378 citations · 954 across the 33 of their papers we have counts for
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math.ST2021★ 4 cited
Inference for Low-Rank Models
Victor Chernozhukov, Christian Hansen, Yuan Liao +1
This paper studies inference in linear models with a high-dimensional parameter matrix that can be well-approximated by a ``spiked low-rank matrix.'' A spiked low-rank matrix has r…
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…