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stat.ML2026
Kernel-Based Nonparametric Tests For Shape Constraints
Rohan Sen
We propose a kernel-based nonparametric framework for mean-variance optimization that enables inference on economically motivated shape constraints in finance, including positivity…
stat.ML2024
Fast Empirical Scenarios
Michael Multerer, Paul Schneider, Rohan Sen
We seek to extract a small number of representative scenarios from large panel data that are consistent with sample moments. Among two novel algorithms, the first identifies scenar…
stat.ML2024
Observation-specific explanations through scattered data approximation
Valentina Ghidini, Michael Multerer, Jacopo Quizi +1
This work introduces the definition of observation-specific explanations to assign a score to each data point proportional to its importance in the definition of the prediction pro…