324 citations · 699 across the 35 of their papers we have counts for
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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…
stat.ML2020
Least Squares Estimation Using Sketched Data with Heteroskedastic Errors
Sokbae Lee, Serena Ng
Researchers may perform regressions using a sketch of data of size instead of the full sample of size for a variety of reasons. This paper considers the case when the regre…