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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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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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01/27/2021
Predictive Quantile Regression with Mixed Roots and Increasing Dimensions
In this paper we study the benefit of using the adaptive LASSO for predi...
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06/18/2020
Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate
In this paper, we estimate the time-varying COVID-19 contact rate of a S...
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03/06/2020
Complete Subset Averaging for Quantile Regressions
We propose a novel conditional quantile prediction method based on the c...
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11/20/2018