Estimation and asymptotics for buffered probability of exceedance
DOI10.1016/J.EJOR.2018.01.021zbMATH Open1403.90537OpenAlexW2783983856MaRDI QIDQ723976FDOQ723976
Alexander Shapiro, Stan Uryasev, Alexander Mafusalov
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
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
stochastic programmingrare eventssample average approximationbuffered probability of exceedanceminimum volume ellipsoid
Nonparametric estimation (62G05) Convex programming (90C25) Statistics of extreme values; tail inference (62G32) Interior-point methods (90C51) Stochastic programming (90C15)
Cites Work
- Variational Analysis
- Computation of Minimum-Volume Covering Ellipsoids
- Lectures on stochastic programming. Modeling and theory.
- The asymptotics of Rousseeuw's minimum volume ellipsoid estimator
- Minimum-volume enclosing ellipsoids and core sets
- Maximization of AUC and buffered AUC in binary classification
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- Conditional minimum volume ellipsoid with application to multiclass discrimination
Cited In (11)
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- Monotone Sharpe ratios and related measures of investment performance
- Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
- Maximization of AUC and buffered AUC in binary classification
- Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
- Gradients and subgradients of buffered failure probability
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- Buffered-ranking intervals for virtual profit efficiency analysis
- Developing a model for a modulating mirror fixed on active supports: stochastic model
- Minimizing buffered probability of exceedance by progressive hedging
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