2 papers
math.OC2025
Distributionally Robust Gaussian Process Regression and Bayesian Inverse Problems
Xuhui Zhang, Jose Blanchet, Youssef Marzouk +2
We study a distributionally robust optimization formulation (i.e., a min-max game) for two representative problems in Bayesian nonparametric estimation: Gaussian process regression…
math.ST2024
Wasserstein-based Minimax Estimation of Dependence in Multivariate Regularly Varying Extremes
Xuhui Zhang, Jose Blanchet, Youssef Marzouk +2
We present the first minimax risk bounds for estimators of the spectral measure in multivariate linear factor models, where observations are linear combinations of regularly varyin…