2 papers
math.ST2026
Private Minimum Hellinger Distance Estimation via Hellinger Distance Differential Privacy
Fengnan Deng, Anand N. Vidyashankar
Objective functions based on Hellinger distance yield robust and efficient estimators of model parameters. Motivated by privacy and regulatory requirements encountered in contempor…
math.PR2025
Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
Fengnan Deng, Anand N. Vidyashankar, Jeffrey F. Collamore
We obtain sharp large deviation estimates for exceedance probabilities in dependent triangular array threshold models with a diverging number of latent factors. The prefactors quan…