Compensator-based estimating equations unify several moment methods for compact-memory multivariate Hawkes processes, delivering uniform high-probability O(sqrt(log T / T)) rates, asymptotic normality, and exact efficiency-loss quantification relative to the likelihood score.
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New asymptotically pivotal and identification-robust nonparametric tests for parameters in linear IV models handling unknown heteroskedasticity.
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Optimal Estimating Equations for Compact-Memory Hawkes Processes
Compensator-based estimating equations unify several moment methods for compact-memory multivariate Hawkes processes, delivering uniform high-probability O(sqrt(log T / T)) rates, asymptotic normality, and exact efficiency-loss quantification relative to the likelihood score.
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Pivotal and identification-robust nonparametric inference in linear IV models
New asymptotically pivotal and identification-robust nonparametric tests for parameters in linear IV models handling unknown heteroskedasticity.