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Intersection Bounds: Estimation and Inference
Victor Chernozhukov, Sokbae Lee, Adam M. Rosen
We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or…
Posterior Inference in Curved Exponential Families under Increasing Dimensions
Alexandre Belloni, Victor Chernozhukov
This work studies the large sample properties of the posterior-based inference in the curved exponential family under increasing dimension. The curved structure arises from the imp…
L1-Penalized Quantile Regression in High-Dimensional Sparse Models
Alexandre Belloni, Victor Chernozhukov
We consider median regression and, more generally, a possibly infinite collection of quantile regressions in high-dimensional sparse models. In these models the overall number of r…