3 papers
econ.EM2019
An Econometric Perspective on Algorithmic Subsampling
Sokbae Lee, Serena Ng
Datasets that are terabytes in size are increasingly common, but computer bottlenecks often frustrate a complete analysis of the data. While more data are better than less, diminis…
stat.ME2018
High Dimensional Classification through -Penalized Empirical Risk Minimization
Le-Yu Chen, Sokbae Lee
We consider a high dimensional binary classification problem and construct a classification procedure by minimizing the empirical misclassification risk with a penalty on the numbe…
stat.CO2017
Exact computation of GMM estimators for instrumental variable quantile regression models
Le-Yu Chen, Sokbae Lee
We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a mixed integer…