2 papers
math.ST2026
Fast Wasserstein rates for estimating probability distributions of probabilistic graphical models
Daniel Bartl, Stephan Eckstein
Using i.i.d. data to estimate a high-dimensional distribution in Wasserstein distance is a fundamental instance of the curse of dimensionality. We explore how structural knowledge…
q-fin.RM2026
Optimal nonparametric estimation of the expected shortfall risk
Daniel Bartl, Stephan Eckstein
We address the problem of estimating the expected shortfall risk of a financial loss using a finite number of i.i.d. data. It is well known that the classical plug-in estimator suf…