Related papers: Hidden Regular Variation: Detection and Estimation
In this paper, we develop a general theory on the coverage probability of random intervals defined in terms of discrete random variables with continuous parameter spaces. The theory shows that the minimum coverage probabilities of random…
In this paper, we consider a convex function defined as a 1D-regularized total variation with nonhomogeneous coefficients, and prove the Main Theorem concerned with the decomposition of the subdifferential of this convex function to a…
This paper provides a new methodology to analyze unobserved heterogeneity when observed characteristics are modeled nonlinearly. The proposed model builds on varying random coefficients (VRC) that are determined by nonlinear functions of…
Consider the problem of estimating a multivariate normal mean with a known variance matrix, which is not necessarily proportional to the identity matrix. The coordinates are shrunk directly in proportion to their variances in Efron and…
This paper introduces a novel periodogram-like function, called the expectile periodogram, for modeling spectral features of time series and detecting hidden periodicities. The expectile periodogram is constructed from trigonometric…
False discovery rate (FDR) is a common way to control the number of false discoveries in multiple testing. There are a number of approaches available for controlling FDR. However, for functional test statistics, which are discretized into…
We introduce the discrete distribution of a Wiener process range. Rather than finding some basic distributional properties including hazard rate function, moments, Stress-strength parameter and order statistics of this distribution, this…
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 propose a modified density estimation problem that is highly effective for detecting anomalies in tabular data. Our approach assumes that the density function is relatively stable (with lower variance) around normal samples. We have…
The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper, we quantify, for the class of distortion risk measures with…
We analyze the effect of a heterogeneous variance on bump detection in a Gaussian regression model. To this end we allow for a simultaneous bump in the variance and specify its impact on the difficulty to detect the null signal against a…
To provide a comprehensive summary of the tail distribution, the expected shortfall is defined as the average over the tail above (or below) a certain quantile of the distribution. The expected shortfall regression captures the…
We study a generalization of the classical hidden clique problem to graphs with real-valued edge weights. Formally, we define a hypothesis testing problem. Under the null hypothesis, edges of a complete graph on $n$ vertices are associated…
We study the problem of detecting the presence of an underlying high-dimensional geometric structure in a random graph. Under the null hypothesis, the observed graph is a realization of an Erd\H{o}s-R\'enyi random graph $G(n,p)$. Under the…
Multivariate statistics are often available as well as necessary in hypothesis tests. We study how to use such statistics to control not only false discovery rate (FDR) but also positive FDR (pFDR) with good power. We show that FDR can be…
In this work, we tackle the problem of hidden community detection. We consider Belief Propagation (BP) applied to the problem of detecting a hidden Erd\H{o}s-R\'enyi (ER) graph embedded in a larger and sparser ER graph, in the presence of…
In this paper we focus on the problem of finding (small) subhypergraphs in a (large) hypergraph. We use this problem to illustrate that reducing hypergraph problems to graph problems by working with the 2-section is not always a reasonable…
Dilation is a puzzling phenomenon within Imprecise Probability theory: when it obtains, our uncertainty evaluation on event $A$ is vaguer after conditioning $A$ on $B$, whatever is event $B$ in a given partition $\mathcal{B}$. In this paper…
A new family of multivariate distributions, which shall be termed multivector variate distributions, based in the family of the multivariate contoured elliptically distribution is proposed. Several particular cases of multivector variate…
Given an observation $\mathbf Y \in \mathbb{R}^{d_1\times d_2}$ from the model $\mathbf Y = \mathbf X + \mathbf E$ where $\mathbf X$ is constant and $\mathbf E$ has i.i.d. $N(0,1)$ entries, we consider the problem of detecting a planted…