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Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributions.
Prashanth L. A.
Krishna P. Jagannathan
Ravi Kumar Kolla
Published in:
ICML (2020)
Keyphrases
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heavy tailed distributions
lower bound
upper bound
estimation algorithm
upper and lower bounds
empirically derived
data sets
genetic algorithm
artificial intelligence
worst case
density estimation
gaussian distribution
parametric models
robust estimation
tight bounds
risk measures