Computationally efficient double bootstrap variance estimation

Scalable Ensemble Learning and Computationally Efficient Variance Estimation Scalable Ensemble Learning and Computationally Efficient Variance Estimation Scalable Ensemble Learning and Computationally Efficient Variance Estimation

Scalable Ensemble Learning and Computationally Efficient Variance Estimation

Computationally efficient approximation for the double bootstrap mean bias correction

We propose a computationally efficient approximation for the double bootstrap bias adjustment factor without using the inner bootstrap loop. The approximation converges in probability to the population bias correction factor. We study the finite sample properties of the approximation in the context of a linear instrumental variable model. In identified versions of the model considered in our Mo...

Computationally efficient 2-D spectral estimation

We present an efficient implementation of the 2-D Amplitude Spectrum Capon (ASC) estimator, denoted the 2-D Burg-Based ASC (BASC) estimator. The algorithm, which will depend only on the (forward) linear prediction matrices and the (forward) prediction error covariance matrices, can be implemented using the 2-D Fast Fourier Transform. To compute the needed prediction matrices, we make use of a r...

Computationally Efficient Robust Estimation of Sparse Functionals

Many conventional statistical procedures are extremely sensitive to seemingly minor deviations from modeling assumptions. This problem is exacerbated in modern high-dimensional settings, where the problem dimension can grow with and possibly exceed the sample size. We consider the problem of robust estimation of sparse functionals, and provide a computationally and statistically efficient algor...

Statistically and Computationally Efficient Variance Estimator for Kernel Ridge