Supplementary Material Estimation of Conditional Moment Models Contents

This constant can sometimes be prohibitively large. We show that this approach has advantages in auto-tuning to the ill-posedness of the problem. Darolles et al. [ 2011 ] consider the closed form solution to the minimization problem, which takes the Darolles et al. [ 2011 ] take the latter approach to estimation by first estimating the conditional operators The crucial assumption in this line of work (see e.g. Hall et al. [ 2005 ], Darolles et al. [ 2011 ]) is what Our estimator adapts to these two quantities and automatically and optimally balances them, by imposing an RKHS norm penalty. Our work on sparse linear hypotheses provides a minimax formulation alternative to the Dantzig selector.