91 citations · 111 across the 4 of their papers we have counts for
8 papers
Self-driving car safety quantification via component-level analysis
Juozas Vaicenavicius, Tilo Wiklund, Austė Grigaitė +3
In this paper, we present a rigorous modular statistical approach for arguing safety or its insufficiency of an autonomous vehicle through a concrete illustrative example. The meth…
Evaluating model calibration in classification
Juozas Vaicenavicius, David Widmann, Carl Andersson +3
Probabilistic classifiers output a probability distribution on target classes rather than just a class prediction. Besides providing a clear separation of prediction and decision m…
Bayesian sequential least-squares estimation for the drift of a Wiener process
Erik Ekström, Ioannis Karatzas, Juozas Vaicenavicius
Given a Wiener process with unknown and unobservable drift, we try to estimate this drift as effectively but also as quickly as possible, in the presence of a quadratic penalty for…
Monotonicity and robustness in Wiener disorder detection
Erik Ekström, Juozas Vaicenavicius
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change dri…
Optimal stopping of a Brownian bridge with an unknown pinning point
Erik Ekström, Juozas Vaicenavicius
The problem of stopping a Brownian bridge with an unknown pinning point to maximise the expected value at the stopping time is studied. A few general properties, such as continuity…
Asset liquidation under drift uncertainty and regime-switching volatility
Juozas Vaicenavicius
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary pr…
Optimal liquidation of an asset under drift uncertainty
Erik Ekström, Juozas Vaicenavicius
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about…
Bayesian sequential testing of the drift of a Brownian motion
Erik Ekström, Juozas Vaicenavicius
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the - loss function and a constant cost o…