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On Choosing and Bounding Probability Metrics

Citations

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Cited by:

  1. Marie Ernst & Yvik Swan, 2022. "Distances Between Distributions Via Stein’s Method," Journal of Theoretical Probability, Springer, vol. 35(2), pages 949-987, June.
  2. Berrendero, José R. & Cuevas, Antonio & Pateiro-López, Beatriz, 2016. "Shape classification based on interpoint distance distributions," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 237-247.
  3. Bertanha, Marinho & Moreira, Marcelo J., 2020. "Impossible inference in econometrics: Theory and applications," Journal of Econometrics, Elsevier, vol. 218(2), pages 247-270.
  4. Daniel Commenges & Anne Gégout‐Petit, 2009. "A general dynamical statistical model with causal interpretation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 719-736, June.
  5. Alberto Muñoz & Gabriel Martos & Javier Gonzalez, 2023. "Level Sets Semimetrics for Probability Measures with Applications in Hypothesis Testing," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-17, March.
  6. Crimaldi, Irene & Dai Pra, Paolo & Louis, Pierre-Yves & Minelli, Ida G., 2019. "Synchronization and functional central limit theorems for interacting reinforced random walks," Stochastic Processes and their Applications, Elsevier, vol. 129(1), pages 70-101.
  7. Patrick Marsh, "undated". "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
  8. Joseph D. Bailey & Edward A. Codling, 2021. "Emergence of the wrapped Cauchy distribution in mixed directional data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(2), pages 229-246, June.
  9. Barrera, Javiera & Lachaud, Béatrice & Ycart, Bernard, 2006. "Cut-off for n-tuples of exponentially converging processes," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1433-1446, October.
  10. Oyama, Daisuke & Tercieux, Olivier, 2012. "On the strategic impact of an event under non-common priors," Games and Economic Behavior, Elsevier, vol. 74(1), pages 321-331.
  11. El Mehdi Haress & Alexandre Richard, 2024. "Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise," Statistical Inference for Stochastic Processes, Springer, vol. 27(3), pages 641-691, October.
  12. Francisco de A. T. Carvalho & Antonio Irpino & Rosanna Verde & Antonio Balzanella, 2022. "Batch Self-Organizing Maps for Distributional Data with an Automatic Weighting of Variables and Components," Journal of Classification, Springer;The Classification Society, vol. 39(2), pages 343-375, July.
  13. Beh, Eric J. & Lombardo, Rosaria & Alberti, Gianmarco, 2018. "Correspondence analysis and the Freeman–Tukey statistic: A study of archaeological data," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 73-86.
  14. HAEDO , Christian & Mouchart, Michel, 2011. "A Stochastic Independence Approach for different Measures of Global Specialization," LIDAM Discussion Papers ISBA 2011006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  15. A. Burak Paç & Mustafa Ç. Pınar, 2018. "On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets," Annals of Operations Research, Springer, vol. 266(1), pages 223-253, July.
  16. Tomas Folke & Giulia Bertoldo & Darlene D’Souza & Sonia Alì & Federica Stablum & Kai Ruggeri, 2021. "Boosting promotes advantageous risk-taking," Palgrave Communications, Palgrave Macmillan, vol. 8(1), pages 1-10, December.
  17. Arno Berger & Chuang Xu, 2019. "Best Finite Approximations of Benford’s Law," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1525-1553, September.
  18. HAEDO, Christian & MOUCHART, Michel, 2012. "A stochastic independence approach for different measures of concentration and specialization," LIDAM Discussion Papers CORE 2012025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  19. Laura Azzimonti & Francesca Ieva & Anna Maria Paganoni, 2013. "Nonlinear nonparametric mixed-effects models for unsupervised classification," Computational Statistics, Springer, vol. 28(4), pages 1549-1570, August.
