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math.ST2026
Wasserstein Distributionally Robust Quantile Regression
Chunxu Zhang, Tiantian Mao, Ruodu Wang
We study distributionally robust quantile regression using type- Wasserstein ambiguity sets. We derive a closed-form expression for the worst-case quantile regression loss under…
math.ST2024
Estimation of the Adjusted Standard-deviatile for Extreme Risks
Haoyu Chen, Tiantian Mao, Fan Yang
In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted…