adaptive framework for leverage correction in heteroskedasticity-consistent covariance matrix estimation for ordinary least squares regression. Unlike existing heteroskedasticity-consistent estimators, which rely on predetermined leverage adjustment functions, the proposed approach introduces an adaptive leverage correction calibrated to the empirical leverage structure of the design matrix. It replaces the conventional leverage-based adjustment used in existing heteroskedasticity-consistent estimators with a data-driven correction derived from a fitted Beta distribution. The Beta parameters are estimated from the observed leverage values, allowing the adjustment factors to adapt automatically to the leverage structure of the sample. By exploiting information from the entire leverage configuration rather than from individual leverage values alone, the proposed estimator accommodates heterogeneous leverage patterns while avoiding the excessive growth of adjustment factors that may arise with some existing methods. Monte Carlo simulations show that the proposed estimator yields accurate finite-sample inference and confidence interval coverage while retaining the desired asymptotic properties. Empirical applications further illustrate its practical advantages in the presence of influential observations, particularly in situations where existing estimators exhibit overshooting of leverage adjustment factors. To facilitate its adoption, an open-source R package, hcinfer, has been developed and made publicly available.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Divide-and-Conquer: Towards Generalizable Amortized Bayesian Inference for the Drift Diffusion Model By Wu, Gao, Voss et al

The drift diffusion model (DDM) is a cornerstone of cognitive decision-making research. Although numerous estimation methods exist, researchers continue to seek inference approaches that are both fast and flexible across diverse study designs. Amortized Bayesian inference (ABI) can provide nearly instantaneous inference for complex stochastic models like the DDM, but neural networks trained for one study design cannot generalize to others. In this paper, we propose a divide-and-conquer framework that address this limitation. The core idea is that the DDM's independence assumption allows the full dataset to be decomposed into pairwise shards, each sharing a common structure that a single neural network can learn. Inference is performed on each shard separately and the resulting posteriors are combined via consensus MCMC to approximate the full posterior. Using simulated datasets, we evaluate the accuracy and uncertainty of this method. Our results show that the proposed divide-and-conquer approach achieves accuracy and uncertainty comparable to MCMC while reducing computational cost by several orders of magnitude. This work not only advances DDM estimation but also demonstrates a general strategy for improving the scalability and generalizability of ABI methods across diverse applications.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 The Persistence of the Dirty Air Penalty: A Causal Analysis of Formula 1's 2022 Ground Effect Regulations By Joshi

In early 2022, FIA mandated the change to the technical regulations for Formula 1, requiring to design cars around ground effect aerodynamics to mitigate the performance loss incurred by driving in the turbulent "Dirty Air" of another car. The reduction of the penalty was subsequently claimed, but never formally evaluated on a per lap basis. We gathered 100486 racing laps for the years 2021-2025 using the FastF1 API, built a compound-specific physics correction for Dirty Air to account for fuel and tyre wear, and evaluated the change introduced by the 2022 regulation using both OLS regression with clustered standard errors and Causal Forest Double/Debiased Machine Learning. We repeated the analysis using season as a categorical variable, applying a generalized circuit filter to account for a changing calendar. Both methods produced similar results, demonstrating no statistically significant change to the Dirty Air penalty when combining 2022-2025 data together (OLS interaction term beta = -0.0025, p = 0.803; Causal Forest mean effects of 0.019s and 0.018s per second of following distance in 2021 and 2022-2025). We tested the hypothesis, that the penalty reduction may have been concentrated in 2022 and partially eroded through 2023-2025. We found no season for which the change was different from the one observed in 2021 in the OLS analysis, while several seasons were significantly different from zero in the Causal Forest analysis, in a non-monotonic pattern, not following the theorized erosion timeline. We conclude there was no statistically significant change to the Dirty Air penalty under the new regulation, both in pooled and season-specific analysis. By evaluating the real-world racing results, we demonstrate that even if an aerodynamic advantage exists, it did not translate into a measurable improvement over following distance, where other factors can swamp such an effect.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Spectral clustering of network time series via the sample covariance matrix By Martin, Agterberg, Cucuringu et al

