270 citations · 352 across the 19 of their papers we have counts for
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math.ST2016★ 270 cited
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…
math.ST2016★ 31 cited
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…