Proposes AAA for efficient association estimation with confounders.
problem Summarizing log odds ratio as a function of confounders.
method Develops efficient DML estimators for AAA.
result Demonstrates practicality and effectiveness of AAA estimators.
Study identifies conditions for proxy adjustment in confounded binary treatment outcomes.
problem Average causal effect estimation with a non-differentially mismeasured binary confounder.
method Identifies conditions for proxy adjustment in the presence of a non-differentially mismeasured binary confounder.
result Adjusting for a non-differentially mismeasured binary proxy can improve estimation of the average causal effect.
New method averages SGD iterates to achieve adjustable regularization.
problem Overfitting in machine learning models.
method Averaging SGD iterates for regularized solutions.
result Obtain regularized solutions without tuning parameters.
We study the problem of treatment effect estimation in randomized experiments with high-dimensional covariate information, and show that essentially any risk-consistent regression adjustment can be used to obtain efficient estimates of the average treatment effect. Our results considerably extend the range of settings …
The method of covariate adjustment is often used for estimation of population average treatment effects in observational studies. Graphical rules for determining all valid covariate adjustment sets from an assumed causal graphical model are well known. Restricting attention to causal linear models, a recent article der…
Study improves MACD trading strategy with volume and price adjustments.
problem Signal lag and false signals in traditional MACD trading rules.
method Develops VP-MACD framework with sensitivity calibration.
result Proposed framework outperforms baseline MACD in profitability and risk-adjusted return.
Satellite imagery helps adjust for unobserved confounders in observational studies.
problem Adjusting for confounding factors in observational studies with non-tabular data like satellite imagery.
method Formalizing conditions for causal effect identification, estimation, and sensitivity analysis.
result Demonstrated the use of satellite imagery as a proxy for unobserved confounders in anti-poverty aid programs.
Develops a method to estimate average hazard under non-proportional hazards without relying on proportional hazards assumption.
problem Estimation of treatment effects when hazards are non-proportional, leading to unstable hazard ratios.
method Semiparametric, doubly robust framework for covariate-adjusted average hazard estimation.
result Valid sqrt{n} inference with small bias and near-nominal confidence-interval coverage across proportional and non-proportional hazards settings.
Efficient adjustment sets found for cost-minimized causal estimations.
problem Estimating interventional means with minimum cost in causal graphical models.
method Defined cost-adjustment sets, constructed flow networks, and used maximum flow algorithms.
result Minimum cost optimal adjustment sets exist and can be found efficiently.
The study evaluates forecast risk-adjusted performance using various metrics.
problem Evaluating forecast reliability beyond accuracy.
method Risk-adjusted performance measures (Sharpe, Sortino, Omega ratios) and Edge Ratio.
result Machine learning models often offer attractive risk profiles but not necessarily higher reliability.
New moving average adapts weight dynamically based on polynomial and wavefunction.
problem Lagging traditional moving averages in adjusting to changes in data.
method Develops a moving average with weight as a polynomial of a wavefunction from an eigenproblem.
result Immediate 'switch' without lag, adapting to changes in data.
The variance reduction class of algorithms including the representative ones, SVRG and SARAH, have well documented merits for empirical risk minimization problems. However, they require grid search to tune parameters (step size and the number of iterations per inner loop) for optimal performance. This work introduces `…
Investor skill levels affect optimal portfolio size, study shows.
problem Optimal portfolio size for different skill levels of investors.
method Mathematical methods to study annual and continuous portfolio diversification, regression analysis.
result Strong investors should hold concentrated portfolios, poor investors should hold diversified portfolios.
Investigates adjustments on Lie group crossed modules for gauge theory.
problem Existence and classification of adjustments on crossed modules of Lie groups.
method Differentiation/integration correspondence with infinitesimal adjustments; Lie algebra techniques.
result Infinitesimal adjustments exist if and only if the Kassel-Loday class lies in the image of the Chern-Weil homomorphism.
FedNNNN improves FL by adjusting model update vector norms.
problem Slow convergence and low prediction accuracy in FL.
method Norm-Normalized Neural Network Aggregation (FedNNNN) with momentum control.
result Up to 5.4% accuracy improvement on multiple datasets.
