SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES

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Efficiently Breaking the Curse of Horizon in Off-Policy Evaluation with Double Reinforcement Learning (2019, neutral): “For simplicity and since this question is tangential to our work, similarly to Komunjer and Vuong (2010) and in the spirit of Stein (1956), we simply take Eq.”
ON THE ASYMPTOTIC EFFICIENCY OF GMM (2013, background): “Komunjer and Vuong (2010) derive the semiparametric efficiency bound for quantile models in time series.”
Efficiently Breaking the Curse of Horizon: Double Reinforcement Learning in Infinite-Horizon Processes (2019, unknown): “For simplicity and since this question is tangential to our work, similarly to Komunjer and Vuong (2010) and in the spirit of Stein (1956), we simply take Eq.”