DRIS Performance Under Elliptical Distributions

Verifying distributionally robust importance sampling properties beyond the Gaussian case. Based on Ahn et al. (2026).

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Relative Error vs Sample Size

CLT Verification (KS p-values)

DRIS Estimate vs Epsilon

Tail Probabilities

Verification Summary

CLT Holds All tested elliptical distributions pass the KS normality test for the centered DRIS estimator.
RE Vanishes Relative error decreases as O(1/sqrt(n)) for distributions with finite 4th moments.
Heavy Tails Student-t (df=3) shows slower convergence due to infinite 4th moment.
Monotonic DRIS estimates increase monotonically with Wasserstein radius for all families.