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Value-at-Risk (VaR) estimation at high confidence levels is inherently a rare-event problem and is particularly sensitive to tail behavior and model misspecification. This paper studies the performance of two simulation-based VaR estimation…

The dynamic portfolio construction problem requires dynamic modeling of the joint distribution of multivariate stock returns. To achieve this, we propose a dynamic generative factor model which uses random variable transformation as an…

This paper introduces a robust and computationally efficient estimation framework for high-dimensional volatility models in the BEKK-ARCH class. The proposed approach employs data truncation to ensure robustness against heavy-tailed…

This paper proposes a semiparametric joint VaRES framework driven by realized information, mo tivated by the economic mechanisms underlying tail risk generation. Building on the CAViaR quantile recursion, the model introduces a dynamic…

Predicting drug-target interactions (DTI) via reliable computational methods is an effective and efficient way to mitigate the enormous costs and time of the drug discovery process. Structure-based drug similarities and sequence-based…

The composite quantile regression (CQR) was introduced by Zou and Yuan [Ann. Statist. 36 (2008) 1108--1126] as a robust regression method for linear models with heavy-tailed errors while achieving high efficiency. Its penalized counterpart…

Continual learning (CL) with long-tailed data distributions remains a critical challenge for real-world AI systems, where models must sequentially adapt to new classes while retaining knowledge of old ones, despite severe class imbalance.…

Gradient compression has surfaced as a key technique to address the challenge of communication efficiency in distributed learning. In distributed deep learning, however, it is observed that gradient distributions are heavy-tailed, with…

This paper introduces the partial Gini covariance, a novel dependence measure that addresses the challenges of high-dimensional inference with heavy-tailed errors, often encountered in fields like finance, insurance, climate, and biology.…

Interference prediction that accounts for extreme and rare events remains a key challenge for ultra-densely deployed sub-networks (SNs) requiring hyper-reliable low-latency communication (HRLLC), particularly under dynamic mobility, rapidly…

Conditional Value-at-Risk (CVaR) is a widely used risk-sensitive objective for learning under rare but high-impact losses, yet its statistical behavior under heavy-tailed data remains poorly understood. Unlike expectation-based risk, CVaR…

We study learning algorithms that seek to minimize the conditional value-at-risk (CVaR), when all the learner knows is that the losses incurred may be heavy-tailed. We begin by studying a general-purpose estimator of CVaR for potentially…

We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…

Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et…

Optimal transmission switching (OTS) improves optimal power flow (OPF) by selectively opening transmission lines, but its mixed-integer formulation increases computational complexity, especially on large grids. To deal with this, we propose…

Renewable energy (RE) generation exhibits pronounced seasonality and variability, and neglecting these features can lead to significant underestimation of long-term power system risks in power supply. While long-term dispatch strategies are…

Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the disproportionate influence of extreme values. These…

To accommodate numerous practical scenarios, in this paper we extend statistical inference for smoothed quantile estimators from finite domains to infinite domains. We accomplish the task with the help of a newly designed truncation…

Deep neural network (DNN) regression models are widely used in applications requiring state-of-the-art predictive accuracy. However, until recently there has been little work on accurate uncertainty quantification for predictions from such…

Leveraging well-established MCMC strategies, we propose MCMC-interactive variational inference (MIVI) to not only estimate the posterior in a time constrained manner, but also facilitate the design of MCMC transitions. Constructing a…