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arXiv · 2402.10418

A Distributionally Robust Estimator that Dominates the Empirical Average

Nikolas Koumpis·Dionysis Kalogerias
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Abstract

We leverage the duality between risk-averse and distributionally robust optimization (DRO) to devise a distributionally robust estimator that strictly outperforms the empirical average for all probability distributions with negative excess kurtosis. The aforesaid estimator solves the $\chi^{2}-$robust mean squared error problem in closed form.

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Nikolas Koumpis, Dionysis Kalogerias. 2024-02-16. A Distributionally Robust Estimator that Dominates the Empirical Average. https://arxiv.org/abs/2402.10418

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