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Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular measures of risk. Buffered Probability of…
For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…
High-probability analysis of stochastic first-order optimization methods under mild assumptions on the noise has been gaining a lot of attention in recent years. Typically, gradient clipping is one of the key algorithmic ingredients to…
Posterior inference on the more than a dozen parameters governing a gravitational wave (GW) event is challenging. A typical MCMC analysis can take around $100$ CPU hours, and next generation GW observatories will detect many thousands of…
Despite impressive accuracy, deep neural networks are often miscalibrated and tend to overly confident predictions. Recent techniques like temperature scaling (TS) and label smoothing (LS) show effectiveness in obtaining a well-calibrated…
A key task in actuarial modelling involves modelling the distributional properties of losses. Classic (distributional) regression approaches like Generalized Linear Models (GLMs; Nelder and Wedderburn, 1972) are commonly used, but…
The composite likelihood (CL) is amongst the computational methods used for the estimation of high-dimensional multivariate normal (MVN) copula models with discrete responses. Its computational advantage, as a surrogate likelihood method,…
Compute-in-memory (CIM) is an efficient method for implementing deep neural networks (DNNs) but suffers from substantial overhead from analog-to-digital converters (ADCs), especially as ADC precision increases. Low-precision ADCs can reduce…
We present a strictly monotone, provably convergent two-dimensional (2D) integration method for multi-period mean-conditional value-at-risk (mean-CVaR) reward-risk stochastic control in models whose one-step increment law is specified via a…
This study proposes a portfolio optimization framework that integrates advanced deep learning architectures with traditional financial models to enhance risk-adjusted performance. Using historical data from 2015-2023 across equities, ETFs,…
Automatic Differentiation Variational Inference (ADVI) is efficient in learning probabilistic models. Classic ADVI relies on the parametric approach to approximate the posterior. In this paper, we develop a spline-based nonparametric…
We formulate a novel approach to solve a class of stochastic problems, referred to as data-consistent inverse (DCI) problems, which involve the characterization of a probability measure on the parameters of a computational model whose…
Deep Neural Networks (DNNs) are computationally and memory intensive, which makes their hardware implementation a challenging task especially for resource constrained devices such as IoT nodes. To address this challenge, this paper…
Excellent tail performance is crucial for modern machine learning tasks, such as algorithmic fairness, class imbalance, and risk-sensitive decision making, as it ensures the effective handling of challenging samples within a dataset. Tail…
Early-exit deep neural networks enable adaptive inference by terminating computation when sufficient confidence is achieved, reducing cost for edge AI accelerators in resource-constrained settings. Existing methods, however, rely on…
We introduce new efficient integral representations and methods for evaluation of pdfs, cpds and quantiles of stable distributions. For wide regions in the parameter space, absolute errors of order $10^{-15}$ can be achieved in 0.005-0.1…
This paper studies distributed estimation and support recovery for high-dimensional linear regression model with heavy-tailed noise. To deal with heavy-tailed noise whose variance can be infinite, we adopt the quantile regression loss…
The Black Box Variational Inference (Ranganath et al. (2014)) algorithm provides a universal method for Variational Inference, but taking advantage of special properties of the approximation family or of the target can improve the…
Markov Chain Monte Carlo methods become increasingly popular in applied mathematics as a tool for numerical integration with respect to complex and high-dimensional distributions. However, application of MCMC methods to heavy tailed…
Modelling non-homogeneous and multi-component data is a problem that challenges scientific researchers in several fields. In general, it is not possible to find a simple and closed form probabilistic model to describe such data. That is why…