Estimation and asymptotics for buffered probability of exceedance

DOI10.1016/J.EJOR.2018.01.021MaRDI QIDQ723976zbMATH OpenOpenAlexFDO

Authors Alexander Mafusalov, Alexander Shapiro, Stan Uryasev

Publication date 25 July 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2018.01.021

zbMATH Keywords

stochastic programmingrare eventssample average approximationbuffered probability of exceedanceminimum volume ellipsoid

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Convex programming (90C25) Statistics of extreme values; tail inference (62G32) Interior-point methods (90C51) Stochastic programming (90C15)

Recommendations

• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Optimal asymptotic estimation of small exceedance probabilities
• On asymptotic distributions of exceedance statistics
• Derivatives and subderivatives of buffered probability of exceedance
• APPROXIMATION OF EXCEEDANCE PROCESSES IN LARGE POPULATIONS
• Minimization of a class of rare event probabilities and buffered probabilities of exceedance
• Asymptotic conditional distribution of exceedance counts
• A note on the analytic approximation of exceedance probabilities in heterogeneous populations

Cites work

• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Computation of Minimum-Volume Covering Ellipsoids
• Conditional minimum volume ellipsoid with application to multiclass discrimination
• Lectures on stochastic programming. Modeling and theory.
• Maximization of AUC and buffered AUC in binary classification
• Minimum-volume enclosing ellipsoids and core sets
• The asymptotics of Rousseeuw's minimum volume ellipsoid estimator
• Variational Analysis

Cited in

(12)

• Gradients and subgradients of buffered failure probability
• Monotone Sharpe ratios and related measures of investment performance
• Maximization of AUC and buffered AUC in binary classification
• Minimization of a class of rare event probabilities and buffered probabilities of exceedance
• Buffered-ranking intervals for virtual profit efficiency analysis
• Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
• Developing a model for a modulating mirror fixed on active supports: stochastic model
• Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
• Derivatives and subderivatives of buffered probability of exceedance
• Minimizing buffered probability of exceedance by progressive hedging
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

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