Karthyek Murthy

activity

20122026

most citedRobust Wasserstein Profile Inference and Applications to Machine Learning

270 citations · 352 across the 19 of their papers we have counts for

collaborators

Showing 2016 · math.PRShow all

2 papers · 2 filters

math.PR2016★ 1 cited

Exact and efficient simulation of tail probabilities of heavy-tailed infinite series

Henrik Hult, Sandeep Juneja, Karthyek Murthy

We develop an efficient simulation algorithm for computing the tail probabilities of the infinite series $S = \sum_{n \geq 1} a_{n} X_{n}$ when random variables $X_{n}$ are heavy-tailed.…

math.PR2016

Quantifying Distributional Model Risk via Optimal Transport

Jose Blanchet, Karthyek R. A. Murthy

This paper deals with the problem of quantifying the impact of model misspecification when computing general expected values of interest. The methodology that we propose is applica…