Spectral clustering for community detection is analysed in multivariate time series models whose dependence structure is determined by an unobserved stochastic blockmodel. We establish that spectral clustering of the sample covariance matrix achieves exact recovery of the underlying communities. The recovery rates depend explicitly on the network size, sample length, block separation, and degree of data dependence. This demonstrates that exact community recovery under a stochastic blockmodel is possible even when the adjacency matrix is unobserved. Our theory provides extensions of both classical and fine-grained matrix perturbation theory to the setting of dependent data, which may be of independent interest.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 A method for comparing inferred evolutionary accumulation dynamics across covariates and model structures By Fern{\o}, Verstraaten, Gravellier et al

In this note we describe a method for comparing inferred dynamics in evolutionary accumulation models (EvAMs). These models involve the acquisition of multiple, potentially codependent, binary features over time -- for example, mutations in cancer development, or phenotypes in evolutionary biology. As the set of methods for inferring EvAM dynamics expands, approaches for comparing inference across algorithms, datasets, and covariates are required. In particular, a comparison method supporting reversible, stochastic dynamics, interactions between feature sets, and potentially non-independent samples (as well as simpler cases) has yet to be established. It is possible for EvAM with similar relative feature orderings to produce completely different sets of observed states due to ``frameshift''-like differences; methods distinguishing state and transition similarity are therefore also desirable. Here we suggest a method focussed on ordering matrices, describing the probability that a feature is acquired under different conditions on other features, and is thus generally comparable across methods and datasets. We demonstrate how the approach captures both statistical robustness (given EvAM uncertainty) and scientifically meaningful differences in inferred dynamics. The method is applied to synthetic and real-world data on the evolution of chromosomal aberrations in different tumour types and of drug-resistant bacteria in different countries.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Resolution-Adaptive Compact-Support Priors for Bayesian Wavelet Denoising By Sanyal

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Confidence Horizons By Mathis, Waudby-Smith

Anytime-valid inference enables analysts to continuously monitor their data and stop experiments early. However, the majority of these methods incur a certain conservativeness by remaining valid on infinite time horizons. In practice, a bound on the horizon may be imposed due to budgetary, practical, or ethical constraints. In this paper, we ask the question: "Is it possible to obtain sharper large-sample anytime-valid inference by forgoing validity beyond some finite time horizon?". We provide a positive answer to this question by proposing a family of statistical objects that we call "confidence horizons". These objects can be viewed as large-sample confidence sequences on bounded time horizons, or alternatively as group sequential repeated confidence intervals with a maximal number of interim peeking times. We make explicit connections to the group sequential boundaries of Pocock [1977], O'Brien--Fleming [1979], and Wang--Tsiatis [1987]. We derive closed-form distribution functions of certain statistics which can be used to calculate the asymptotic quantiles of confidence horizons exactly, sidestepping the repeated integration typically employed in group sequential methods. We illustrate the use of confidence horizons for treatment effect estimation in sequentially randomized experiments under adaptive Neyman allocation.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Difference-in-differences with "bad controls" By Caetano, Callaway, Payne et al

This paper considers difference-in-differences identification strategies when the parallel trends assumption holds after conditioning on covariates that may themselves be affected by the treatment (often referred to as "bad controls"). We show that common approaches such as simply dropping bad controls are often ill-advised and develop two alternative approaches that allow bad controls to function as genuine controls despite being affected by treatment. First, we derive explicit conditions that rationalize conditioning only on pre-treatment values of the bad control, leading naturally to the Callaway and Sant'Anna (2021) estimator with pre-treatment values as covariates. Second, under a covariate unconfoundedness condition, we develop imputation and double/debiased machine learning estimators that recover the average treatment effect on the treated. We extend these results to staggered treatment adoption, provide pre-tests for the identifying assumptions, and apply the methods to study the effects of job displacement on earnings.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Identification and Information after Nuisance Projection By Hounyo

Empirical work often removes fixed effects, latent factors, or high-dimensional controls before estimating structural relationships. These transformations reduce confounding but may also remove identifying variation. We study linear panel IV after one equation-compatible nuisance projection under two-way dependence. The projected Jacobian determines which structural directions remain visible; the projected-score law determines their precision; and, on Gaussian fixed-rank strata, they combine in a Projected Information Matrix. We derive weak-identification limits with dimension-specific information accumulation, feasible factor-transfer conditions, identification-robust tests, bootstrap procedures for non-Gaussian interaction limits, and inference for the projected spectrum, rank, subspaces, and information matrix. Simulations show that a raw first-stage statistic above 500 can support the wrong sign while projected diagnostics reveal weak valid information. In an international monetary application, common projection substantially attenuates apparent foreign-output persistence, while Gaussian-reference Anderson--Rubin sets remain unbounded. Identification should therefore be assessed after nuisance removal.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Reduced-rank Generalized Bilinear Models By Kapner, Miller

