Technical Note—The Joint Impact ofF-Divergences and Reference Models on the Contents of Uncertainty Sets

DOI10.1287/opre.2018.1807zbMath1457.62146OpenAlexW2966032637MaRDI QIDQ5126612

Judith C. Schneider, Thomas Kruse, Nikolaus Schweizer

Publication date: 20 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2018.1807

zbMATH Keywords

robustnessheavy tailsKullback-Leibler divergencemodel risk\(F\)-divergence

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32)

Uses Software

• plfit

Cites Work

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• Maxmin expected utility with non-unique prior
• Robust measurement of (heavy-tailed) risks: theory and implementation
• Approximate models and robust decisions
• MEASURING DISTRIBUTION MODEL RISK
• Robust risk measurement and model risk
• On Divergences and Informations in Statistics and Information Theory
• The Price of Robustness
• Power-Law Distributions in Empirical Data
• Tail asymptotics of light-tailed Weibull-like sums
• Empirical properties of asset returns: stylized facts and statistical issues

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