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1. Identification‐ and singularity‐robust inference for moment condition models

   https://doi.org/10.3982/QE1219  

   Andrews, Donald W.; Guggenberger, Patrik (January 2019, Quantitative Economics)

   This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute. The paper shows that the tests have correct asymptotic size and are asymptotically similar (in a uniform sense) under very weak conditions. For example, in i.i.d. scenarios, all that is required is that the moment functions and their derivatives have 2 +  γ bounded moments for some γ  > 0. No conditions are placed on the expected Jacobian of the moment functions, on the eigenvalues of the variance matrix of the moment functions, or on the eigenvalues of the expected outer product of the (vectorized) orthogonalized sample Jacobian of the moment functions. The SR‐CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi‐strong identification (for all k  ≥  p , where k and p are the numbers of moment conditions and parameters, respectively). The SR‐CQLR test reduces asymptotically to Moreira's CLR test when p  = 1 in the homoskedastic linear IV model. The same is true for p  ≥ 2 in most, but not all, identification scenarios. We also introduce versions of the SR‐CQLR and SR‐AR tests for subvector hypotheses and show that they have correct asymptotic size under the assumption that the parameters not under test are strongly identified. The subvector SR‐CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi‐strong identification. 

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2. On Assignment to Classes in Latent Class Logit Models

   https://doi.org/10.1177/03611981221121266  

   Wu, Wangwei; Daziano, Ricardo A. (March 2023, Transportation Research Record: Journal of the Transportation Research Board)

   Random parameter logit models address unobserved preference heterogeneity in discrete choice analysis. The latent class logit model assumes a discrete heterogeneity distribution, by combining a conditional logit model of economic choices with a multinomial logit (MNL) for stochastic assignment to classes. Whereas point estimation of latent class logit models is widely applied in practice, stochastic assignment of individuals to classes needs further analysis. In this paper we analyze the statistical behavior of six competing class assignment strategies, namely: maximum prior MNL probabilities, class drawn from prior MNL probabilities, maximum posterior assignment, drawn posterior assignment, conditional individual-specific estimates, and conditional individual estimates combined with the Krinsky–Robb method to account for uncertainty. Using both a Monte Carlo study and two empirical case studies, we show that assigning individuals to classes based on maximum MNL probabilities behaves better than randomly drawn classes in market share predictions. However, randomly drawn classes have higher accuracy in predicted class shares. Finally, class assignment based on individual-level conditional estimates that account for the sampling distribution of the assignment parameters shows superior behavior for a larger number of choice occasions per individual. 

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3. Fast Model Identification via Physics Engines for Data-Efficient Policy Search

   Zhu, Shaojun; Kimmel, Andrew; Bekris, Kostas; Boularias, Abdeslam (July 2018, International Joint Conference on Artificial Intelligence (IJCAI))

   This paper presents a practical approach for identifying unknown mechanical parameters, such as mass and friction models of manipulated rigid objects or actuated robotic links, in a succinct manner that aims to improve the performance of policy search algorithms. Key features of this approach are the use of off-the-shelf physics engines and the adaptation of a black-box Bayesian optimization framework for this purpose. The physics engine is used to reproduce in simulation experiments that are performed on a real robot, and the mechanical parameters of the simulated system are automatically fine-tuned so that the simulated trajectories match with the real ones. The optimized model is then used for learning a policy in simulation, before safely deploying it on the real robot. Given the well-known limitations of physics engines in modeling real-world objects, it is generally not possible to find a mechanical model that reproduces in simulation the real trajectories exactly. Moreover, there are many scenarios where a near-optimal policy can be found without having a perfect knowledge of the system. Therefore, searching for a perfect model may not be worth the computational effort in practice. The proposed approach aims then to identify a model that is good enough to approximate the value of a locally optimal policy with a certain confidence, instead of spending all the computational resources on searching for the most accurate model. Empirical evaluations, performed in simulation and on a real robotic manipulation task, show that model identification via physics engines can significantly boost the performance of policy search algorithms that are popular in robotics, such as TRPO, PoWER and PILCO, with no additional real-world data. 

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4. Causal Identification with Matrix Equations

   Lee, Sanghack; Bareinboim, Elias (January 2021, Advances in neural information processing systems)

   Causal effect identification is concerned with determining whether a causal effect is computable from a combination of qualitative assumptions about the underlying system (e.g., a causal graph) and distributions collected from this system. Many identification algorithms exclusively rely on graphical criteria made of a non-trivial combination of probability axioms, do-calculus, and refined c-factorization (e.g., Lee & Bareinboim, 2020). In a sequence of increasingly sophisticated results, it has been shown how proxy variables can be used to identify certain effects that would not be otherwise recoverable in challenging scenarios through solving matrix equations (e.g., Kuroki & Pearl, 2014; Miao et al., 2018). In this paper, we develop a new causal identification algorithm which utilizes both graphical criteria and matrix equations. Specifically, we first characterize the relationships between certain graphically-driven formulae and matrix multiplications. With such characterizations, we broaden the spectrum of proxy variable based identification conditions and further propose novel intermediary criteria based on the pseudoinverse of a matrix. Finally, we devise a causal effect identification algorithm, which accepts as input a collection of marginal, conditional, and interventional distributions, integrating enriched matrix-based criteria into a graphical identification approach. 

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5. A generalized Spatio-Temporal Threshold Clustering method for identification of extreme event patterns

   https://doi.org/10.5194/ascmo-7-35-2021  

   Kholodovsky, Vitaly; Liang, Xin-Zhong (January 2021, Advances in Statistical Climatology, Meteorology and Oceanography)

   null (Ed.)

   Abstract. Extreme weather and climate events such as floods, droughts, and heat waves can cause extensive societal damages. While various statistical and climate models have been developed for the purpose of simulating extremes, a consistent definition of extreme events is still lacking. Furthermore, to better assess the performance of the climate models, a variety of spatial forecast verification measures have been developed. However, in most cases, the spatial verification measures that are widely used to compare mean states do not have sufficient theoretical justification to benchmark extreme events. In order to alleviate inconsistencies when defining extreme events within different scientific communities, we propose a new generalized Spatio-Temporal Threshold Clustering method for the identification of extreme event episodes, which uses machine learning techniques to couple existing pattern recognition indices with high or low threshold choices. The method consists of five main steps: (1) construction of essential field quantities; (2) dimension reduction; (3) spatial domain mapping; (4) time series clustering; and (5) threshold selection. We develop and apply this method using a gridded daily precipitation dataset derived from rain gauge stations over the contiguous United States. We observe changes in the distribution of conditional frequency of extreme precipitation from large-scale well-connected spatial patterns to smaller-scale more isolated rainfall clusters, possibly leading to more localized droughts and heat waves, especially during the summer months. The proposed method automates the threshold selection process through a clustering algorithm and can be directly applicable in conjunction with modeling and spatial forecast verification of extremes. Additionally, it allows for the identification of synoptic-scale spatial patterns that can be directly traced to the individual extreme episodes, and it offers users the flexibility to select an extreme threshold that is linked to the desired geometrical properties. The approach can be applied to broad scientific disciplines. 

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