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Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016

We derive strong approximations to the supremum of the non-centered empirical process indexed by a possibly unbounded …

Persistent link: https://www.econbiz.de/10011524717

Gaussian approximation of suprema of empirical processes

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016 - Revised August 24, 2016

require uniform boundedness of the class of functions. The proof of the approximation theorem builds on a new coupling … the supremum type statistics under weak regularity conditions, especially concerning the bandwidth and the number of …

Persistent link: https://www.econbiz.de/10011525808

Doubly robust uniform confidence band for the conditional average treatment effect function

Lee, Sokbae; Okui, Ryo; Wang, Yoon-Jae - 2016 - This version: January 2016

In this paper, we propose a doubly robust method to present the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a situation where a large number of covariates are needed for identifying the average treatment effect but the covariates of...

Persistent link: https://www.econbiz.de/10011412143

Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...

Persistent link: https://www.econbiz.de/10009620388