Estimation and inference by stochastic optimization

DOI10.1016/J.JECONOM.2023.105638arXiv2205.03254OpenAlexW4390226310MaRDI QIDQ6193080

Jean-Jacques Forneron

Publication date: 13 February 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.03254

zbMATH Keywords

stochastic gradient descentM-estimation\(M\) out of \(n\) and multiplier bootstrap

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A fast subsampling method for nonlinear dynamic models
• A fast resample method for parametric and semiparametric models
• Dynamic discrete choice structural models: a survey
• Lectures on convex optimization
• An inequality for trace ideals
• Convergence of quasi-Newton matrices generated by the symmetric rank one update
• Inference from iterative simulation using multiple sequences
• MCMC convergence diagnosis via multivariate bounds on log-concave densities
• Rates of convergence of the Hastings and Metropolis algorithms
• Statistical inference for model parameters in stochastic gradient descent
• Bridging the gap between constant step size stochastic gradient descent and Markov chains
• On the computational complexity of MCMC-based estimators in large samples
• The variation of the spectrum of a normal matrix
• A Score Based Approach to Wild Bootstrap Inference
• Moment Consistency of the Exchangeably Weighted Bootstrap for Semiparametric M-estimation
• Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher
• The Stochastic Difference Between Econometric Statistics
• The convergence of variable metric matrices in unconstrained optimization
• Estimating Trade Flows: Trading Partners and Trading Volumes^*
• Acceleration of Stochastic Approximation by Averaging
• Quasi-Newton Methods, Motivation and Theory
• Split-panel Jackknife Estimation of Fixed-effect Models
• Poor (Wo)man's Bootstrap
• A bootstrap based on the estimating equations of the linear model
• Functions of Matrices
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Some methods of speeding up the convergence of iteration methods
• Bootstrap Standard Error Estimates for Linear Regression
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method

This page was built for publication: Estimation and inference by stochastic optimization