Dimensionality reduction and effect estimation are central tasks in the analysis of high-dimensional data such as in genomics. Generalized bilinear models (GBMs) provide a versatile framework for these tasks, however, the statistical and computational efficiency of GBMs degrades rapidly as the number of sample covariates grows. To address this limitation, we introduce reduced-rank generalized bilinear models (RR-GBMs), which employ a reduced-rank sample coefficient matrix to model the effect of a large number of covariates without requiring an excessive number of parameters. In simulation studies, we find that when the true sample coefficient matrix is reduced rank or close to reduced rank, RR-GBM outperforms the standard full-rank GBM both statistically and computationally, providing more accurate estimates with lower computational burden. We develop a data thinning approach for model selection in the RR-GBM framework, facilitating rank selection. Furthermore, RR-GBM enables a new approach to visualizing the relationships among covariates and among features. We demonstrate the method in an application to Perturb-seq data for pancreatic cancer.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Multi-Signal Safety Surveillance with Bayesian Latent Factor Modeling and Bias Correction By Pan, Bu

Safety surveillance increasingly involves repeated monitoring of many exposure-outcome signals in observational healthcare data, where sparse information, dependence across related signals, and systematic error can complicate inference. Existing frameworks typically focus on either correcting residual bias using negative controls or borrowing information across exposure-outcome pairs, but not both. We propose a multi-signal Bayesian sequential surveillance framework that integrates empirical bias correction with low-rank latent factor modeling. At each analysis time, a hierarchical Bayesian model learns exposure-specific bias distributions from negative control outcomes assumed to have null latent effects. Conditional on these distributions, low-rank latent factors are estimated across exposures and outcomes of interest to share information across correlated signals. As new data accrue, posterior inference is updated sequentially, yielding bias-corrected posterior summaries of effect sizes across multiple monitored signals. We illustrate the method in a postmarket vaccine safety surveillance study using a large US insurance claims database.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Testing for Smooth Structural Change in Cointegrated Systems By Liao, Wang

$This paper develops an econometric framework for analysing smooth structural change in cointegrated systems following a known intervention time. We consider a vector error-correction model in which the cointegration rank and the pre-intervention cointegrating structure are identified from a stable pre-intervention subsample. After the intervention, both the adjustment coefficients and the cointegrating vectors are allowed to evolve smoothly as functions of rescaled time, which are estimated using kernel-weighted local reduced-rank methods. The analysis is formulated directly in a cointegrated VAR/VECM system, which preserves the treatment of long-run relations and short-run error-correction dynamics. By working with the decomposition $\Pi(\delta)=\alpha(\delta)\beta(\delta)'$, the method separates changes in the equilibrium relation from those in the speed of adjustment. We also provide two tests for the parameter consistency and the post-intervention parameter smoothness respectively. An empirical application to energy market, foreign-exchange, and gold-market index around the 24 February 2022 Russia's invasion of Ukraine illustrates how the proposed approach distinguishes between a discrete regime shift and smooth post-intervention evolution. The results suggest that cointegrating relation among the price of Brent crude oil, the spot exchange rate (USD/EUR), and the Credit Suisse NASDAQ Gold Price Index has smoothly changed after the outbreak of war, instead of a constant long-run conintegration system in the pre-intervention period.$

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 A New Look at Gaussian Mixtures in the Presence of Missing-at-Random Responses and Covariates By Tong, Punzo, Tortora

Missing values present a common challenge in statistical modeling, so handling them properly is an important research direction. Among the various mechanisms that can generate missing values, the most common is the missing-at-random (MAR) mechanism, in which the probability of missingness depends only on observed data and not on unobserved data.
This paper addresses the problem of estimating a multivariate linear regression model with multiple random covariates in the presence of MAR values in both the response and covariate spaces using a maximum likelihood (ML) framework.
The proposed methodology models the joint distribution of responses and covariates through a conditional-marginal factorization of a multivariate Gaussian distribution. This formulation can be interpreted as a reparameterization of the multivariate normal distribution when the variables can be naturally partitioned into responses and covariates.
Parameter estimation is performed using the expectation-maximization (EM) algorithm, which facilitates the imputation of missing values while preserving the distinct roles of responses and covariates.
We extend this framework to the model-based clustering setting by considering a mixture of multivariate linear regressions with multiple random covariates. This extension enables soft clustering under incomplete data and accommodates MAR values in both the multivariate responses and covariates. Hence, it represents one of the most general model-based clustering solutions for regression data currently available in the literature.
The effectiveness of the methodology is demonstrated through a simulation study, and the advantages of the proposed reparameterization are illustrated using the Automobile dataset, which contains missing values.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Beyond Predicting Responses: Conformal Inference for Latent Distributional Parameters By Zheng, Zhou, Zhu

