Papers

We test whether a multivariate vector X conforms to a specified distribution F, a problem in copula modelling and density forecasting. The Rosenblatt transform reduces it to a test of uniformity, but depends on an arbitrary coordinate ordering that strongly affects power under dependence. We study order randomization: applying the transform under many random orderings and merging the evidence with dependence-robust rules. Reordering conserves the total Mahalanobis signal energy and merely redistributes it, so one ordering is a lucky or unlucky draw. In simulations we observe significant gains in calibrated power over both the expected single random ordering and order-invariant references. Two ingredients are essential: a two-sided base statistic, and a re-estimating parametric bootstrap that restores level under an estimated null and unlocks the gain. The calibrated pooled tests are robust to the departure's shape; no order-invariant reference we compare is: the symmetric-root test collapses on diffuse departures, while the shape-flat chi-squared test trails on concentrated ones. We apply it to a Gaussian foreign-exchange risk model over a decade of daily data on nine currencies, where it detects episodes such as Brexit and COVID. Though we focus on Gaussian nulls, the procedure extends to any null whose conditional distributions can be computed and simulated from.

Conformal prediction provides marginal coverage guarantees, yet practitioners may wonder if the observed coverage is truly abnormal or consistent with sampling variation. Inference for realized coverage has received comparatively little attention, especially for time series. We study split conformal prediction with adjacent calibration and test sets of temporally dependent data. Using the functional dependence measure, we derive non-asymptotic bounds on marginal coverage error without mixing assumptions, which can be difficult to verify and may fail even for simple short-memory models. We establish a Bahadur representation to derive, to our knowledge, the first central limit theorem for realized coverage of split conformal prediction under temporal dependence. A consistent block-based estimator of the standard error yields an asymptotically justified test. We further study long-memory time series, which remain understudied in conformal prediction. For Gaussian linear processes, we show how very strong temporal dependence can lead to a non-Gaussian limiting law of realized coverage and establish block-sampling inference with an estimated normalization. The resulting theory explains how temporal dependence changes coverage uncertainty.

The proportion mediated (PM), defined as the indirect effect divided by the total effect, is intuitive when direct and indirect effects operate in the same direction. Under inconsistent mediation, however, opposing pathways partially cancel each other, causing PM to fall outside the unit interval or become unstable as the total effect approaches zero. We introduce two complementary effect-scale measures: the Mediated Magnitude Share (MMS), which quantifies the absolute magnitude of an indirect pathway relative to the combined absolute magnitudes of the direct and indirect pathways, and the degree of suppression, which quantifies the fraction of this combined magnitude that is cancelled by opposing pathways. We establish the bounds and limiting behavior of both measures in the two-pathway case, show that MMS reduces to PM under consistent mediation, and extend both measures to settings with multiple indirect pathways. For binary outcomes, we extend the framework to odds-ratio and risk-ratio scales by using logarithms to convert multiplicative effects into additive ones, enabling direct application of MMS and the degree of suppression. Together, these measures provide bounded and interpretable characterizations of mediation systems in which pathway directions are not uniform.

Modeling temporal dependence and uncertainty is central to forecasting with world models. The Visual Bayesian Regression World Model combines visual features, physical histories and known covariates through interpretable regression, within a modular architecture supporting trend, seasonal and cycle dynamics. Visual compression reduces representation dimension, while Bayesian variable selection reduces active regression dimension. Posterior prediction combines forecasts across predictor subsets using their posterior probabilities as weights and accounts for parameter uncertainty and future disturbances. The model forecasts joint visual–physical states recursively and physical targets directly. Across four forecasting tasks spanning object motion, vegetation greenness and solar power, ViBR-WM achieves lower mean overall physical-target error than Temporal Straightening, ConvLSTM, PredRNN and SimVP on every task. Repeated fitting and resampling support these overall gains.