  20. Stephan Eckstein & Gaoyue Guo & Tongseok Lim & Jan Obloj, 2019. "Robust pricing and hedging of options on multiple assets and its numerics," Papers 1909.03870, arXiv.org, revised Oct 2020.
  21. Kim, Junhyong & Mossel, Elchanan & Rácz, Miklós Z. & Ross, Nathan, 2015. "Can one hear the shape of a population history?," Theoretical Population Biology, Elsevier, vol. 100(C), pages 26-38.
  22. Christophe Ley & Gesine Reinert & Yvik Swan, 2014. "Approximate Computation of Expectations: the Canonical Stein Operator," Working Papers ECARES ECARES 2014-36, ULB -- Universite Libre de Bruxelles.
  23. Borgonovo, E. & Zentner, I. & Pellegri, A. & Tarantola, S. & de Rocquigny, E., 2013. "On the importance of uncertain factors in seismic fragility assessment," Reliability Engineering and System Safety, Elsevier, vol. 109(C), pages 66-76.
  24. Zellinger, Werner & Moser, Bernhard A., 2021. "On the truncated Hausdorff moment problem under Sobolev regularity conditions," Applied Mathematics and Computation, Elsevier, vol. 400(C).
  25. Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
  26. Arno Berger & Theodore P. Hill & Kent E. Morrison, 2008. "Scale-Distortion Inequalities for Mantissas of Finite Data Sets," Journal of Theoretical Probability, Springer, vol. 21(1), pages 97-117, March.
  27. Hafouta, Yeor & Kifer, Yuri, 2016. "Berry–Esseen type estimates for nonconventional sums," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2430-2464.
  28. Puppo, L. & Pedroni, N. & Maio, F. Di & Bersano, A. & Bertani, C. & Zio, E., 2021. "A Framework based on Finite Mixture Models and Adaptive Kriging for Characterizing Non-Smooth and Multimodal Failure Regions in a Nuclear Passive Safety System," Reliability Engineering and System Safety, Elsevier, vol. 216(C).
  29. Xuejun Zhao & Ruihao Zhu & William B. Haskell, 2022. "Learning to Price Supply Chain Contracts against a Learning Retailer," Papers 2211.04586, arXiv.org.
  30. Yannan Chen & Hailin Sun & Huifu Xu, 2021. "Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems," Computational Optimization and Applications, Springer, vol. 78(1), pages 205-238, January.
  31. Crimaldi, Irene & Dai Pra, Paolo & Minelli, Ida Germana, 2016. "Fluctuation theorems for synchronization of interacting Pólya’s urns," Stochastic Processes and their Applications, Elsevier, vol. 126(3), pages 930-947.
  32. Lijun Cheng & Pratik Karkhanis & Birkan Gokbag & Yueze Liu & Lang Li, 2022. "DGCyTOF: Deep learning with graphic cluster visualization to predict cell types of single cell mass cytometry data," PLOS Computational Biology, Public Library of Science, vol. 18(4), pages 1-22, April.
  33. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Discussion Paper 2015-047, Tilburg University, Center for Economic Research.
  34. David Wozabal, 2012. "A framework for optimization under ambiguity," Annals of Operations Research, Springer, vol. 193(1), pages 21-47, March.
  35. Fabian R. Pieroth & Tuomas Sandholm, 2024. "Verifying Approximate Equilibrium in Auctions," Papers 2408.11445, arXiv.org.
  36. Matheus Henrique Junqueira Saldanha & Adriano Kamimura Suzuki, 2023. "On dealing with the unknown population minimum in parametric inference," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(3), pages 509-535, September.
  37. Daniela Hurtado-Lange & Siva Theja Maguluri, 2022. "A load balancing system in the many-server heavy-traffic asymptotics," Queueing Systems: Theory and Applications, Springer, vol. 101(3), pages 353-391, August.
  38. Antonio Irpino & Rosanna Verde, 2015. "Basic statistics for distributional symbolic variables: a new metric-based approach," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(2), pages 143-175, June.
