IBM Research


Publications  

Submitted papers:

  1. Honest Confidence Regions for a Regression Parameter in Logistic Regression with a Large Number of Controls, with Victor Chernozhukov and Ying Wei (pdf)
  2. Uniform Post Selection Inference for LAD Regression Models and Other Z-estimators, with Victor Chernozhukov and Kengo Kato (pdf)
  3. On the Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results, with Victor Chernozhukov, Denis Chetverikov and Kengo Kato (pdf)
  4. Conditional Quantile Processes based on Series or Many Regressors, with Victor Chernozhukov and Ivan Fernandez-Val (pdf)
  5. Approximate group context tree: applications to dynamic programming and dynamic choice models, with Roberto I. Oliveiria (pdf)
  6. Does Private Information about Inventories Matter?, with Giuseppe Lopomo and Shouqiang Wang (pdf, former title: Reverse Ranking and Overshooting in Supply Chains with Private Inventory Information)
  7. Lasso Methods for Gaussian Instrumental Variables Models, with Victor Chernozhukov and Chris Hansen (pdf)
Published papers:
  1. Pivotal Estimation via Square-root Lasso in Nonparametric Regression, with Victor Chernozhukov and Lie Wang (pdf, accepted at the Annals of Statistics)
  2. Posterior Inference in Curved Exponential Families under Increasing Dimensions, with Victor Chernozhukov (pdf, accepted at The Econometrics Journal)
  3. Inference on Treatment Effects After Selection Amongst High-Dimensional Controls, with Victor Chernozhukov and Christian Hansen (pdf, supplementary material, accepted at Review of Economic Studies)
  4. Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain, with Daniel Chen, Victor Chernozhukov, and Chris Hansen (pdf, Econometrica, 2012, 80(6), 2369-2430)
  5. Inference Methods for High-Dimensional Sparse Econometric Models, with Victor Chernozhukov and Chris Hansen (Advances in Economics and Econometrics, 10th World Congress of Econometric Society, Volume III, Econometrics, Edited by Daron Acemoglu, Manuel Arellano and Eddie Dekel, 245--295.)
  6. Least Squares After Model Selection in High-dimensional Sparse Models, with Victor Chernozhukov (Bernoulli Volume 19, Number 2 (2013), 521-547, pdf, Former title: Post-L1-Penalized Estimators in High-Dimensional Linear Regression Models.)
  7. Optimal Admission and Scholarship Decisions: Choosing Customized Marketing Offers to Attract a Desirable Mix of Customers, with William Boulding, Richard Staelin, and Mitchell Lovett (pdf, Marketing Science July/August 2012 31:621-636)
  8. Square-root lasso: Pivotal Recovery of Sparse Signals via Conic Programming with Victor Chernozhukov and Lie Wang (Biometrika (2011) 98 (4): 791-806, pdf)
  9. On multivariate quantiles under partial ordering, with Robert L. Winkler (Annals of Statistics, Volume 39, Number 2, 2011, 1125-1179, pdf).
  10. L1-Penalized Quantile Regression in High-Dimensional Sparse Models, with Victor Chernozhukov (Annals of Statistics, Volume 39, Number 1, 2011, 82-130, pdf, R code for Monte Carlo, simple MatLab implementation that requires SDPT3).
  11. High-Dimensional Sparse Econometric Models, an Introduction, with Victor Chernozhukov, Inverse Problems and High-Dimensional Estimation, Springer Lecture Notes in Statistics, 2011, pp. 121-156, pdf.
  12. Multi-dimensional Mechanism Design: Finite Dimensional Approximations and Efficient Computation, with Giuseppe Lopomo and Shouqiang Wang (Operations Research, Volume 58 Issue 4-Part-2, 2010, pp. 1079-1089, pdf).
  13. An Efficient Re-scaled Perceptron Algorithm for Conic Systems, with Robert M. Freund and Santosh Vempala (Mathematics of Operations Research, Volume 34 Issue 3, 2009, pp. 621-641, pdf).
  14. On the Computational Complexity of Monte Carlo Markov Chain Based Estimators in Large Samples, with Victor Chernozhukov (Annals of Statistics, Vol. 37, No. 4, 2009, pp. 2011-2055, pdf).
  15. On the Behrens-Fisher problem: a globally convergent algorithm and a finite-sample study of the Wald, LR and LM tests, with Gustavo Didier (Annals of Statistics, 2008, Vol. 36, No. 5, pp. 2377-2408, pdf).
  16. Optimal Product Line Design: Efficient Methods and Comparisons, with Robert M. Freund, Matthew Selove, and Duncan Simester (Management Science Vol. 54, No. 9, September 2008, pp. 1544-1552, pdf).
  17. On the Second-Order Feasibility Cone: Primal-Dual Representation and Efficient Projection, with Robert M. Freund. (SIAM Journal on Optimization, Volume 19, Issue 3, pp. 1073-1092, 2008, pdf).
  18. Dynamic Bundle Methods, with Claudia Sagastizabal (Mathematical Programming, Volume 120, Number 2 / September, 2009, pp. 289-311, pdf).
  19. Norm-Induced Densities and Testing the Boundedness of a Convex Set (Mathematics of Operation Research, Vol. 33, No. 1, February 2008, pp. 235-256, pdf).
  20. A geometric analysis of Renegar`s condition number, and its interplay with conic curvature, with Robert M. Freund (Mathematical Programming, Volume 119, Issue 1, 2009, pp. 95-107, pdf).
  21. Projective Re-normalization for Improving the Behavior of a Homogeneous Conic Convex System, with Robert M. Freund (Mathematical Programming 118, pp. 279-299, 2009, pdf).
  22. On the Symmetry Function of a Convex Set, with Robert M. Freund (Mathematical Programming, Issue: Volume 111, Numbers 1-2 / January, 2008, Pages 57-93, pdf).
  23. Lagrangian Based Heuristic for the Linear Ordering Problem, with Abilio Lucena (pdf). Metaheuristics: Computer Decision-Making, Kluwer Academic Publishers, 2004, pp. 37-64.
  24. Bundle Relaxation and Primal Recovery of Unit Commitment Problems. The Brazilian Case, with Andre Diniz, Maria E. P. Maceira and Claudia Sagastizabal. Annals of Operation Research, 120, pp. 21-44, 2003 (pdf)
Other publications:
  1. Uncertainty Aversion applied to the Electrical Power, with Aloisio Araujo, PSR Technical Report 2011.
  2. Studies Integrating Geometry, Probability, and Optimization under Convexity, PhD Thesis, Massachusetts Institute of Technology, 2006.
  3. Introduction to Bundle Methods, IAP Lecture Notes 2005 (pdf).




 
Additional information  

    My CV is here

    Some papers are available via ArXiv


        Publications TeachingProfessional ExperienceConferences Links