723 citations · 5.4k across the 110 of their papers we have counts for
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Locally Robust Semiparametric Estimation
Victor Chernozhukov, Juan Carlos Escanciano, Hidehiko Ichimura +2
Many economic and causal parameters depend on nonparametric or high dimensional first steps. We give a general construction of locally robust/orthogonal moment functions for GMM, w…
Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk
Alexandre Belloni, Mingli Chen, Victor Chernozhukov
We propose two types of Quantile Graphical Models (QGMs) --- Conditional Independence Quantile Graphical Models (CIQGMs) and Prediction Quantile Graphical Models (PQGMs). CIQGMs ch…
On cross-validated Lasso in high dimensions
Denis Chetverikov, Zhipeng Liao, Victor Chernozhukov
In this paper, we derive non-asymptotic error bounds for the Lasso estimator when the penalty parameter for the estimator is chosen using -fold cross-validation. Our bounds impl…