Publications

In order to improve prices at Amazon, we created Pricing Labs, a price experimentation platform. Since we do not price discriminate, we must run product-randomized experiments. We discuss how we randomize to prevent spillovers, run different experimental designs (i.e., crossovers) to improve precision, and control for demand trends and differences in treatment groups to get more precise treatment effect

We propose a novel architecture for time series models built upon state-space methods. We jointly estimate many, potentially multivariate, distributions defined using state-space models by partially pooling their parameters across the cross-section. These joint distributions define a novel recurrent neural network. By combining state-space methods and neural networks, we leverage the interpretability of

The fundamental challenge of drawing causal inference is that counterfactual outcomes are not fully observed for any unit. Furthermore, in observational studies, treatment assignment is likely to be confounded. Many statistical methods have emerged for causal inference under unconfoundedness conditions given pre-treatment covariates, including: propensity score-based methods, prognostic score-based methods

Generation of photo-realistic images, semantic editing and representation learning are only a few of many applications of high- resolution generative models. Recent progress in GANs have established them as an excellent choice for such tasks. However, since they do not provide an inference model, downstream tasks such as classification cannot be easily applied on real images using the GAN latent space.

Generating expressive and contextually appropriate prosody remains a challenge for modern text-to-speech (TTS) systems. This is particularly evident for long, multi-sentence inputs. In this paper, we examine simple extensions to a Transformer-based FastSpeech-like system, with the goal of improving prosody for multi-sentence TTS. We find that long context, powerful text features, and training on multi-speaker

In many contexts it is useful to predict the number of individuals in some population who will initiate a particular activity during a given period. For example, the number of users who will install a software update, the number of customers who will use a new feature on a website or who will participate in an A/B test. In practical settings, there is heterogeneity amongst individuals with regard to the

A/B tests serve the purpose of reliably identifying the effect of changes introduced in online services. It is common for online platforms to run a large number of simultaneous experiments by splitting incoming user traffic randomly in treatment and control groups. Despite a perfect randomization between different groups, simultaneous experiments can interact with each other and create a negative impact

We study the problem of observational causal inference with continuous treatment. We focus on the challenge of estimating the causal response curve for infrequently-observed treatment values. We design a new algorithm based on the framework of entropy balancing which learns weights that directly maximize causal inference accuracy using end-to-end optimization. Our weights can be customized for different

We present a simple and effective methodology for the generation of lexicons (word lists) that may be used in natural language scoring applications. In particular, in the finance industry, word lists have become ubiquitous for sentiment scoring. These have been derived from dictionaries such as the Harvard Inquirer and require manual curation. Here, we present an automated approach to the curation of lexicons

The authors enhance pretrained language models with Securities and Exchange Commission filings data to create better language representations for features used in a predictive model. Specifically, they train RoBERTa class models with additional financial regulatory text, which they denote as a class of RoBERTa-Fin models. Using different datasets, the authors assess whether there is material improvement

Calibration means that forecasts and average realized frequencies are close. We develop the concept of forecast hedging, which consists of choosing the forecasts so as to guarantee that the expected track record can only improve. This yields all the calibration results by the same simple basic argument while differentiating between them by the forecast-hedging tools used: deterministic and fixed point based

End-to-end neural data-to-text (D2T) generation has recently emerged as an alternative to pipeline-based architectures. However, it has faced challenges generalizing to new domains and generating semantically consistent text. In this work, we present DATATUNER, a neural, end-to-end data-to-text generation system that makes minimal assumptions about the data representation and target domain. We take a two-stage

We propose a reward function estimation framework for inverse reinforcement learning with deep energy-based policies. We name our method PQR, as it sequentially estimates the Policy, the Qfunction, and the Reward function. PQR does not assume that the reward solely depends on the state, instead it allows for a dependency on the choice of action. Moreover, PQR allows for stochastic state transitions. To

Inflation indices are important inputs into measuring aggregate productivity and cost of living and conducting monetary and economic policy. We want to contribute to the science of inflation measurement based on quality-adjusted (hedonic) prices. The main challenges today are: (1) the global trade environment (millions of products); (2) frequent price changes; (3) extremely high turnover for some products

This paper investigates the large sample properties of the variance, weights, and risk of high-dimensional portfolios where the inverse of the covariance matrix of excess asset returns is estimated using a technique called nodewise regression. Nodewise regression provides a direct estimator for the inverse covariance matrix using the Least Absolute Shrinkage and Selection Operator (Lasso) of Tibshirani