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08/25/2023
SGMM: Stochastic Approximation to Generalized Method of Moments
We introduce a new class of algorithms, Stochastic Generalized Method of...
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09/29/2022
Fast Inference for Quantile Regression with Tens of Millions of Observations
While applications of big data analytics have brought many new opportuni...
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03/01/2022
Minimax Risk in Estimating Kink Threshold and Testing Continuity
We derive a risk lower bound in estimating the threshold parameter witho...
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09/17/2021
Regression Discontinuity Design with Potentially Many Covariates
This paper studies the case of possibly high-dimensional covariates in t...
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06/06/2021
Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling
We develop a new method of online inference for a vector of parameters e...
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08/25/2020
Powerful Inference
We develop an inference method for a (sub)vector of parameters identifie...
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08/11/2020
Frequent or Systematic Changes? discussion on "Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection."
We discuss Fryzlewicz's (2020) that proposes WBS2.SDLL approach to detec...
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06/18/2020