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07/10/2023
Importance Sampling for Minimization of Tail Risks: A Tutorial
This paper provides an introductory overview of how one may employ impor...
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08/12/2022
The Limit of the Marginal Distribution Model in Consumer Choice
Given data on choices made by consumers for different assortments, a key...
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06/26/2022
Combining Retrospective Approximation with Importance Sampling for Optimising Conditional Value at Risk
This paper investigates the use of retrospective approximation solution ...
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08/04/2021
Statistical Analysis of Wasserstein Distributionally Robust Estimators
We consider statistical methods which invoke a min-max distributionally ...
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06/16/2021
Efficient Black-Box Importance Sampling for VaR and CVaR Estimation
This paper considers Importance Sampling (IS) for the estimation of tail...
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06/02/2021
Testing Group Fairness via Optimal Transport Projections
We present a statistical testing framework to detect if a given machine ...
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02/14/2021
Achieving Efficiency in Black Box Simulation of Distribution Tails with Self-structuring Importance Samplers
Motivated by the increasing adoption of models which facilitate greater ...
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08/22/2020
Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives
Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a mea...
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06/04/2019
Confidence Regions in Wasserstein Distributionally Robust Estimation
Wasserstein distributionally robust optimization (DRO) estimators are ob...
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05/19/2017