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03/17/2022
Fighting Noise with Noise: Causal Inference with Many Candidate Instruments
Instrumental variable methods provide useful tools for inferring causal ...
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02/23/2022
Mirror Descent Strikes Again: Optimal Stochastic Convex Optimization under Infinite Noise Variance
We study stochastic convex optimization under infinite noise variance. S...
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01/05/2022
Group structure estimation for panel data – a general approach
Consider a panel data setting where repeated observations on individuals...
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12/14/2021
The integrated copula spectrum
Frequency domain methods form a ubiquitous part of the statistical toolb...
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11/01/2021
Concentration bounds for the extremal variogram
In extreme value theory, the extremal variogram is a summary of the tail...
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12/11/2020
Structure learning for extremal tree models
Extremal graphical models are sparse statistical models for multivariate...
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08/07/2020
Rank-based Estimation under Asymptotic Dependence and Independence, with Applications to Spatial Extremes
Multivariate extreme value theory is concerned with modeling the joint t...
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06/14/2020
An Analysis of Constant Step Size SGD in the Non-convex Regime: Asymptotic Normality and Bias
Structured non-convex learning problems, for which critical points have ...
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07/22/2019
Multiple block sizes and overlapping blocks for multivariate time series extremes
Block maxima methods constitute a fundamental part of the statistical to...
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05/21/2019
Inference for Change Points in High Dimensional Data
This article considers change point testing and estimation for high dime...
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09/17/2018
Testing relevant hypotheses in functional time series via self-normalization
In this paper we develop methodology for testing relevant hypotheses in ...
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08/31/2018
On Second Order Conditions in the Multivariate Block Maxima and Peak over Threshold Method
Second order conditions provide a natural framework for establishing asy...
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07/31/2018
On the Unbiased Asymptotic Normality of Quantile Regression with Fixed Effects
Nonlinear panel data models with fixed individual effects provide an imp...
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04/04/2018
Model assessment for time series dynamics using copula spectral densities: a graphical tool
Finding parametric models that accurately describe the dependence struct...
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01/15/2018