2 papers
math.ST2026
Validity and Power of Heavy-Tailed Combination Tests under Asymptotic Dependence
Lin Gui, Tiantian Mao, Jingshu Wang +1
Heavy-tailed combination tests, such as the Cauchy combination test and harmonic mean p-value method, are widely used for testing global null hypotheses by aggregating dependent p-…
q-fin.RM2024
Quantiles under ambiguity and risk sharing
Peng Liu, Tiantian Mao, Ruodu Wang
Choquet capacities and integrals are central concepts in decision making under ambiguity or model uncertainty, pioneered by Schmeidler. Motivated by risk optimization problems for…