相关论文: Adversarial Stress Testing of Lifetime Distributio…

In this paper a new distribution is proposed. This new model provides more flexibility to modeling data with upside-down bathtub hazard rate function. A significant account of mathematical properties of the new distribution is presented.…

We consider the design of experiments to evaluate treatments that are administered by self-interested agents, each seeking to achieve the highest evaluation and win the experiment. For example, in an advertising experiment, a company wishes…

Credit risk stress testing has become an important risk management device which is used both by banks internally and by regulators. Stress testing is complex because it essentially means projecting a bank's full balance sheet conditional on…

This note explores probabilistic sampling weighted by uncertainty in active learning. This method has been previously used and authors have tangentially remarked on its efficacy. The scheme has several benefits: (1) it is computationally…

We study the problem of mismatched binary hypothesis testing between i.i.d. distributions. We analyze the tradeoff between the pairwise error probability exponents when the actual distributions generating the observation are different from…

Two semimetrics on probability distributions are proposed, given as the sum of differences of expectations of analytic functions evaluated at spatial or frequency locations (i.e, features). The features are chosen so as to maximize the…

This paper reports on empirical work aimed at comparing evidential reasoning techniques. While there is prima facie evidence for some conclusions, this i6 work in progress; the present focus is methodology, with the goal that subsequent…

We study discounted infinitely repeated games in which players agree on a cooperative mixed action profile but, at each step, observe only the realized pure actions. This form of imperfect monitoring breaks classical trigger strategies,…

To find failure events and their likelihoods in flight-critical systems, we investigate the use of an advanced black-box stress testing approach called adaptive stress testing. We analyze a trajectory predictor from a developmental…

Testing by betting has been a cornerstone of the game-theoretic statistics literature. One bets against the null hypothesis, and the accumulated wealth $W_t$ quantifies the evidence against the null hypothesis after $t$ rounds, and the null…

Conformal prediction (CP) provides distribution-free, finite-sample coverage guarantees but critically relies on exchangeability, a condition often violated under distribution shift. We study the robustness of split conformal prediction…

Forecasting sporting events encapsulate a compelling intellectual endeavor, underscored by the substantial financial activity of an estimated $80 billion wagered in global sports betting during 2022, a trend that grows yearly. Motivated by…

This paper proposes a formal framework for reverse stress testing geopolitical risk in corporate credit portfolios. A joint macro-financial scenario vector, augmented with an explicit geopolitical risk factor, is mapped into stressed…

We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such…

Stress testing, and in particular, reverse stress testing, is a prominent exercise in risk management practice. Reverse stress testing, in contrast to (forward) stress testing, aims to find an alternative but plausible model such that under…

We consider the hypothesis testing problem of detecting conditional dependence, with a focus on high-dimensional feature spaces. Our contribution is a new test statistic based on samples from a generative adversarial network designed to…

Beyond conditional average treatment effects, treatments may impact the entire outcome distribution in covariate-dependent ways, for example, by altering the variance or tail risks for specific subpopulations. We propose a novel estimand to…

Stochastic two-player games model systems with an environment that is both adversarial and stochastic. The adversarial part of the environment is modeled by a player (Player 2) who tries to prevent the system (Player 1) from achieving its…

We present a new model of incomplete information games without private information in which the players use a distributionally robust optimization approach to cope with the payoff uncertainty. With some specific restrictions, we show that…

Our objective in this paper is to develop a machinery that makes a given organizational strategic plan resilient to the actions of competitor agents (adverse environmental actions). We assume that we are given a goal tree representing…