The SLGP package provides nonparametric estimation of fields of probability densities indexed by covariates, from unevenly sized samples with few or no replicates. A Spatial Logistic Gaussian Process applies a logistic density transformation to a finite-rank Gaussian process over a joint index-response domain, yielding a prior over conditional densities that adapts in location, shape, and modality. The contribution of this paper is the implementation: a finite-rank Random-Fourier-Feature representation that keeps the transformed process numerically tame, a log-concave likelihood that makes the fit a convex problem, and a family of quadrature shortcuts for the normalising integrals that turn a per-observation cost into a per-grid cost. Three estimation modes are available: MAP, Laplace, and full MCMC. We demonstrate the package throughout on the classical Fiji-Tonga earthquake catalogue, estimating how the distribution of hypocentre depths deforms across the region, and on a discrete-response variant.

Covariates are widely used in randomized experiments to improve precision. However, in the presence of interference, where outcomes may depend on the treatment assignments of other units, standard covariate adjustment methods may fail to preserve desirable properties such as the no-harm property, meaning that incorporating covariates does not worsen estimator performance. Existing approaches that incorporate covariates under interference typically rely on specifying a particular interference structure, and their guarantees can be sensitive to misspecification. In this paper, we study how to incorporate covariate information in a way that preserves the no-harm property while remaining largely agnostic to the underlying interference structure. We focus on the estimation of the expected average treatment effect (EATE) using the Hájek estimator and study rerandomization under interference, a design-stage procedure that restricts the assignment space to allocations with sufficiently small covariate imbalance. Our framework also allows the covariates used for rerandomization to depend on the treatment assignment itself, such as the proportion of treated neighbors, which naturally arises in settings with interference. We show that, even under interference, rerandomization can improve estimation precision asymptotically relative to unrestricted Bernoulli randomization, relying only on mild conditions on the dependence structure across units. When a conservative dependence graph is available, we further develop an optimization-based conservative variance estimator for inference under rerandomization.

Metric graphs are generalisations of linear networks and provide a natural framework for the definition of continuously-indexed Gaussian processes. We define a new class of distances on these topologies, termed polyharmonic distances, which unify and extend the spectral construction underlying the effective resistance distance and the biharmonic one. We give both a spectral and a variational characterisation. Furthermore, we show an explicit class of stochastic processes whose variograms coincide with the squared polyharmonic distances. Finally, we show how these metrics can be composed with suitable completely monotonic functions to define isotropic processes having any prescribed finite-order mean-square differentiability along the edges and satisfying the Kirchhoff conditions up to order one at the vertices.

Conformal prediction provides distribution-free finite-sample marginal coverage, but post-hoc calibration data may be too scarce to learn how uncertainty varies across inputs. Meanwhile, abundant covariates can often be labeled cheaply by domain models or general-purpose language models. We study whether these synthetic labels can improve conditional coverage when only a small trusted sample is available. Building on score-quantile regression, we introduce prediction-powered quantile learning: a synthetic-labeled pool estimates pinball risk, paired trusted and synthetic outcomes correct its bias, and an independent trusted split performs final conformalization. Profiling pinball risk over scalar corrections reveals that population conditional-coverage error is its functional gradient; the corresponding Hessian removes global shifts and weights remaining shape error by boundary density. Composing this geometry with prediction-powered learning yields a three-resource expansion and a benefit–cost rule for synthetic power. Across eight regression benchmarks, synthetic-powered quantile learning substantially improves downstream conditional coverage while preserving marginal validity and producing more compact prediction sets. A human-rating study finds similar gains from external LLM labels and exposes a quality–quantity–cost tradeoff.

