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Wei-Biao Wu

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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
Preprint Aug 2026

Bandable Cumulant Tensors: Optimal Estimation and Applications in Non-Gaussian Data Modeling

Higher-order cumulants capture the non-Gaussian dependence that covariance misses, but they are hard to use in high dimensions. An order-$d$ cumulant tensor has $p^d$ entries, and the plug-in sample cumulant is generally not even rate-optimal under the tensor spectral norm. For ordered data, both difficulties admit one...

Run-Shi Tang, An-Ru R. Zhang, Yuefeng Han et al. · 0 citations

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