Many prediction problems seek to infer an unobserved, instance-specific parameter that governs the distribution of an observable response, even though the latent parameter is unavailable for both historical and future instances. We develop LatentCP, a prior-free conformal framework that constructs uncertainty sets for latent distributional parameters using only observed context--response pairs and a specified forward model. The method first constructs a conformal prediction set in the observable response space and then retains candidate latent parameters according to the probability their induced response distributions assign to that set. This inversion provides finite-sample marginal coverage without requiring latent calibration labels, a unique inverse mapping, or knowledge of the latent mixing distribution. Because latent-set efficiency depends nonmonotonically on the response-space miscoverage rate, we further introduce a multilevel procedure that aggregates normalized incompatibility scores across several response sets and selects the aggregation distribution using an independent tuning sample. Across synthetic experiments, LatentCP maintains nominal latent coverage under weak forward identification, observational nonidentifiability, and latent heterogeneity and multimodality, where empirical-Bayes, likelihood-based, and proxy-label conformal methods can substantially under-cover. On a California wildfire real dataset, it produces spatially adaptive uncertainty sets for latent fire intensity. Independent tuning improves efficiency, while multilevel aggregation provides additional gains when different response levels contain complementary information, without sacrificing validity.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 A fully nonlinear structural vector autoregressive model identified via independent innovation analysis By Virolainen

We develop a fully nonlinear structural vector autoregressive framework in which the contemporaneous structural mapping may be nonlinear and non-additive. Identification is achieved by exploiting variation in the conditional distributions of the mutually independent structural shocks induced by an observed exogenous variable. Specifically, a general contrastive learning framework that makes use of this variation together with the assumed exponential-family structure is employed to recover the shocks. Existing independent innovation analysis results identify such shocks only up to arbitrary componentwise invertible transformations, which is generally insufficient for structural econometric analysis. We strengthen this result by imposing a structured exponential-family specification for the conditional shock distributions. With the imposed sufficient statistics, the remaining ambiguity is reduced to a one-parameter transformed-scale map for each shock. We then show that, under a logistic specification used for the natural parameters, the identification is further strengthened up to permutation and componentwise sign changes. Once the shocks have been recovered, the fully nonlinear structural vector autoregression can be estimated using feed-forward neural networks, motivated by their universal approximation capabilities. The empirical application studies asymmetries in the responses of U.S. industrial production to the real oil price shock. We find modest asymmetries with respect to the sign of the shock and state of the economy. The accompanying R package iiasvar implements the introduced methods.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Two-Stage Design with Sample Size Re-estimation Using gsDesign By Anderson, Pedley

The effect size and nuisance parameters needed to appropriately size a clinical trial are generally not adequately understood before a trial begins. Through pre-planned early stopping rules, a conservatively planned group sequential design can effectively adapt the sample size for a clinical trial for a new treatment that is ineffective, very effective or minimally effective. One potential issue with such designs is that a substantial number of patients can be enrolled after a data cutoff for an interim analysis while data are being entered, cleaned, analyzed and discussed. A strategy of re-estimating the sample size at an interim analysis based on conditional power has been proposed to reduce somewhat this enrollment overrun issue. A purported advantage sometimes claimed is a smaller up-front planned sample size than a conservatively planned group sequential design. We demonstrate derivation of 2-stage group sequential and conditional power designs using the gsDesign R package and suggest comparing designs with comparable power using expected sample size calculations. While there are cases where conditional power designs may have small advantages, it is quite easy to derive very inefficient conditional power designs. This, along with the fact that a conditional power design may reveal something about the interim treatment effect, will often leave a group sequential design as the design of choice.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 15h ago

arXiv📈🤖 Fast covariance-free spatiotemporal modeling via coarse-to-fine learning By Murakami