Weighted split conformal prediction reweights calibration scores by the likelihood ratio between the test and training covariate distributions and guarantees marginal coverage under covariate shift. We study its coverage conditional on the calibration data. An elementary argument, based on a single concentration inequality at a fixed population quantile, gives explicit training-conditional bounds without unspecified constants, and shows that the relevant scale is not the supremum of the likelihood ratio but a variance proxy built from the chi-squared divergence of the shift and from the average of the ratio over the part of the test population, of probability equal to the miscoverage level, where it is largest. A two-point lower bound shows that the root-m rate and the chi-squared contribution are intrinsic to the shift. Run at an explicitly inflated level, the weighted quantile becomes a deterministic PAC prediction set. We compare it with randomized rejection sampling and with importance-weighted learn-then-test and, through a certified choice of a clipping level for the likelihood ratio, map the regime in which each gives the narrower valid set. The analysis extends to estimated likelihood ratios and to tail functionals estimated from an unlabeled source sample, which yields a fully finite-sample certificate.

Streaming data, characterized by high volume, rapid arrival rates, and evolving distributions, have become increasingly prevalent in modern applications. Developing efficient and reliable estimation procedures is therefore essential for real-time statistical analysis. However, most existing online estimation methods rely on the assumption of batch homogeneity, which can be violated in practice due to abnormal batches, distributional shifts, or other forms of batch heterogeneity. To address this challenge, we develop renewable online expectile regression procedures for heterogeneous streaming data. Specifically, we propose two complementary strategies for handling abnormal batches: (1) a detection-based approach that employs a sequential monitoring mechanism based on score test statistics to identify and remove potentially abnormal batches; and (2) an adaptive-weighting approach that assigns data-driven weights to incoming batches, reducing the influence of abnormal or drifting batches while retaining information from reliable observations. Both strategies rely solely on score test statistics and can be seamlessly integrated into existing renewable estimation and inference frameworks without requiring additional structural assumptions. Furthermore, to enhance robustness against heavy-tailed errors and outliers, we replace the conventional l2 loss with the Huber loss and develop a robust extension of renew?able online expectile regression. Extensive simulation studies and analyses of clinical datasets demonstrate that the proposed methods achieve improved estimation accuracy and robustness in the presence of batch heterogeneity. Overall, the proposed framework provides a flexible and effective solution for renewable expectile regression in complex streaming data environments.

Background. Magnetic resonance imaging (MRI) is central to Alzheimer's disease research and clinical evaluation, yet timing of first MRI after cohort entry varies substantially. In aging cohorts, many participants die before imaging, and treating death as noninformative censoring can distort inference on neuroimaging access and conceal disparities. Objective. To quantify individual-level determinants and center-level heterogeneity in timing of first neuroimaging while accounting for the competing risk of death. Methods. We analyzed National Alzheimer's Coordinating Center Uniform Data Set v3 linked to MRI records from 2015 through March 2025. The study included 20,867 participants aged 50-95 years without dementia at baseline and with known APOE {\epsilon}4 status. Time from baseline to first post-baseline MRI was the primary event, with death before MRI treated as a competing event. We fit Bayesian multilevel cause-specific accelerated failure time models with Alzheimer's Disease Center random intercepts, using Weibull and log-logistic models for MRI timing and death, respectively. Frequentist accelerated failure time and Cox models were used for sensitivity analyses. Results. APOE {\epsilon}4 was not credibly associated with timing of first MRI. Older age, lower educational attainment, and non-White race were associated with delayed MRI acquisition. Center-level variation in MRI timing was substantial. Conversely, APOE {\epsilon}4 homozygosity was associated with earlier death prior to MRI, alongside strong effects of age and cognitive impairment. Conclusions. Timing of first MRI in Alzheimer's research cohorts is driven primarily by demographic, social, and center-level factors rather than genetic risk. Accounting for competing mortality and site heterogeneity is necessary to avoid biased neuroimaging samples and support equitable Alzheimer's research.

