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Statistics/Economics Seminar - Yanqin Fan (University of Washington) - "Quantifying Distributional Model Risk in Marginal Problems via Optimal Transport"

Event Type
Department of Statistics
2310 Everitt Lab
Oct 2, 2023   3:30 pm  
Originating Calendar
Department of Statistics Event Calendar

Title: Quantifying Distributional Model Risk in Marginal Problems via Optimal Transport


This paper studies distributional model risk in marginal problems, where each marginal measure is assumed to lie in a Wasserstein ball centered at a fixed reference measure with a given radius. Theoretically, we establish several fundamental results including strong duality, finiteness of the proposed Wasserstein distributional model risk, and  the existence of an optimizer at each radius. In addition, we show continuity of the Wasserstein distributional model risk as a function of the radius. Using strong duality, we extend the well-known Makarov bounds for the distribution function of the sum of two random variables with given marginals to Wasserstein distributionally robust Markarov bounds. Practically, we illustrate our results on four distinct applications when the sample information comes from multiple data sources and only some marginal reference measures are identified. They are: partial identification of treatment effects; externally valid treatment choice via robust welfare functions; Wasserstein distributionally robust estimation under data combination; and evaluation of the worst aggregate risk measures.

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