10 citations · 32 across the 25 of their papers we have counts for
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math.ST2019★ 10 cited
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…
math.ST2019★ 3 cited
Optimal Uncertainty Size in Distributionally Robust Inverse Covariance Estimation
Jose Blanchet, Nian Si
In a recent paper, Nguyen, Kuhn, and Esfahani (2018) built a distributionally robust estimator for the precision matrix of the Gaussian distribution. The distributional uncertainty…