Scalable spatiotemporal modeling remains challenging because conventional methods rely on covariance models that tightly couple spatial representation and temporal inference, often leading to high computational costs. To address this difficulty, we developed coarse-to-fine spatiotemporal modeling (CF-STM), a framework that extends coarse-to-fine spatial modeling (CF-SM) to spatiotemporal settings. CF-STM represents latent spatial processes through multiscale locally weighted models, with temporal dependence modeled separately through state-space models defined at local centers. This covariance-free formulation achieves scalable computation while allowing temporal models to be flexibly specified without altering the spatial representation. Monte Carlo experiments demonstrate predictive performance comparable to that of alternative scalable space-time models at a substantially lower computational cost. An application to long-term residential land price data in the Tokyo metropolitan area shows that CF-STM flexibly captures complex spatiotemporal patterns while enabling interpretable inferences. CF-STM is implemented in an R package spCF (https://cran.r-project.org/web/packages/spCF/).

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Reusing Operational Evidence After Context Changes: A Conservative Bayesian Framework for Autonomous Vehicle Safety By Chakherlou, Khastgir, Zhao

Operational evidence, i.e., evidence of operation without failure is an important component of confidence in the safety or reliability of a system in service, but it is costly to collect. When the context of operation changes, the relevance of previously collected operational evidence becomes unclear. This problem arises, for example, when an autonomous vehicle that has operated safely in one operational environment (the Target Operational Domain, TOD) is deployed in a different but related TOD. Existing practice often treats such evidence in an all-or-nothing manner: either it is fully reused, or it is discarded. Neither position is satisfactory when there are good reasons to believe that the new context is no worse than the previous one, but that belief is itself uncertain. This paper studies how to make post-change reliability claims by combining evidence from two TODs using Conservative Bayesian Inference (CBI), which combines the evidence from the new context with a weighted amount of previous context and partial prior knowledge through constraints on a set of admissible priors. This yields conservative posterior bounds on quantities of interest. A numerical example illustrates how pre-existing evidence from a previous TOD can be transferred, conservatively and transparently, to support reliability claims in the changed TOD.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Multidimensional Integral Fractional Ornstein--Uhlenbeck Process with an Application to Animal Movement By Ram\'irez-Gonz\'alez, Chac\'on-Montalv\'an, Moraga et al

$Fractional Ornstein--Uhlenbeck (fOU) processes model temporal dependence and memory, including long-range dependence, while retaining the classical Ornstein--Uhlenbeck process as a special case. We extend the integral fractional Ornstein--Uhlenbeck (ifOU) process to a multidimensional setting for animal telemetry. Longitude, Latitude, and Altitude velocities are represented by coordinate-specific fOU processes driven by a multivariate fractional Brownian motion, allowing each coordinate to retain its own damping, scale, and Hurst parameters. We establish covariance validity, characterize the admissible cross-correlation region, and derive the asymptotic behavior of cross-covariances and separated increments. We develop procedures for finite-dimensional simulation, Gaussian likelihood inference, and conditional velocity reconstruction. Replicated simulations examine estimation of cross-coordinate correlations, while joint estimation of the complete parameter vector is illustrated for one three-dimensional trajectory. The proposed model is applied to telemetry records from five common noctule bats migrating in Germany, including three trajectories with Altitude measurements.$

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Matrix Decomposition Latent Growth Model Tree By University), University), Tokyo)

Latent growth models (LGMs) have been widely used to describe individual trajectories of change, average change patterns, and individual differences in change within a group. Structural equation model tree (SEM Tree) partitions samples through recursive partitioning using external covariates and characterizes between-group differences via parameters of prespecified SEM template models. An SEM Tree with an LGM as its template model may therefore serve as a useful classification method for longitudinal data. However, current SEM Tree implementations may face important practical obstacles, including high computational cost and frequent improper solutions caused by model misspecification or data characteristics (e.g., a limited number of measurement occasions). In the present study, we developed a matrix decomposition LGM tree (MDLGM Tree), which applies the matrix decomposition factor analysis (MDFA) approach, an eigenvalue-decomposition-based method for model estimation. Previous studies on MDFA and its extensions to SEM have shown that this approach can reduce the risk of improper solutions while yielding estimates highly similar to those obtained by maximum likelihood estimation. Through a series of simulations, we demonstrated that, compared with conventional SEM Tree, the MDLGM Tree greatly reduces the occurrence of improper solutions and is also highly efficient in terms of computation time.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Local Quasi-Linear Models: Kernel Differential Equation Regression and Fire Data Analysis By Ge, Braun

