5 papers
Special Dirichlet Processes: Structure, Uniqueness and Stability
Philip Kennerberg
We introduce the class of \emph{Special--Dirichlet processes}, consisting of cà dlà g adapted processes admitting a decomposition \[ X=M+Î, \] where \(M\) is a local martingale an…
An Extremal Reconstruction Principle under Covariance Domination
Philip Kennerberg
We identify a structural extremal principle governing residual \(L^2\)-norms over operator-ordered covariance envelopes. In contrast to the centered setting, where such quantities…
Stability of Compensated Jump Integrals under Quadratic Variation Convergence
Philip Kennerberg
We study the stability of compensated jump integrals under convergence of quadratic variation alone. Let \(X\) and \(\{X^n\}_{n\ge1}\) be cà dlà g processes with jump measures \(μ…
Functional worst risk minimization
Philip Kennerberg, Ernst C. Wit
The aim of this paper is to extend worst risk minimization, also called worst average loss minimization, to the functional realm. This means finding a functional regression represe…
Functional structural equation models with out-of-sample guarantees
Philip Kennerberg, Ernst C. Wit
Statistical learning methods typically assume that the training and test data originate from the same distribution, enabling effective risk minimization. However, real-world applic…