111 citations · 262 across the 16 of their papers we have counts for
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stat.ML2021★ 19 cited
Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
We develop a new method of online inference for a vector of parameters estimated by the Polyak-Ruppert averaging procedure of stochastic gradient descent (SGD) algorithms. We lever…
econ.EM2021★ 5 cited
Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach
Rui Fan, Ji Hyung Lee, Youngki Shin
In this paper we propose the adaptive lasso for predictive quantile regression (ALQR). Reflecting empirical findings, we allow predictors to have various degrees of persistence and…