Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
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Publication:5031024
DOI10.1287/opre.2020.2076zbMath1485.90084arXiv1805.07194OpenAlexW3083374495MaRDI QIDQ5031024
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Publication date: 18 February 2022
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.07194
maximum likelihood estimationshrinkage estimatorWasserstein distancedistributionally robust optimizationdata-driven optimizationmachine learning and data science
Semidefinite programming (90C22) Applications of mathematical programming (90C90) Robustness in mathematical programming (90C17)
Related Items (4)
Distributionally-robust machine learning using locally differentially-private data ⋮ Frameworks and results in distributionally robust optimization ⋮ Incorporating statistical model error into the calculation of acceptability prices of contingent claims ⋮ Optimal uncertainty size in distributionally robust inverse covariance estimation
Uses Software
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