From the 1 of 12 linked papers with an AI index.
12 papers
Probability of worthwhile effect of monotone-response treatments
Benjamin Côté, Ruodu Wang
The paper derives the best- and worst-case probabilities that a nonnegative (monotone) treatment effect exceeds a specified threshold when only marginal outcome distributions are k…
Diamond transports in quadratic-form and distorted optimal transport
Ruodu Wang, Zhenyuan Zhang
The diamond transport is generated by the uniform law on a diamond-shaped copula support. Since a classical optimal transport (OT) objective is affine in the coupling, this transpo…
E-backtesting
Qiuqi Wang, Ruodu Wang, Johanna Ziegel
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most imp…
Risk sharing, measuring variability, and distortion riskmetrics
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone…
Elementary proofs of several results on false discovery rate
Ruodu Wang
We collect self-contained elementary proofs of four results in the literature on the false discovery rate of the Benjamini-Hochberg (BH) procedure for independent or positive-regre…
Composite Sorting
Job Boerma, Aleh Tsyvinski, Ruodu Wang +1
This paper introduces an assignment model with concave costs of skill gaps, which arise generally when firms mitigate costs of mismatch as in Stigler (1939) and Laffont and Tirole…