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Divergence Based Quadrangle and Applications
This paper introduces a novel framework for assessing risk and decision-making in the presence of uncertainty, the \emph{$\varphi$-Divergence Quadrangle}.
Expectile Quadrangle and Applications
The aim of this paper is to rigorously examine the properties of these Expectile Quadrangles, with particular emphasis on a quadrangle that encompasses expectile as both a statistic and a measure of risk.
Support Vector Regression: Risk Quadrangle Framework
It is shown that both formulations of SVR, $\varepsilon$-SVR and $\nu$-SVR, correspond to the minimization of equivalent error measures (Vapnik error and CVaR norm, respectively) with a regularization penalty.
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