Adaptive Discrete Smoothing for High-Dimensional and Nonlinear Panel Data

• URL: http://arxiv.org/abs/1912.12867v2
• Date: Fri, 3 Jan 2020 16:39:10 GMT
• Title: Adaptive Discrete Smoothing for High-Dimensional and Nonlinear Panel Data
• Authors: Xi Chen, Ye Luo, Martin Spindler
• Abstract summary: We develop a data-driven smoothing technique for high-dimensional and non-linear panel data models. The weights are determined by a data-driven way and depend on the similarity between the corresponding functions. We conduct a simulation study which shows that the prediction can be greatly improved by using our estimator.
• Score: 4.550919471480445
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this paper we develop a data-driven smoothing technique for high-dimensional and non-linear panel data models. We allow for individual specific (non-linear) functions and estimation with econometric or machine learning methods by using weighted observations from other individuals. The weights are determined by a data-driven way and depend on the similarity between the corresponding functions and are measured based on initial estimates. The key feature of such a procedure is that it clusters individuals based on the distance / similarity between them, estimated in a first stage. Our estimation method can be combined with various statistical estimation procedures, in particular modern machine learning methods which are in particular fruitful in the high-dimensional case and with complex, heterogeneous data. The approach can be interpreted as a \textquotedblleft soft-clustering\textquotedblright\ in comparison to traditional\textquotedblleft\ hard clustering\textquotedblright that assigns each individual to exactly one group. We conduct a simulation study which shows that the prediction can be greatly improved by using our estimator. Finally, we analyze a big data set from didichuxing.com, a leading company in transportation industry, to analyze and predict the gap between supply and demand based on a large set of covariates. Our estimator clearly performs much better in out-of-sample prediction compared to existing linear panel data estimators.

Related papers

• Ranking and Combining Latent Structured Predictive Scores without Labeled Data [2.5064967708371553]
  This paper introduces a novel structured unsupervised ensemble learning model (SUEL) It exploits the dependency between a set of predictors with continuous predictive scores, rank the predictors without labeled data and combine them to an ensembled score with weights. The efficacy of the proposed methods is rigorously assessed through both simulation studies and real-world application of risk genes discovery.
  arXiv  Detail & Related papers  (2024-08-14T20:14:42Z)
• Diffusion posterior sampling for simulation-based inference in tall data settings [53.17563688225137]
  Simulation-based inference ( SBI) is capable of approximating the posterior distribution that relates input parameters to a given observation. In this work, we consider a tall data extension in which multiple observations are available to better infer the parameters of the model. We compare our method to recently proposed competing approaches on various numerical experiments and demonstrate its superiority in terms of numerical stability and computational cost.
  arXiv  Detail & Related papers  (2024-04-11T09:23:36Z)
• Multiply Robust Estimation for Local Distribution Shifts with Multiple Domains [9.429772474335122]
  We focus on scenarios where data distributions vary across multiple segments of the entire population. We propose a two-stage multiply robust estimation method to improve model performance on each individual segment. Our method is designed to be implemented with commonly used off-the-shelf machine learning models.
  arXiv  Detail & Related papers  (2024-02-21T22:01:10Z)
• A step towards the integration of machine learning and small area estimation [0.0]
  We propose a predictor supported by machine learning algorithms which can be used to predict any population or subpopulation characteristics. We study only small departures from the assumed model, to show that our proposal is a good alternative in this case as well. What is more, we propose the method of the accuracy estimation of machine learning predictors, giving the possibility of the accuracy comparison with classic methods.
  arXiv  Detail & Related papers  (2024-02-12T09:43:17Z)
• A Data-Driven Method for Automated Data Superposition with Applications in Soft Matter Science [0.0]
  We develop a data-driven, non-parametric method for superposing experimental data with arbitrary coordinate transformations. Our method produces interpretable data-driven models that may inform applications such as materials classification, design, and discovery.
  arXiv  Detail & Related papers  (2022-04-20T14:58:04Z)
• Estimating leverage scores via rank revealing methods and randomization [50.591267188664666]
  We study algorithms for estimating the statistical leverage scores of rectangular dense or sparse matrices of arbitrary rank. Our approach is based on combining rank revealing methods with compositions of dense and sparse randomized dimensionality reduction transforms.
  arXiv  Detail & Related papers  (2021-05-23T19:21:55Z)
• A similarity-based Bayesian mixture-of-experts model [0.5156484100374058]
  We present a new non-parametric mixture-of-experts model for multivariate regression problems. Using a conditionally specified model, predictions for out-of-sample inputs are based on similarities to each observed data point. Posterior inference is performed on the parameters of the mixture as well as the distance metric.
  arXiv  Detail & Related papers  (2020-12-03T18:08:30Z)
• Topology-based Clusterwise Regression for User Segmentation and Demand Forecasting [63.78344280962136]
  Using a public and a novel proprietary data set of commercial data, this research shows that the proposed system enables analysts to both cluster their user base and plan demand at a granular level. This work seeks to introduce TDA-based clustering of time series and clusterwise regression with matrix factorization methods as viable tools for the practitioner.
  arXiv  Detail & Related papers  (2020-09-08T12:10:10Z)
• Graph Embedding with Data Uncertainty [113.39838145450007]
  spectral-based subspace learning is a common data preprocessing step in many machine learning pipelines. Most subspace learning methods do not take into consideration possible measurement inaccuracies or artifacts that can lead to data with high uncertainty.
  arXiv  Detail & Related papers  (2020-09-01T15:08:23Z)
• Machine learning for causal inference: on the use of cross-fit estimators [77.34726150561087]
  Doubly-robust cross-fit estimators have been proposed to yield better statistical properties. We conducted a simulation study to assess the performance of several estimators for the average causal effect (ACE) When used with machine learning, the doubly-robust cross-fit estimators substantially outperformed all of the other estimators in terms of bias, variance, and confidence interval coverage.
  arXiv  Detail & Related papers  (2020-04-21T23:09:55Z)
• Asymptotic Analysis of an Ensemble of Randomly Projected Linear Discriminants [94.46276668068327]
  In [1], an ensemble of randomly projected linear discriminants is used to classify datasets. We develop a consistent estimator of the misclassification probability as an alternative to the computationally-costly cross-validation estimator. We also demonstrate the use of our estimator for tuning the projection dimension on both real and synthetic data.
  arXiv  Detail & Related papers  (2020-04-17T12:47:04Z)

This list is automatically generated from the titles and abstracts of the papers in this site.

This site does not guarantee the quality of this site (including all information) and is not responsible for any consequences.