This supplement contains 11 appendices with additional results and some omitted proofs. Appendices F-J include additional results for Sections 2-7, respectively. Appendix K gathers auxiliary results on algebra of covering entropies. Appendices L and M contain the proofs of Sections 4 and 5 omitted from the main text. Appendix N contains the proofs of Sections 6 omitted from the main text, together with the proofs of the additional results for Section 6 in Appendix I. Appendix O reports the results of a simulation experiment.
Belloni, Alexandre - Duke University
Chernozhukov, Victor - Massachusetts Institute of Technology
Fernandez-Val, Ivan - Boston University
Hansen, Christian B - University of Chicago