This is mostly a non-technical note, reflecting the author's philosophy and personal views on time series analysis, with references limited to only a few representatives for brevity. The Threshold Principle, formally announced in Tong (1990), modernised time series analysis by introducing a collection of sub-systems to model complex nonlinear dynamics. We explore the conceptual architecture of the Threshold Principle drawing parallels and contrasts with artificial neural network in machine learning. We trace the influential adoption of Threshold Autoregression in econometrics. We examine a smooth extension, namely the smooth threshold autoregression introduced by Chan and Tong (1986) that was later popularized in the Econometric literature. We sound cautions to help econometric users to avoid misuse of this model. Furthermore, we examine how we can systematically apply the Threshold Principle to conditional variance to enable meaningful volatility classification. Finally, we mention some of the modern applications of the Threshold Principle to non-real-valued domains, underscoring its enduring half-century methodological significance as embodied in the threshold autoregression.

As recursive self-improvement (RSI) rapidly advances, reliable evaluation becomes critical for guiding adaptive search. RSI typically relies on finite evaluation resources, such as fixed benchmarks, to determine which modifications are retained and what is proposed next. However, when these finite resources are repeatedly reused, new candidates are proposed based on feedback from the same evaluation set, so the search trajectory can adaptively overfit and empirical improvement may not reflect genuine population improvement on the underlying task distribution. Some existing methods account for multiple comparisons but assume that candidates are chosen independently of the evaluation set, and therefore do not control this adaptive dependence. To address this, we propose REUSE (Risk-controlled Evaluation Under Sequential Evolution), a certified evaluation and promotion framework that allows a fixed evaluation set to support repeated adaptive decisions while providing statistical guarantees. For a user-specified error level $\alpha$, with probability at least $1-\alpha$, every promoted modification is a genuine population improvement on the underlying task distribution. REUSE achieves this by strictly limiting the evaluation feedback returned to the search process and accounting for possible promotion histories within the error budget. We develop detailed statistical theory for RSI evaluation in this setting, including simultaneous error control, valid lower bounds on cumulative improvement, and a characterization of the fundamental limits of adaptive evaluation reuse. In live self-improvement experiments, REUSE commits substantially fewer false promotions than evaluation frameworks from current RSI systems and error-controlled baselines, reducing the proportion of false promotions from up to 20.7% to 0%, while achieving final true population performance comparable to the best baselines.

For decades, statistical inference has largely been developed one problem at a time. Given a scientific target, such as a treatment effect or a regression function, statisticians design a problem-specific estimator together with a procedure for quantifying its uncertainty. This paper proposes a different paradigm. We focus on a classical problem in statistical inference, confidence interval construction, and develop TabCon, an amortized inference system built on a tabular foundation model that produces confidence intervals for new datasets through a simple forward pass. The key methodological ingredients of TabCon are a sparse mixture-of-experts architecture and reinforcement-learning-based post-training that calibrate the resulting confidence intervals to a desired coverage level. Across a wide range of benchmark datasets, TabCon attains near-nominal coverage while producing short confidence intervals. At inference time, it also offers considerably greater computational efficiency, running 50 times faster than the classical bootstrap procedure, even when the latter uses only 50 bootstrap samples.

Time-to-event outcomes are often collected together with auxiliary outcomes that may provide additional information about baseline risk. We develop a semiparametric approach for incorporating such information into Cox regression without specifying a joint likelihood. The survival outcome follows a Cox proportional hazards model and a continuous auxiliary outcome follows a partially linear model, with separate nonparametric baseline covariate effects linked through a quadratic penalty. When these effects coincide and the outcome scores satisfy the information identities and a first-order orthogonality condition, we derive the sandwich covariance of the penalized estimator and show that, for any fixed penalty level, the asymptotic variance of the Cox regression estimator is no greater than that under separate estimation. We further characterize departures from the shared-effect setting. Local differences of order \(n^{-1/2}\) induce an explicit mean shift in the limiting distribution, yielding a direct bias–variance trade-off, whereas fixed differences generally alter the population target under nonvanishing penalization. These results motivate an adaptive penalty that borrows information when the fitted covariate effects are close and approaches separate estimation when a persistent difference is detected. Simulations and a real world data analysis demonstrate the validity and effectiveness of the proposed method.

