activity
20012023
most citedCalculating credit risk capital charges with the one-factor model

78 citations · 341 across the 31 of their papers we have counts for

collaborators

37 papers

stat.ML2023★ 2 cited

Sparse joint shift in multinomial classification

Dirk Tasche

Sparse joint shift (SJS) was recently proposed as a tractable model for general dataset shift which may cause changes to the marginal distributions of features and labels as well a…

stat.ML2022★ 3 cited

Factorizable Joint Shift in Multinomial Classification

Dirk Tasche

Factorizable joint shift (FJS) was recently proposed as a type of dataset shift for which the complete characteristics can be estimated from feature data observations on the test d…

stat.ML2022★ 5 cited

Class Prior Estimation under Covariate Shift: No Problem?

Dirk Tasche

We show that in the context of classification the property of source and target distributions to be related by covariate shift may be lost if the information content captured in th…

stat.ML2021★ 2 cited

Minimising quantifier variance under prior probability shift

Dirk Tasche

For the binary prevalence quantification problem under prior probability shift, we determine the asymptotic variance of the maximum likelihood estimator. We find that it is a funct…

stat.ML2021★ 10 cited

Calibrating sufficiently

Dirk Tasche

When probabilistic classifiers are trained and calibrated, the so-called grouping loss component of the calibration loss can easily be overlooked. Grouping loss refers to the gap b…

q-fin.RM2020★ 3 cited

Proving prediction prudence

Dirk Tasche

We study how to perform tests on samples of pairs of observations and predictions in order to assess whether or not the predictions are prudent. Prudence requires that that the mea…