arXiv subjects

Guilherme Vianna

Publications and source records attributed to Guilherme Vianna.

4 recordsLinked to original sources

arXiv2026

An Exact Tail Condition for the Largest Error in Estimating a Rank-One Direction

We consider a rectangular random matrix formed by adding a rank-one term to a matrix with independent entries. The direction on the left side of that term is estimated by the leading left singular vector, and the error is multiplied by the square of the size of the added term. For entries with mean zero and variance one, we identify the exact tail condition for the following statement to hold for every deterministic sequence of directions: the largest error over all sizes of the added term converges to the same fixed value determined by the limiting ratio of rows to columns. This condition (weaker than the existence of fourth moments) requires that the tail probability, multiplied by the fourth power of the threshold, to tend to zero. If it fails, convergence to this value already fails when both directions are coordinate vectors, even at a size fixed before the matrix is drawn. For regularly varying tails of order between two and four, the largest error tends to infinity.

math.PR↗

arXiv2026

Hard-Edge Determinant Fields and Second-Moment Universality for Random Matrix Ratios

We study the microscopic spectrum at the origin of ratios of independent complex Girko matrices. Under bounded-density and finite-moment assumptions, together with circular second-moment matching, we prove compact-uniform convergence of the normalized determinants to a random entire function constructed from the complex hard edge and an independent Ginibre array. The zero divisor of this limiting determinant field has the law of the infinite complex Ginibre process. Consequently, the first finitely many smallest and largest eigenvalue moduli, the inner and outer spectral radii, and eigenvalue counts in fixed bounded sets have universal limits depending only on the second moments. This answers the second-moment question posed by Chafaï, García-Zelada, and Xu for the spectral radii. We also obtain a multivariate determinant field for finitely many perturbation directions and prove the uniform hard-edge comparison needed to extend the conclusions to triangular arrays of atom laws.

math.PR↗

arXiv2026

Bandwidth-Free Inference for Recursive Nonlinear Impulse Response Functions

Recursive nonlinear impulse responses require an estimated innovation law whenever the impact shock is normalized by innovation ranks and future innovations are integrated out. The closest semiparametric recursive construction in the literature estimates the relevant innovation quantile functions smoothly and discusses a direct empirical-residual implementation without developing its complete first-order inference theory. We tackle this gap in a finite-dimensional nonlinear structural autoregression with unrestricted continuous marginal innovation distributions and a fixed normal-rank shock. Our estimator replaces each innovation quantile function with the empirical quantile of generated structural residuals and iterates the same structural transition. For any fixed collection of responses, we establish a joint \sqrt{T} asymptotic linear representation with four components: direct transition estimation, the effect of transition estimation on residual order statistics, ordinary innovation-quantile estimation, and the shifted impact quantile. After projection through the recursion, the quantile terms admit a residual-rank-and-spacing representation, yielding feasible inference without innovation-density estimation or quantile smoothing. We then characterize the propagated bias from smoothing, establish validity of a full recursive residual bootstrap, and derive the additional covariance contribution from a finite number of simulated paths, providing bandwidth-free inference for the empirical-residual version of the same normal-rank response used in the smooth recursive construction.

econ.EM↗

arXiv2026

Como medir o invisível? Guerras, pizzarias do Pentágono e o uso de variáveis proxy em econometria

Many economically relevant variables (risk, confidence, uncertainty) are latent and therefore not directly observable, which creates identification challenges in applied regressions. This text formalizes how omitting latent factors generates omitted-variable bias and discusses when including a proxy variable can mitigate it. We distinguish the case of a perfect proxy, which can eliminate the bias, from the more realistic case of an imperfect proxy, where residual bias remains and the estimated effect is attenuated. We propose a practical evaluation protocol based on four properties: relevance, conditional sufficiency, exogeneity, and stability. As an illustration, we use micromobility data from Arlington together with the U.S. Geopolitical Risk Index, estimating cointegration and a bivariate VEC model to interpret local activity as a high-frequency signal of the latent component of geopolitical tension.

econ.EM↗