A Distributionally Robust Estimator that Dominates the Empirical Average
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866929391642083328 |
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| author | Koumpis, Nikolas Kalogerias, Dionysis |
| author_facet | Koumpis, Nikolas Kalogerias, Dionysis |
| contents | We leverage the duality between risk-averse and distributionally robust optimization (DRO) to devise a distributionally robust estimator that strictly outperforms the empirical average for all probability distributions with negative excess kurtosis. The aforesaid estimator solves the $χ^{2}-$robust mean squared error problem in closed form. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_10418 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Distributionally Robust Estimator that Dominates the Empirical Average Koumpis, Nikolas Kalogerias, Dionysis Statistics Theory We leverage the duality between risk-averse and distributionally robust optimization (DRO) to devise a distributionally robust estimator that strictly outperforms the empirical average for all probability distributions with negative excess kurtosis. The aforesaid estimator solves the $χ^{2}-$robust mean squared error problem in closed form. |
| title | A Distributionally Robust Estimator that Dominates the Empirical Average |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2402.10418 |