  39. Wei Wang & Huifu Xu & Tiejun Ma, 2020. "Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures," Papers 2006.15491, arXiv.org.
  40. Rosaria Simone, 2022. "On finite mixtures of Discretized Beta model for ordered responses," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 828-855, September.
  41. Jitka Hrabáková & Václav Kůs, 2017. "Notes on consistency of some minimum distance estimators with simulation results," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(2), pages 243-257, February.
  42. Fabian Krüger & Sebastian Lerch & Thordis Thorarinsdottir & Tilmann Gneiting, 2021. "Predictive Inference Based on Markov Chain Monte Carlo Output," International Statistical Review, International Statistical Institute, vol. 89(2), pages 274-301, August.
  43. Cheng, Lingyan & Wu, Liming, 2019. "Centered Sobolev inequality and exponential convergence in Φ-entropy," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 101-111.
  44. Katriel, Guy, 2019. "A quantitative discounted central limit theorem using the Fourier metric," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 321-326.
  45. Kavita Ramanan & Aaron Smith, 2018. "Bounds on Lifting Continuous-State Markov Chains to Speed Up Mixing," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1647-1678, September.
  46. Lahkar, Ratul & Riedel, Frank, 2016. "The Continuous Logit Dynamic and Price Dispersion," Center for Mathematical Economics Working Papers 521, Center for Mathematical Economics, Bielefeld University.
  47. Ana C. Gómez Ugarte Valerio & Ugofilippo Basellini & Carlo G. Camarda & Fanny Janssen & Emilio Zagheni, 2024. "Reassessing socioeconomic inequalities in mortality via distributional similarities," MPIDR Working Papers WP-2024-007, Max Planck Institute for Demographic Research, Rostock, Germany.
  48. Di Maio, Francesco & Bandini, Alessandro & Zio, Enrico & Alberola, Sofia Carlos & Sanchez-Saez, Francisco & Martorell, Sebastián, 2016. "Bootstrapped-ensemble-based Sensitivity Analysis of a trace thermal-hydraulic model based on a limited number of PWR large break loca simulations," Reliability Engineering and System Safety, Elsevier, vol. 153(C), pages 122-134.
  49. Pesenti, Silvana M. & Millossovich, Pietro & Tsanakas, Andreas, 2019. "Reverse sensitivity testing: What does it take to break the model?," European Journal of Operational Research, Elsevier, vol. 274(2), pages 654-670.
  50. Teferra, Kirubel & Shields, Michael D. & Hapij, Adam & Daddazio, Raymond P., 2014. "Mapping model validation metrics to subject matter expert scores for model adequacy assessment," Reliability Engineering and System Safety, Elsevier, vol. 132(C), pages 9-19.
  51. Moritz Nobis & Carlo Schmitt & Ralf Schemm & Armin Schnettler, 2020. "Pan-European CVaR-Constrained Stochastic Unit Commitment in Day-Ahead and Intraday Electricity Markets," Energies, MDPI, vol. 13(9), pages 1-35, May.
  52. Ouimet, Frédéric, 2022. "A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  53. Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012. "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417.
  54. Wang, Wei & Maio, Francesco Di & Zio, Enrico, 2017. "Three-loop Monte Carlo simulation approach to Multi-State Physics Modeling for system reliability assessment," Reliability Engineering and System Safety, Elsevier, vol. 167(C), pages 276-289.
  55. Jiekun Feng & Pengyi Shi, 2018. "Steady‐state diffusion approximations for discrete‐time queue in hospital inpatient flow management," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(1), pages 26-65, February.
  56. Martos, Gabriel, 2013. "A new distance for data sets (and probability measures) in a RKHS context," DES - Working Papers. Statistics and Econometrics. WS ws131514, Universidad Carlos III de Madrid. Departamento de Estadística.
