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stat.ME2023★ 4 cited
Uncertainty Quantification and Confidence Intervals for Naive Rare-Event Estimators
Yuanlu Bai, Henry Lam
We consider the estimation of rare-event probabilities using sample proportions output by naive Monte Carlo or collected data. Unlike using variance reduction techniques, this naiv…
stat.ME2023
A Distributionally Robust Optimization Framework for Extreme Event Estimation
Yuanlu Bai, Henry Lam, Xinyu Zhang
Conventional methods for extreme event estimation rely on well-chosen parametric models asymptotically justified from extreme value theory (EVT). These methods, while powerful and…