We study entity ranking and inference under the Bradley–Terry–Luce (BTL) model using pairwise comparisons collected over sparse comparison graphs. In practice, collecting high-quality human judgments can be expensive and time-consuming, motivating the use of synthetic data augmentation in model training. We analyze an iterative synthetic augmentation workflow in which synthetic comparisons generated from fitted models are successively added to the original dataset. In this process, the proportion of real data may vanish as the number of iterations grows. However, emerging literature has shown that recursive training on synthetic data can lead to model collapse, raising concerns about the statistical reliability of such augmentation procedures. To this end, we systematically analyze the resulting MLE in finite-sample, high-dimensional regimes. For the resulting iterative maximum likelihood estimator (MLE), we derive its optimal finite-sample $\ell_2$ and $\ell_{\infty}$ statistical rates and establish its asymptotic normality under natural identifiability conditions. We further characterize regimes in which model collapse is avoided despite the diminishing fraction of real data. We validate our theoretical findings through large-scale numerical experiments and an application to the Arena Human Preference 140k dataset.

Learning the structure of latent factor models involves two central challenges: (1) estimating the number of latent factors and (2) learning the support of the mapping from latent variables to observed variables. This is especially challenging for nonparametric regimes and nonlinear settings. We propose a method for latent structure learning, based on pairwise dependence measures on the observed variables using a graph-theoretic representation. We show that both the number of latent factors and nonlinear mapping structure can be identified from the distribution of observed variables under mild structural assumptions. Unlike prior work restricted to linear correlations, we establish identifiability and consistency for a general class of dependence measures under nonlinear factor models. This motivates a Dependence Thresholding (DT) algorithm, which jointly estimates the number of latent factors and nonlinear mapping structure from observational data alone. We pair this with a neural network architecture constrained by the nonlinear mapping structure, to recover the nonlinear function. Through simulation studies, we show that the DT algorithm is accurate in practice, even when using flexible methods such as neural networks, and exhibits robustness against violations of its assumptions in high-dimensional settings.

Standard diagnostic procedures for assessing the goodness of fit of linear models include tests of the null hypothesis of no residual autocorrelation against the alternative of linear dependence. The literature proposes several portmanteau tests for residual autocorrelation in SARMA models, mainly focusing on two cases: short-term and single-seasonal autocorrelation. Since many time series exhibit multiple seasonal patterns, whose periodic components may interact with one another, diagnostic tests for residual autocorrelation in a multi-seasonal framework are needed. However, the literature still lacks portmanteau tests specifically designed for multiple seasonal autocorrelation. This paper addresses this gap by extending classical portmanteau tests to settings with multiple seasonalities. In addition, the proposed approach jointly tests for both short-term and multiple seasonal residual autocorrelation. Test statistics and their asymptotic distributions are defined. Then, Monte Carlo simulations are used to evaluate the performance of the tests and the consistency with the expected results is assessed using statistical tests. The results suggest that the proposed extension can serve as a useful goodness-of-fit diagnostic tool for the class of mSARIMA models. An application to road traffic data is also provided.

This paper develops a general two-point dependent wild bootstrap (DWB) for weakly dependent estimating equations. Its key feature is that the two-point marginal distribution and the latent serial dependence specification can be chosen separately. The construction combines a normalized two-point distribution with a stationary latent Gaussian process via a Gaussian copula transformation, includes dependent Rademacher and Mammen multipliers, and nests the classical iid two-point wild bootstrap as the serially independent case. The induced multiplier autocovariances determine the lag weights in a corresponding heteroskedasticity- and autocorrelation-consistent (HAC) covariance estimator, which coincides exactly with the conditional covariance of the bootstrap estimating-equation sum. We establish first-order bootstrap validity for asymptotically linear estimators by showing that the matched-HAC estimator consistently estimates the long-run covariance and that the bootstrap estimating-equation sum converges conditionally to the same Gaussian limit as its original-sample counterpart, yielding valid HAC-studentized $z$-tests and the corresponding Wald and Lagrange multiplier tests. Monte Carlo experiments in nonlinear generalized method of moments (GMM) and linear regression show that Rademacher DWB generally provides more accurate finite-sample size control for $z$-tests than the Mammen and Gaussian DWB. A GMM application to a nonlinear short-rate mean-reversion model illustrates the practical relevance of the proposed two-point DWB.