  57. Abhijnan Rej, 2013. "Modeling systemic risks in financial markets," Papers 1311.3764, arXiv.org.
  58. Francesco Di Maio & Nicola Pedroni & Barnabás Tóth & Luciano Burgazzi & Enrico Zio, 2021. "Reliability Assessment of Passive Safety Systems for Nuclear Energy Applications: State-of-the-Art and Open Issues," Energies, MDPI, vol. 14(15), pages 1-17, August.
  59. Patrick Marsh, 2019. "The role of information in nonstationary regression," Discussion Papers 19/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  60. Arno Berger & Chuang Xu, 2020. "Asymptotics of One-Dimensional Lévy Approximations," Journal of Theoretical Probability, Springer, vol. 33(2), pages 1164-1195, June.
  61. Giacomo Aletti & Caterina May & Piercesare Secchi, 2012. "A Functional Equation Whose Unknown is $\mathcal{P}([0,1])$ Valued," Journal of Theoretical Probability, Springer, vol. 25(4), pages 1207-1232, December.
  62. White, Staci A. & Herbei, Radu, 2015. "A Monte Carlo approach to quantifying model error in Bayesian parameter estimation," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 168-181.
  63. Sebastian Sitarz, 2013. "Compromise programming with Tchebycheff norm for discrete stochastic orders," Annals of Operations Research, Springer, vol. 211(1), pages 433-446, December.
  64. Arroyo, Javier & Maté, Carlos, 2009. "Forecasting histogram time series with k-nearest neighbours methods," International Journal of Forecasting, Elsevier, vol. 25(1), pages 192-207.
  65. Sainan Zhang & Huifu Xu, 2022. "Insurance premium-based shortfall risk measure induced by cumulative prospect theory," Computational Management Science, Springer, vol. 19(4), pages 703-738, October.
  66. Frédéric Ouimet, 2024. "Deficiency bounds for the multivariate inverse hypergeometric distribution," Statistical Papers, Springer, vol. 65(6), pages 3959-3969, August.
  67. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Other publications TiSEM eeb9c898-6943-4199-b747-3, Tilburg University, School of Economics and Management.
  68. Yongchao Liu & Alois Pichler & Huifu Xu, 2019. "Discrete Approximation and Quantification in Distributionally Robust Optimization," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 19-37, February.
  69. Schneider, Judith C. & Schweizer, Nikolaus, 2015. "Robust measurement of (heavy-tailed) risks: Theory and implementation," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 183-203.
  70. Hoang, Lê Nguyên & Soumis, François & Zaccour, Georges, 2019. "The return function: A new computable perspective on Bayesian–Nash equilibria," European Journal of Operational Research, Elsevier, vol. 279(2), pages 471-485.
  71. Takashi Kamihigashi & John Stachurski, 2017. "Some Unified Results for Classical and Monotone Markov Chain Theory," Discussion Paper Series DP2017-02, Research Institute for Economics & Business Administration, Kobe University.
  72. Gerhold, Stefan & Gülüm, I. Cetin, 2019. "Peacocks nearby: Approximating sequences of measures," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2406-2436.
  73. Alexander Bulinski & Nikolay Slepov, 2022. "Sharp Estimates for Proximity of Geometric and Related Sums Distributions to Limit Laws," Mathematics, MDPI, vol. 10(24), pages 1-37, December.
  74. Leskelä, Lasse & Vihola, Matti, 2013. "Stochastic order characterization of uniform integrability and tightness," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 382-389.
  75. Plischke, Elmar & Borgonovo, Emanuele & Smith, Curtis L., 2013. "Global sensitivity measures from given data," European Journal of Operational Research, Elsevier, vol. 226(3), pages 536-550.
  76. Fenner, Trevor & Levene, Mark & Loizou, George, 2010. "Predicting the long tail of book sales: Unearthing the power-law exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(12), pages 2416-2421.
  77. Leandro Nascimento, 2022. "Bounded arbitrage and nearly rational behavior," Papers 2212.02680, arXiv.org, revised Jul 2023.
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