Related papers: Nonparametric instrumental regression with non-con…

We develop a unifying framework for Bayesian nonparametric regression to study the rates of contraction with respect to the integrated $L_2$-distance without assuming the regression function space to be uniformly bounded. The framework is…

Tikhonov regularization is studied in the case of linear pseudodifferential operator as the forward map and additive white Gaussian noise as the measurement error. The measurement model for an unknown function $u(x)$ is \begin{eqnarray*}…

This paper studies the problem of nonparametric estimation of a smooth function with data distributed across multiple machines. We assume an independent sample from a white noise model is collected at each machine, and an estimator of the…

In the context of regressing a response $Y$ on a predictor $X$, we consider estimating the local modes of the distribution of $Y$ given $X=x$ when $X$ is prone to measurement error. We propose two nonparametric estimation methods, with one…

Instrumental variables are widely used in econometrics and epidemiology for identifying and estimating causal effects when an exposure of interest is confounded by unmeasured factors. Despite this popularity, the assumptions invoked to…

We consider heteroscedastic nonparametric regression models, when both the mean function and variance function are unknown and to be estimated with nonparametric approaches. We derive convergence rates of posterior distributions for this…

We consider a class of learning problems in which an agent liquidates a risky asset while creating both transient price impact driven by an unknown convolution propagator and linear temporary price impact with an unknown parameter. We…

This paper studies linear overparameterized models in economic forecasting and highlights that including noise variables (regressors with no predictive power) regularizes the estimator. We consider a setting where both the outcome variable…

In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART)…

The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…

We consider nonparametric estimation of mean regression and conditional variance (or volatility) functions in nonlinear stochastic regression models. Simultaneous confidence bands are constructed and the coverage probabilities are shown to…

We consider joint Tikhonov- and Lavrentiev-regularization of control problems with pointwise control- and state-constraints. We derive error estimates for the error which is introduced by the Tikhonov regularization. With the help of this…

The regression discontinuity (RD) design is a popular approach to causal inference in non-randomized studies. This is because it can be used to identify and estimate causal effects under mild conditions. Specifically, for each subject, the…

A new nonparametric estimator of a convex regression function in any dimension is proposed and its convergence properties are studied. We start by using any estimator of the regression function and we \emph{convexify} it by taking the…

Sparse additive modeling is a class of effective methods for performing high-dimensional nonparametric regression. In this work we show how shape constraints such as convexity/concavity and their extensions, can be integrated into additive…

We consider the problem of adaptive inference on a regression function at a point under a multivariate nonparametric regression setting. The regression function belongs to a H\"older class and is assumed to be monotone with respect to some…

This paper considers a linear regression model with an endogenous regressor which arises from a nonlinear transformation of a latent variable. It is shown that the corresponding coefficient can be consistently estimated without external…

We study parameter estimation and asymptotic inference for sparse nonlinear regression. More specifically, we assume the data are given by $y = f( x^\top \beta^* ) + \epsilon$, where $f$ is nonlinear. To recover $\beta^*$, we propose an…

We consider inference from non-random samples in data-rich settings where high-dimensional auxiliary information is available both in the sample and the target population, with survey inference being a special case. We propose a regularized…

We provide general adaptive upper bounds for estimating nonparametric functionals based on second order U-statistics arising from finite dimensional approximation of the infinite dimensional models. We then provide examples of functionals…