Semi-competing risks occur when individuals may experience a non-terminal event and a terminal event, where the terminal event censors the non-terminal event but not vice versa. In the presence of covariate-dependent censoring, augmented inverse probability of censoring weighting (AIPCW) framework has not been developed for the special setting of semi-competing risks which, unlike competing risks, have asymmetric event time structure and complex estimands. Using semiparametric theory on coarsened data, we carefully develop an AIPCW framework for semi-competing risks. When treatment effects are of interest, we further integrate this approach with augmented inverse probability of treatment weighting (AIPTW), yielding a framework for estimating causal estimands under covariate-dependent censoring. The resulting estimators are shown to be doubly robust. Using the proposed framework, we estimate treatment specific risks of: i) non-terminal event, ii) terminal event without the non-terminal event, and iii) terminal event following the non-terminal event. We evaluate the finite sample performance through simulations, and apply the method to data from the Honolulu Asia Aging Study to assess the causal effects of midlife heavy drinking on late life cognitive impairment and mortality.

Leaderboards rank models by their average scores on benchmark items, and they are consulted repeatedly while the evaluation is still running. Existing confidence intervals for a model's rank control their error rate only if they are computed once, after a number of items chosen in advance. If they are recomputed as results arrive, and the evaluation stops once they look decisive, their error rate exceeds its nominal level. Anytime-valid methods keep their guarantees at all sample sizes simultaneously and hence under any stopping rule. They exist for the accuracy of one model, for one pair of models and for the set of models that may be best. For pairwise battles they also give ranks. None gives ranks when all models are scored on the same items, which makes their scores dependent. We construct rank confidence sequences: for every model, a set of ranks that contains its true rank, simultaneously for all models and at all times, at a chosen error level $\alpha$, in finite samples. The construction combines betting e-processes, one for each ordered pair of models, with closed testing over the possible orderings of the models. It allows any dependence between the models' scores on an item. The method has two advantages. A leaderboard can be inspected after every item without inflating its error rate. The evaluation of each model can stop as soon as the question asked about it is answered, which saves compute. When results are examined only once, halfway through or later, little power is lost relative to fixed-sample methods. The paper quantifies these advantages in simulations and on public leaderboard data.

Deep ReLU networks are piecewise-affine mappings that partition the input space into cells, each characterized by a distinct activation pattern. This structure motivates fitting a local linear model within each cell to preserve predictive accuracy while improving interpretability. The challenge is to identify regimes that are stable, data-adaptive, and easy to explain. We propose REALM, a mixture of linear models whose regimes are induced by neural activation patterns. Because the number of activation cells in a deep neural network (DNN) can grow rapidly with depth, we first distill a deep teacher into a wide, shallow student network (WSSN), then binarize and cluster its hidden-layer activations to define the regimes and fit a linear model within each regime. Since the regimes are discovered from internal structure, the router does not carry the predictive burden. To make regime assignment interpretable, we train a multiclass logistic regression, the explanatory gate, to reproduce the regime assignments. The two-level structure is interpretable at both stages in terms of raw tabular or learned convolutional features: the gate identifies features that determine regime assignments, while the linear models identify features that drive predictions within each regime. We analyze an idealized setting that illustrates a trade-off between partition complexity and stability: as the number of regimes grows, finer partitions can improve approximation but may reduce regime-assignment stability. Experiments on tabular and image datasets show that REALM achieves competitive predictive performance relative to other DNN-guided mixture surrogates and inherently interpretable models while producing stable regime-level explanations.

