256
v1v2v3v4 (latest)

A Distributionally Robust Estimator that Dominates the Empirical Average

Dionysis Kalogerias
Main:11 Pages
1 Figures
Bibliography:3 Pages
Appendix:6 Pages
Abstract

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 χ2\chi^{2}-robust mean squared error problem in closed form.

View on arXiv
Comments on this paper