Stochastics and Statistics Seminar

Abstract: (with Iman Modarressi and Amar Venugopal; arxiv.org/abs/2503.00725 We propose a machine-learning tool that yields causal inference on text in randomized trials. Based on a simple econometric framework in which text may capture outcomes of interest, our procedure addresses three questions: First, is the text affected by the treatment? Second, which outcomes is the effect on? And third, how complete is our description of causal effects? To answer all three questions, our approach uses large language models (LLMs) that suggest systematic…

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Abstract: In the context of linear regression, we construct a data-driven convex loss function with respect to which empirical risk minimisation yields optimal asymptotic variance in the downstream estimation of the regression coefficients. Our semiparametric approach targets the best decreasing approximation of the derivative of the log-density of the noise distribution. At the population level, this fitting process is a nonparametric extension of score matching, corresponding to a log-concave projection of the noise distribution with respect to the Fisher divergence.…

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