Genome-wide association studies (GWASs) aim to detect genetic risk factors for complex human diseases by identifying disease-associated single-nucleotide polymorphisms (SNPs). The traditional SNP-wise approach along with multiple testing adjustment is over-conservative and lack of power in many GWASs. In this article, …
Analysis of momentum methods on quadratic models, showing SGD's superiority.
problem Analysis of stochastic gradient algorithms with momentum on quadratic models.
method Inspired by random matrix theory, exact characterization of loss values.
result Stochastic heavy-ball momentum does not improve over SGD in the strongly convex setting.
In mixture model-based clustering applications, it is common to fit several models from a family and report clustering results from only the `best' one. In such circumstances, selection of this best model is achieved using a model selection criterion, most often the Bayesian information criterion. Rather than throw awa…
New risk measures adjust for tail risk inadequacies.
problem Tail risk inadequacy in classical risk measures.
method Developed a family of adjusted risk measures using target risk profiles.
result Analyzed and derived properties of adjusted risk measures.
Given a Finsler space (M,F) on a manifold M, the averaging method associates to Finslerian geometric objects affine geometric objects} living on M. In particular, a Riemannian metric is associated to the fundamental tensor g and an affine, torsion free connection is associated to the Chern-Rund connection. As an il…
Study shows how adjusting for a binary proxy can bound causal effects.
problem Bounding causal effects with a binary confounder and proxy.
method Monotonicity assumption applied to a binary confounder and observed proxy.
result Adjusting for a proxy produces a measure of the effect between unadjusted and true measures.
Investments with best performance are not associated with best Sharpe ratios.
problem The relationship between performance and risk-adjusted return (Sharpe ratio) is counterintuitive for heavy-tailed distributions.
method Synthetic and real data analysis of returns distributions.
result The best-performing investments are not the best in terms of Sharpe ratio, and vice versa.
The present research work proposes a new fast fixed-point averaging algorithm on the compact Stiefel manifold based on a mixed retraction/lifting pair. Numerical comparisons between fixed-point algorithms based on the proposed non-associated retraction/lifting map pair and two associated retraction/lifting pairs confir…
Bayesian method for estimating ATE with robustness to model misspecification.
problem Estimating average treatment effects under unconfoundedness.
method Double robust Bayesian inference using adjusted prior and posterior distributions.
result Bayesian credible sets form asymptotically exact confidence intervals.
Aioli unifies language model data mixing methods and improves performance.
problem Optimizing the mixture of training data groups for language models.
method Unified optimization framework for dynamically adjusting mixture proportions.
result Aioli outperforms existing methods by up to 12.012 test perplexity points.
We develop methods to approximate derivatives for causal inference problems using data.
problem Estimating causal effects from data when distributions are not known.
method Constructive algorithm approximating Gateaux derivatives via finite differencing.
result Derives conditions for finite-difference approximations to preserve statistical benefits.
Neural network models improve ROC curve evaluation of biomarkers, focusing on age's role in physical activity-mortality association.
problem Improving biomarker evaluation using machine learning for complex relationships.
method Proposes neural network-based covariate-adjusted ROC modeling.
result Age has distinct effects on mortality outcomes when physical activity is measured as total activity time.
New method reduces CVA-VaR computation complexity.
problem Efficiently estimating CVA-VaR for financial risk management.
method Multilevel nested simulation for probabilities.
result 3 orders of magnitude reduction in computational complexity.
DOPE efficiently estimates ATE with complex covariates.
problem Efficient estimation of ATE from complex covariates.
method Proposed DOPE framework for efficient adjustment.
result DOPE retains efficiency even with highly predictive covariates.
Stochastic Gradient Descent with a constant learning rate (constant SGD) simulates a Markov chain with a stationary distribution. With this perspective, we derive several new results. (1) We show that constant SGD can be used as an approximate Bayesian posterior inference algorithm. Specifically, we show how to adjust …
We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common jump process. The key ins…
With the maturation of metabolomics science and proliferation of biobanks, clinical metabolic profiling is an increasingly opportunistic frontier for advancing translational clinical research. Automated Machine Learning (AutoML) approaches provide exciting opportunity to guide feature selection in agnostic metabolic pr…
The paper extends the market price of risk for electricity swap contracts, incorporating jump risk.
problem Pricing electricity swap contracts with consideration of jump risk.
method Introducing a Merton type model with jumps and transferring to the physical measure, comparing arithmetic and geometric averaging.
result A decomposition of swap's market price of risk into classical and market price of risk components.
