2 citations · 3 across the 5 of their papers we have counts for
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math.ST2021★ 1 cited
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…
q-fin.RM2021
Efficient Black-Box Importance Sampling for VaR and CVaR Estimation
Anand Deo, Karthyek Murthy
This paper considers Importance Sampling (IS) for the estimation of tail risks of a loss defined in terms of a sophisticated object such as a machine learning feature map or a mixe…
stat.ML2021★ 2 cited
Testing Group Fairness via Optimal Transport Projections
Nian Si, Karthyek Murthy, Jose Blanchet +1
We present a statistical testing framework to detect if a given machine learning classifier fails to satisfy a wide range of group fairness notions. The proposed test is a flexible…