The analysis of experimental or observational data often requires controlling for the effects of variables of secondary interest. Two common approaches to account for such parameters are grouping experimental or observational units into homogeneous groups (blocking), and observing quantitative variables on each one of them (covariance analysis). Often, both can be used and; therefore, comparing their performance poses a research question. Specifically, under randomized complete block designs where the blocks are defined by quantitative variables, there is interest in comparing the two-way Anova (TWA) with analysis of covariance (Ancova) models. Motivated by real-life problems coming from statistical consulting, we compared the performance of linear models considering block effects and those considering covariate effects from analytical and empirical perspectives. Models assumed Gaussian errors and included the effects of T treatments. The formal comparison relied on the theory of orthogonal projections and vector spaces under containment relationships of column spaces of the design matrices induced by conditions on the experimental design or data structure. We found asymptotic and small-sample conditions for the TWA to be at least as precise as the Ancova, as well as for these models to be equivalent. As to the empirical perspective, models were compared through a simulation study motivated by agronomical experiments. The results suggested that when the covariates show complex heterogeneity patterns, the Ancova outperforms the TWA with blocks defined by traditional approaches in terms of precision of location parameters, but not in hypothesis testing accuracy.

Prediction-powered inference (PPI) typically relies on point predictions on unlabeled data. When predictive distributions are available as in a wide range of applications, including predictions from LLMs, we introduce distribution-informed prediction-powered inference (DiPPI), a general framework for further improving statistical efficiency by using predictive distributions as auxiliary information in the spirit of PPI. We characterize the optimal use of this information through score calibration, derive the oracle efficiency for a finite-dimensional representation of the predictive distribution, and provide theoretical guarantees for positive learning with the cross-fitted DiPPI estimator. Through simulations and three real-data applications, we show that DiPPI achieves better efficiency than PPI methods based on point predictions. These gains arise when the predictive distribution contains score-relevant information that is partially lost in point predictions.

Spectral risk measures, including conditional value-at-risk (CVaR), generate a family of convex criteria for portfolio estimation. We study how the criterion should be chosen when different criteria share the same population minimizer, and whether the efficient criterion can itself be learned from data. We develop a general asymptotic theory for empirical spectral-risk minimization under estimated linear constraints. Under normal scale-mixture elliptical returns, all spectral risk measures identify the same population efficient portfolio, but their empirical minimizers have different sampling distributions. Their asymptotic covariance decomposes into a common component and a positive-semidefinite component scaled by a functional of the spectral measure, reducing efficiency to an optimization over probability measures. We characterize the efficiency-optimal spectral measure and show that single-level CVaR is generally inefficient. We then construct a fully data-adaptive estimator that learns the radial distribution and optimal spectral measure from the same observations used for portfolio estimation, yet has the same first-order distribution as the infeasible oracle. Simulations and an empirical application illustrate the method.

Vogels et al. (2024) presented an empirical comparison of Bayesian methods for structure learning in undirected Gaussian graphical models. The method implemented in the R package BGGM was run with equal prior probabilities for a null, negative, and positive partial correlation, implying a prior inclusion probability (equivalent to a prior graph density) of 2/3. The other Bayesian methods in the comparison used a prior graph density of 0.2 however. The data-generating densities ranged from 0.01 to 0.1. This resulted in a substantial overestimation of the inclusion probabilities of absent edges by BGGM. For a fair comparison of the performance of the different methods, I repeated the simulation using a prior inclusion probability of 0.2 using BGGM. In this case, the performance of BGGM is comparable with the other Bayesian methods.

Instead of having a single "yes" or "no" result from a test of the global null hypothesis that a function is increasing, we propose a multiple testing procedure of the function's increasingness at several points. If the global null is rejected, then multiple testing provides more information about why. If the global null is not rejected, then multiple testing can provide stronger evidence in favor of increasingness, by rejecting null hypotheses that the function is decreasing. Our approach uses high-level assumptions that apply to a broad class of causal and descriptive statistical models. By inverting the proposed multiple testing procedure that controls the familywise error rate, we also generate "inner" and "outer" confidence sets for the set of points at which the function is increasing. With high asymptotic probability, the inner confidence set is contained within the true set, whereas the outer confidence set contains the true set. We also improve power with stepdown and two-stage procedures. Simulation and empirical examples illustrate the new methodology, and all code is provided.

