Author

Li-Kai Chen

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#machine learning Preprint May 2025

Online simultaneous inference for quantiles via smoothed stochastic gradient descent

This paper considers the estimation of quantiles via a smoothed version of the stochastic gradient descent (SGD) algorithm. By smoothing the score function with a bandwidth tied to the learning rate, we obtain estimates that are monotone in the quantile level at every iteration, while retaining the memory and computati...

Li-Kai Chen, Georg Keilbar, Wei-Biao Wu · 2 citations

Review Jul 2026

From Vector Autoregressions to AI-based Time Series Forecasting: A Review

It is argued that modern methods make progress by expanding the classical forecasting template: they allow more flexible dynamics, use larger information sets and training corpora, and represent richer predictive distributions, yet they often lack the inferential and structural tools that make classical models useful f...

Likai Chen, Weining Wang · 0 citations