A single-regularization-parameter RKHS estimator for average marginal effects in partially linear IV models is shown to be consistent and asymptotically normal, with a valid Bayesian bootstrap for inference.
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Applies PCA to re-scaled exceedances under regular variation and proves uniform convergence of empirical reconstruction risk plus consistency of the estimated optimal projection subspace.
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Average Marginal Effects in One-Step Partially Linear Instrumental Regressions
A single-regularization-parameter RKHS estimator for average marginal effects in partially linear IV models is shown to be consistent and asymptotically normal, with a valid Bayesian bootstrap for inference.
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Principal Component Analysis for Multivariate Extremes
Applies PCA to re-scaled exceedances under regular variation and proves uniform convergence of empirical reconstruction risk plus consistency of the estimated optimal projection subspace.