Random forests (RF) are tree-based models that capture complex, high-order predictor interactions. In biomedical studies, ordered outcomes often have outliers, skewness, or mixtures of continuous and ordinal values (e.g., due to detection limits). Standard RF splitting targets conditional means via squared errors and is sensitive to such irregularities. We propose a Wilcoxon regression tree that selects splits by maximizing a rank-based impurity reduction, equivalent to maximizing the squared Wilcoxon rank-sum statistic. Because the criterion depends only on outcome ranks, it is invariant to monotone transformations and naturally accommodates continuous, ordinal, or mixed outcomes. We develop the Wilcoxon random forest (WRF), which aggregates Wilcoxon regression trees via subsampling and estimates conditional distributions using forest-weighted empirical CDFs. We establish consistency of the WRF distribution estimator under regularity conditions. We evaluate distributional prediction using calibration diagnostics and continuous ranked probability scores, and define an out-of-bag permutation variable-importance measure. Simulations show that the WRF performs comparably to the standard quantile regression forest when errors are symmetric and homoscedastic, and yields improved quantile estimation and calibration when outcomes are skewed or heteroscedastic. We apply the WRF to predict CD4 cell count and HIV viral load six months after antiretroviral therapy initiation in a multicenter Latin American cohort, and the WRF improves threshold probability estimation and accommodates the large mass at the viral load detection limit.

Reference-based multiple imputation is used in longitudinal clinical trials to assess sensitivity to assumptions about outcomes unobserved after intercurrent events. Most existing methods target continuous outcomes and use multivariate normal working models. Scheduled count outcomes require a model that preserves integer support, skewness, overdispersion, longitudinal dependence, and an exposure-based rate interpretation. We propose visit-specific negative binomial (NB) margins linked by a Gaussian copula. Covariate-adjusted log rate models define the margins, while the copula captures longitudinal dependence. For missing outcomes in the active arm after a prespecified event, termed the trigger, assigned arm continuation retains the fitted active arm marginal mean, jump to reference uses the corresponding reference arm marginal mean, and the intermediate rule interpolates between these means on the log rate scale. Combined with the copula, the resulting NB margins determine an imputation distribution conditional on the retained history. We account for discreteness through randomized probability integral transform augmentation and fit the model with a custom Metropolis-within-Gibbs sampler. In targeted simulations, the model recovered the generating marginal and dependence parameters with little bias. In simulations with incomplete data, treatment effect estimates were closest to the corresponding complete data estimates when the imputation rule matched the mechanism governing outcomes after the trigger. We illustrate the method using repeated incontinence episode counts from a published trial in overactive bladder. Estimated rate ratios comparing active treatment with placebo remained below 1 under all reference-based assumptions, with modest attenuation toward the null and the greatest separation between rules at the final visit.

Generative AI systems are increasingly used, but aligning their outputs with user requirements poses a continuing challenge. Here, we aim to ensure that the distribution of an attribute of an AI-generated output aligns with a user-specified target. This is motivated by examples such as fairness, where we want to ensure that a protected attribute (e.g., gender, race, or age categories) follows a desired distribution, and synthetic data generation, where we want the generated data to be representative of a target distribution. We study the practically important black-box access setting, where a user can repeatedly query a generative AI model. The goal is to return $m\ge 1$ outputs whose joint attribute distribution is as close as possible to this target. For both exact and approximate alignment, we develop algorithms that minimize the expected number of queries to the generator, and we further demonstrate their optimality as the number of requested outputs $m \rightarrow \infty$. Experiments on text-to-image generation and geocoded persona generation tasks show that our post-processing algorithms improve statistical attribute alignment, complementing prompting-based interventions.