129 citations · 894 across the 17 of their papers we have counts for
19 papers
Weighted Averaged Stochastic Gradient Descent: Asymptotic Normality and Optimality
Ziyang Wei, Wanrong Zhu, Wei Biao Wu
Stochastic Gradient Descent (SGD) is one of the most popular algorithms in statistical and machine learning due to its computational and memory efficiency. Various averaging scheme…
High Dimensional Analysis of Variance in Multivariate Linear Regression
Zhipeng Lou, Xianyang Zhang, Wei Biao Wu
In this paper, we develop a systematic theory for high dimensional analysis of variance in multivariate linear regression, where the dimension and the number of coefficients can bo…
Long-term prediction intervals with many covariates
Sayar Karmakar, Marek Chudy, Wei Biao Wu
Accurate forecasting is one of the fundamental focus in the literature of econometric time-series. Often practitioners and policy makers want to predict outcomes of an entire time…
Simultaneous inference for time-varying models
Sayar Karmakar, Stefan Richter, Wei Biao Wu
A general class of time-varying regression models is considered in this paper. We estimate the regression coefficients by using local linear M-estimation. For these estimators, wea…
Optimal Gaussian Approximation for Multiple Time Series
Sayar Karmakar, Wei Biao Wu
We obtain an optimal bound for a Gaussian approximation of a large class of vector-valued random processes. Our results provide a substantial generalization of earlier results that…
A supreme test for periodic explosive GARCH
Stefan Richter, Weining Wang, Wei Biao Wu
We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH (generalized autoregressive conditional heteroskedasticity) process. Nam…