270 citations · 352 across the 19 of their papers we have counts for
4 papers · 1 filter
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…
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 when random variables are heavy-tailed.…
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…
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…