We introduce the local quasi-linear (LQL) model, a differential equation-constrained local polynomial regression framework for the general first-order linear ordinary differential equation (ODE) $g'(x)=a(x)g(x)+b(x)$, extending prior work on differential equation-constrained local polynomial regression (DE-constrained LPR) for the exponential growth model. We derive closed-form DE-constrained local polynomial (DE1-$k$) estimators for arbitrary Taylor degree $k$, establish their asymptotic conditional bias and variance, and propose two approaches for estimating $a(x)$ and $b(x)$ when they are unknown. A simulation study across two structurally different ODEs shows that DE1-$k$ estimation with automatic degree selection reduces both estimation error and ODE-consistency error relative to unconstrained local linear regression. We then apply the framework to the firebrand burning-rate experiment of Albini (1979), modelling the density-loss curve of wind-driven firebrands with a physically motivated forced-convection ODE; the DE-constrained estimator outperforms local linear regression in the sparsest species-diameter groups, where physical structure is most valuable in compensating for scarce data. We further examine the robustness of the LQL model to misspecification against a local quasi-exponential alternative. Together, these results extend the DE-constrained regression paradigm to a broad class of physically motivated linear models and provide a practical estimation tool for fire science and other application areas where mechanistic knowledge is available but data are sparse.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Evaluating Treatment Effects using Group Testing with Retesting of Positive Groups By Maung, Zheng

Group testing is an established, highly cost-effective strategy for population-level disease surveillance that identifies positive individuals by pooling biological specimens. Originally introduced during World War II for large-scale screening and heavily utilized in modern high-throughput public health infrastructure, traditional group testing methods are restricted to purely associational analyses. Consequently, they lack the capacity to infer the direct causal effect of an intervention when individual-level data are subject to baseline confounding. In this work, we bridge this fundamental gap by introducing a causal inference framework tailored specifically for group testing designs. We integrate the principles of inverse probability weighting (IPW) directly into a pooled pseudo-likelihood formulation to construct an unbiased pseudo-score function. Under standard regularity conditions, we prove the consistency and asymptotic normality of our proposed plug-in estimator. Extensive numerical simulations demonstrate that our framework successfully purges severe selection bias, accurately recovering the true average treatment effect where traditional unweighted pooling models fail. Finally, we illustrate the practical utility of our method as both an estimation and a diagnostic tool using real-world observational surveillance data from the CDC's U.S. Influenza Vaccine Effectiveness Network.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Generalized propensity score weighting for functional causal inference framework By Ciardulli, Fontana, Vantini et al

Estimating causal effects in observational studies requires adjustment for confounding, a task that becomes challenging when the exposure is a function observed over a continuous domain rather than a scalar variable. We develop a functional propensity score weighting framework that achieves covariate balance by removing dependence between time-varying treatments and observed confounders, thereby enabling estimation of marginal causal effects in settings with functional treatments, covariates, and outcomes. We propose a dual formulation of the weight estimation problem that yields a smooth unconstrained optimization and improves computational scalability. The proposed framework extends naturally to settings with time-varying covariates and to longitudinal outcomes via a function-on-function marginal structural model, allowing estimation of causal effect surfaces. The proposed method improves covariate balance, estimation accuracy, and computational efficiency compared to the existing approach and retains these properties when extended to functional covariates and outcomes. We apply the method to data from the UK Biobank to estimate the causal effect of body mass index trajectories on the risk of Type 2 Diabetes and on subsequent glycated hemoglobin trajectories, a functional measure of metabolic status.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 A Bures-Wasserstein Formulation of Matrix Decomposition Structural Equation Modeling By Yamashita

Matrix decomposition SEM (MDSEM) is a data-matrix-based alternative to conventional covariance-based SEM, but its theoretical relationship to covariance-based SEM and the statistical properties of its estimator have remained unclear. We first reformulate MDSEM using a single loss function that integrates the measurement and structural models. We then prove that minimizing this loss over the model parameters is equivalent to minimizing the squared Bures-Wasserstein (BW) distance between the observed and model-implied covariance matrices, and use this equivalence to establish the estimator's theoretical properties. Specifically, the equivalence identifies the proposed estimator as both an MDSEM estimator and a covariance-based SEM estimator within the minimum discrepancy estimation framework, from which consistency, asymptotic normality, and standard errors are derived. Simulations show that its finite-sample performance is comparable to that of conventional estimators, including maximum likelihood, and that confidence-interval coverage is close to the nominal level. The estimator is also more numerically stable than conventional SEM estimators in small samples and under model misspecification. Thus, the BW formulation provides a theoretical foundation for MDSEM and a practically useful discrepancy function for covariance-based SEM.

