Zobrazeno 1 - 10
of 90
pro vyhledávání: '"Csiszár, Imre"'
Autor:
Csiszar, Imre, Breuer, Thomas
A worst case distribution is a minimiser of the expectation of some random payoff within a family of plausible risk factor distributions. The plausibility of a risk factor distribution is quantified by a convex integral functional. This includes the
Externí odkaz:
http://arxiv.org/abs/1506.01619
Autor:
Breuer, Thomas, Csiszar, Imre
We propose to interpret distribution model risk as sensitivity of expected loss to changes in the risk factor distribution, and to measure the distribution model risk of a portfolio by the maximum expected loss over a set of plausible distributions d
Externí odkaz:
http://arxiv.org/abs/1301.4832
Autor:
Csiszár, Imre, Matúš, František
Integral functionals based on convex normal integrands are minimized subject to finitely many moment constraints. The integrands are finite on the positive and infinite on the negative numbers, strictly convex but not necessarily differentiable. The
Externí odkaz:
http://arxiv.org/abs/1202.0666
Autor:
Csiszár, Imre, Talata, Zsolt
Publikováno v:
Annals of Statistics 2006, Vol. 34, No. 1, 123-145
For Markov random fields on $\mathbb{Z}^d$ with finite state space, we address the statistical estimation of the basic neighborhood, the smallest region that determines the conditional distribution at a site on the condition that the values at all ot
Externí odkaz:
http://arxiv.org/abs/math/0605323
Autor:
Csiszar, Imre, Matus, Frantisek
Publikováno v:
Annals of Probability 2005, Vol. 33, No. 2, 582-600
The variation distance closure of an exponential family with a convex set of canonical parameters is described, assuming no regularity conditions. The tools are the concepts of convex core of a measure and extension of an exponential family, introduc
Externí odkaz:
http://arxiv.org/abs/math/0503653