270 citations · 352 across the 19 of their papers we have counts for
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Statistical Analysis of Wasserstein Distributionally Robust Estimators
Jose Blanchet, Karthyek Murthy, Viet Anh Nguyen
We consider statistical methods which invoke a min-max distributionally robust formulation to extract good out-of-sample performance in data-driven optimization and learning proble…
Confidence Regions in Wasserstein Distributionally Robust Estimation
Jose Blanchet, Karthyek Murthy, Nian Si
Wasserstein distributionally robust optimization estimators are obtained as solutions of min-max problems in which the statistician selects a parameter minimizing the worst-case lo…
Robust Wasserstein Profile Inference and Applications to Machine Learning
Jose Blanchet, Yang Kang, Karthyek Murthy
We show that several machine learning estimators, including square-root LASSO (Least Absolute Shrinkage and Selection) and regularized logistic regression can be represented as sol…
On distributionally robust extreme value analysis
Jose Blanchet, Fei He, Karthyek R. A. Murthy
We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against…