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Estimating the Conditional Forecast-Revision Scale in Sequential Models: Local-Smoothing Limits, Matched Models, and Cost--Accuracy Trade-offs By Foo, Chang

$The \emph{conditional forecast-revision scale} $\It=\{\Var(\E[X_{t+1}\mid\F_t]\mid\F_{t-1})\}^{1/2}$ measures the history-specific size of the forecast update induced by observing $X_t$. Because it is a conditional second moment built from two unknown conditional means, it is not directly observed. We study which estimator of $\It$ should be used under different structural assumptions and computational budgets. The comparison includes a block bootstrap, a conditional-variance model, a fitted state-space model, two $O(1)$ streaming smoothers, and the forget gate of an already-trained recurrent network. An error decomposition separates one-step-prediction error from conditional-second-moment tracking error. We show that externally tuned lag-only smoothers can be inconsistent when $\It$ changes at the sampling scale, although they attain the usual $T^{-2/3}$ mean-squared-error rate ($T^{-1/3}$ for $\It$) under slow variation; a correctly specified state-space estimator escapes this limit by using the current state. In volatility-driven designs, a cheap conditional-variance model is more accurate and over one hundred times cheaper \emph{as a point estimator} than the implemented block bootstrap, whose value lies in the sampling distribution it provides rather than in point tracking. In state-driven designs, only the structurally matched filter recovers the fast variation. Read directly, a trained network's forget gate does not track $\It$ --- though a supervised linear probe on the full gate vector does, so $\It$ is linearly decodable but not available for free. These results yield a practical rule: identify the conditional-second-moment structure, match the estimator to it, and then choose the least costly adequate method.$

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 A New Approach to Goodness of Fit for Ergodic Markov Processes By Martin, Nishiyama, Stachurski et al

$We introduce a new density-based goodness of fit test for ergodic Markov processes. Our test compares the data against the class of models specified in the null hypothesis, and rejects if no model in the class yields a stationary density that matches with the data. No alternative needs to be specified in order to implement the test. Although our test compares densities, estimation of smoothing parameters is not required, and the test has nontrivial power against $1/\sqrt{n}$ local alternatives. The test provides new perspectives on some existing problems in econometric and financial modeling.$

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Bandwidth-Free Inference for Recursive Nonlinear Impulse Response Functions By Vianna

$Recursive nonlinear impulse responses require an estimated innovation law whenever the impact shock is normalized by innovation ranks and future innovations are integrated out. The closest semiparametric recursive construction in the literature estimates the relevant innovation quantile functions smoothly and discusses a direct empirical-residual implementation without developing its complete first-order inference theory. We tackle this gap in a finite-dimensional nonlinear structural autoregression with unrestricted continuous marginal innovation distributions and a fixed normal-rank shock. Our estimator replaces each innovation quantile function with the empirical quantile of generated structural residuals and iterates the same structural transition. For any fixed collection of responses, we establish a joint \sqrt{T} asymptotic linear representation with four components: direct transition estimation, the effect of transition estimation on residual order statistics, ordinary innovation-quantile estimation, and the shifted impact quantile. After projection through the recursion, the quantile terms admit a residual-rank-and-spacing representation, yielding feasible inference without innovation-density estimation or quantile smoothing. We then characterize the propagated bias from smoothing, establish validity of a full recursive residual bootstrap, and derive the additional covariance contribution from a finite number of simulated paths, providing bandwidth-free inference for the empirical-residual version of the same normal-rank response used in the smooth recursive construction.$

ArXiv Paperboy (Stat.ME+Econ.EM)@paperposterbot.bsky.social · 16h ago

arXiv📈🤖 Weighted k-Sample Kolmogorov-Smirnov, Cramer-von Mises, and Anderson-Darling Tests for Assessing Covariate Balance By Linden