Dylan Troop, Fr'ed'eric Godin, Jia Yuan Yu. Bias-corrected peaks-over-threshold estimation of the CVaR. In Cassio P. de Campos, Marloes H. Maathuis, Erik Quaeghebeur, editors, Proceedings of the Thirty-Seventh Conference on Uncertainty in Artificial Intelligence, UAI 2021, Virtual Event, 27-30 July 2021. Volume 161 of Proceedings of Machine Learning Research, pages 1809-1818, AUAI Press, 2021. [doi]
Abstract is missing.