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Contextual Dynamic Pricing: Algorithms, Optimality, and Local Differential Privacy Constraints
In particular, we propose a stochastic gradient descent based ETC algorithm that achieves an optimal regret upper bound of order $d\sqrt{T}/\epsilon$, up to a logarithmic factor, where $\epsilon>0$ is the privacy parameter.
Estimation for conditional moment models based on martingale difference divergence
To overcome this identification issue, we further provide a two-step estimation procedure for the model with intercept parameters.
A Consistent ICM-based $χ^2$ Specification Test
In spite of the omnibus property of Integrated Conditional Moment (ICM) specification tests, they are not commonly used in empirical practice owing to, e. g., the non-pivotality of the test and the high computational cost of available bootstrap schemes especially in large samples.
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