报告人：范延琴
报告地点：数学与统计学院415
报告时间：2023年7月14日 上午10：00-11：00
邀请人：高巍
报告摘要：
The 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.
主讲人简介：
范延琴，华盛顿大学经济系教授，统计学兼职教授，国际应用计量经济学会会员，计量经济学杂志研究员；现任国际知名杂志《Journal of Econometrics》，《Econometric Reviews》和《The Annals of Economics and Finance》等编委。曾任芝加哥大学贝克尔-弗里德曼经济研究所访问学者，伦敦大学微观数据方法与实验中心访问学者，曾两次获得计量经济学杂志Arnold Zellner奖。在Journal of Econometrics, Econometrics Theory等国际顶尖杂志上发表论文70余篇。
