168 citations · 455 across the 62 of their papers we have counts for
16 papers · 1 filter
Multiple testing under negative dependence
Ziyu Chi, Aaditya Ramdas, Ruodu Wang
The multiple testing literature has primarily dealt with three types of dependence assumptions between p-values: independence, positive regression dependence, and arbitrary depende…
Martingale Transports and Monge Maps
Marcel Nutz, Ruodu Wang, Zhenyuan Zhang
It is well known that martingale transport plans between marginals are never given by Monge maps -- with the understanding that the map is over the first marginal , or…
Probabilistic risk aversion for generalized rank-dependent functions
Ruodu Wang, Qinyu Wu
Probabilistic risk aversion, defined through quasi-convexity in probabilistic mixtures, is a common useful property in decision analysis. We study a general class of non-monotone m…
E-backtesting
Qiuqi Wang, Ruodu Wang, Johanna Ziegel
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most imp…
Choquet regularization for reinforcement learning
Xia Han, Ruodu Wang, Xun Yu Zhou
We propose \emph{Choquet regularizers} to measure and manage the level of exploration for reinforcement learning (RL), and reformulate the continuous-time entropy-regularized RL pr…
Efficiency of nonparametric e-tests
Vladimir Vovk, Ruodu Wang
The notion of an e-value has been recently proposed as a possible alternative to critical regions and p-values in statistical hypothesis testing. In this paper we consider testing…