3 papers
stat.ML2024
Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions
Patrick Kuiper, Ali Hasan, Wenhao Yang +4
The goal of this paper is to develop distributionally robust optimization (DRO) estimators, specifically for multidimensional Extreme Value Theory (EVT) statistics. EVT supports us…
cs.LG2024
Neural McKean-Vlasov Processes: Distributional Dependence in Diffusion Processes
Haoming Yang, Ali Hasan, Yuting Ng +1
McKean-Vlasov stochastic differential equations (MV-SDEs) provide a mathematical description of the behavior of an infinite number of interacting particles by imposing a dependence…
stat.CO2023
Inference and Sampling of Point Processes from Diffusion Excursions
Ali Hasan, Yu Chen, Yuting Ng +3
Point processes often have a natural interpretation with respect to a continuous process. We propose a point process construction that describes arrival time observations in terms…