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stat.ML2023
Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves
Xiaohong Chen, Yuan Liao, Weichen Wang
General nonlinear sieve learnings are classes of nonlinear sieves that can approximate nonlinear functions of high dimensional variables much more flexibly than various linear siev…
stat.ML2021
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…