Related papers: A Discussion on Mean Excess Plots
In the practical industry, the most commonly used application of statistical analysis for monitoring the process mean is the control chart. Control charts are generated based on the presumption that we have a sample from a stable process.…
Quantiles, expectiles and extremiles can be seen as concepts defined via an optimization problem, where this optimization problem is driven by two important ingredients: the loss function as well as a distributional weight function. This…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
Compartmental epidemic models have been widely used for predicting the course of epidemics, from estimating the basic reproduction number to guiding intervention policies. Studies commonly acknowledge these models' assumptions but less…
The mean absolute deviation about the mean is an alternative to the standard deviation for measuring dispersion in a sample or in a population. For stationary, ergodic time series with a finite first moment, an asymptotic expansion for the…
Tests for proportional hazards assumption concerning specified covariates or groups of covariates are proposed. The class of alternatives is wide: log-hazard rates under different values of covariates may cross, approach, go away. The data…
A model for cross-over designs with repeated measures within each period was developed. It is obtained using an extension of generalized estimating equations that includes a parametric component to model treatment effects and a…
The paper considers the problem of out-of-sample risk estimation under the high dimensional settings where standard techniques such as $K$-fold cross validation suffer from large biases. Motivated by the low bias of the leave-one-out cross…
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…
We investigate the accuracy of the two most common estimators for the maximum expected value of a general set of random variables: a generalization of the maximum sample average, and cross validation. No unbiased estimator exists and we…
Probability forecasting is common in the geosciences, the finance sector, and elsewhere. It is sometimes the case that one has multiple probability-forecasts for the same target. How is the information in these multiple forecast systems…
A growing number of applications involve settings where, in order to infer heterogeneous effects, a researcher compares various units. Examples of research designs include children moving between different neighborhoods, workers moving…
A coupling method is developed for univariate extreme value theory , providing an alternative to the use of the tail empirical/quantile processes. Emphasizing the Peak-over-Threshold approach that approximates the distribution above high…
Randomness in scientific estimation is generally assumed to arise from unmeasured or uncontrolled factors. However, when combining subjective probability estimates, heterogeneity stemming from people's cognitive or information diversity is…
The potential outcomes framework serves as a fundamental tool for quantifying causal effects. The average dose-response function (also called the effect curve), denoted as (\mu(t)), is typically of interest when dealing with a continuous…
Overplotting of data points is a common problem when visualizing large datasets in a scatterplot, particularly when mapping nominal dimensions to one of the scatterplot axes. Transparency, aggregation, and jittering have previously been…
The law of large numbers extends to random sets by employing Minkowski addition. Above that, a central limit theorem is available for set-valued random variables. The existing results use abstract isometries to describe convergence of the…
Exposure mappings are widely used to model potential outcomes in the presence of interference, where each unit's outcome may depend not only on its own treatment, but also on the treatment of other units as well. However, in practice these…
In this paper, we consider recent progress in estimating the average treatment effect when extreme inverse probability weights are present and focus on methods that account for a possible violation of the positivity assumption. These…
In recent years some near-optimal estimates have been established for certain sum-product type estimates. This paper gives some first extremal results which provide information about when these bounds may or may not be tight. The main tool…