179 citations · 254 across the 7 of their papers we have counts for
4 papers · 1 filter
Limit Theory for Online Expectile Estimation under Short and Long Range Dependence
Younghun Lee, Jake Zummo, Wei Biao Wu
Expectiles are tail-sensitive distributional summaries with important applications in financial risk measurement and forecasting, yet statistical theory for their online estimation…
Gaussian Limits for SGD Without Stationary Moments
Xiaoli Li, Wei Biao Wu
Temporal dependence can separate the Gaussian approximation of stochastic gradient descent from its stationary moments. For unmodified least-squares SGD, we construct a design with…
Online simultaneous inference for quantiles via smoothed stochastic gradient descent
Likai Chen, Georg Keilbar, Wei Biao Wu
This paper considers the estimation of quantiles via a smoothed version of the stochastic gradient descent (SGD) algorithm. By smoothing the score function with a bandwidth tied to…
Online Covariance Matrix Estimation in Stochastic Gradient Descent
Wanrong Zhu, Xi Chen, Wei Biao Wu
The stochastic gradient descent (SGD) algorithm is widely used for parameter estimation, especially for huge data sets and online learning. While this recursive algorithm is popula…