CDVAE estimates treatment effects over time by accounting for unobserved variables.
problem Estimating treatment effects over time in the presence of unobserved confounders.
method Causal Dynamic Variational Autoencoder (CDVAE) that addresses unconfoundedness and unobserved heterogeneity.
result CDVAE outperforms existing methods in estimating Conditional Average Treatment Effects (CATEs).
Paper tackles long-tailed labels in classification problems.
problem Imbalanced or long-tailed label distribution in real-world classification problems.
method Logit adjustment applied post-hoc or during training to encourage a large relative margin between rare and dominant labels.
result Unified and generalised techniques for coping with long-tailed labels, improving generalisation and performance.
Causality-aware methods outperform linear residualization in confounding adjustment for anticausal prediction.
problem Adjusting for confounding in anticausal prediction tasks.
method Causality-aware counterfactual confounding adjustment.
result Causality-aware methods asymptotically outperform linear residualization in predictive performance.
New method tests causal association using noise contrastive backdoor adjustment.
problem Testing causal association in complex settings with many confounders.
method Backdoor-HSIC (bd-HSIC) using HSIC for independence testing.
result Calibrated and powerful for binary and continuous treatments with many confounders.
Study finds non-adherence to schizophrenia meds leads to earlier adverse events.
problem Impact of medication non-adherence on adverse outcomes in schizophrenia patients.
method Survival analysis, causal inference methods (T-learner, S-learner, nearest neighbor matching), different amounts of longitudinal information.
result Non-adherence to schizophrenia meds advances adverse events by 1 to 4 months.
Paper introduces OCRR Score for quantifying DeFi wallet credit risk.
problem Inability to assess credit risk in decentralized finance.
method Probabilistic measure based on historical and predictive on-chain activity.
result Dynamic adjustment of LTV and LT based on wallet risk profile.
TINs use neural networks to interpret technical indicators for trading.
problem Lack of interpretable neural architectures for technical indicators in trading.
method Introduced TINs, a neural architecture that reformulates technical indicators into trainable modules.
result Improved risk-adjusted performance compared to traditional indicator-based strategies.
Study on averaging geometric structures in Finsler spaces with Lorentzian signature.
problem Averaging geometric structures in Finsler spaces with Lorentzian signature.
method Definition of an average connection without using the timelike vector field.
result No direct relation between the two averaged objects.
Benchmarking deep learning models for financial time series, focusing on risk-adjusted performance.
problem Optimizing risk-adjusted performance in financial time series prediction.
method Evaluation of various deep learning architectures including linear models, RNNs, transformers, state space models, and sequence representation approaches.
result Hybrid models like VSN with LSTM and xLSTM achieve the highest overall Sharpe ratio and superior downside adjusted characteristics.
Machine learning boosts RCT efficiency by controlling type I error and improving statistical power.
problem Improving statistical efficiency in RCTs with complex covariate adjustments.
method Machine learning-assisted adjustment under Rosenbaum's framework for exact tests.
result The proposed method robustly controls type I error and significantly boosts statistical efficiency.
Generative diffusion models forecast implied vol surfaces without arbitrage issues.
problem Forecasting arbitrage-free implied volatility surfaces using historical data with path-dependent dynamics.
method Generative diffusion model (DDPM) with conditional training on market variables, including EWMAs and returns. Dynamic penalty scheme based on SNR to enforce arbitrage-free surfaces.
result Superior performance in volatility forecasting compared to existing methods.
In sequential anytime-valid inference, any admissible procedure must be based on e-processes: generalizations of test martingales that quantify the accumulated evidence against a composite null hypothesis at any stopping time. This paper proposes a method for combining e-processes constructed in different filtrations b…
SDD improves DD for estimating treatment effects by adjusting for confounding.
problem Estimating treatment effects in observational studies with confounding.
method Synthesized Difference in Differences (SDD) using RCT data to infer correct slopes.
result SDD achieves state-of-the-art performance across synthetic and real datasets.
LDP speeds up causal discovery by partitioning, improving VAS recall and runtime.
problem Hard causal discovery in nonparametric settings with exponential complexity.
method Local Discovery by Partitioning (LDP) for causal inference around exposure-outcome pairs.
result LDP yields less biased and more precise estimates than baseline methods.
The study uses pre-trained neural networks to adjust for confounding in non-tabular data.
problem Neglecting non-tabular data sources can lead to biased ATE estimates.
method Leverages latent features from pre-trained neural networks to adjust for confounding.
result Neural networks can achieve fast convergence rates for ATE estimation with latent features.