The joint impact of F-divergences and reference models on the contents of uncertainty sets
Thomas Kruse, Judith C. Schneider, Nikolaus Schweizer
| Year of publication: |
2019
|
|---|---|
| Authors: | Kruse, Thomas ; Schneider, Judith Christiane ; Schweizer, Nikolaus |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 67.2019, 2, p. 428-435
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| Subject: | F-divergence | heavy tails | Kullback-Leibler divergence | model risk | robustness | Risiko | Risk | Theorie | Theory | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2018.1807 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012022370