Related papers: Robust bounds on risk-sensitive functionals via Re…

In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the…

We propose a novel composite reward function for reinforcement learning in financial trading that balances return and risk using four differentiable terms: annualized return downside risk differential return and the Treynor ratio Unlike…

We consider the large deviations at the order of the variance for the central value of a family of $L$-functions among the members with bounded discriminant. When there is an upper bound on an integer moment of the central value twisted by…

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…

We develop a framework for interacting with uncertain environments in reinforcement learning (RL) by leveraging preferences in the form of utility functions. We claim that there is value in considering different risk measures during…

Modeling heterogeneity on heavy-tailed distributions under a regression framework is challenging, and classical statistical methodologies usually place conditions on the distribution models to facilitate the learning procedure. However,…

The extreme values theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological…

Functional data analysis is a fast evolving branch of statistics. Estimation procedures for the popular functional linear model either suffer from lack of robustness or are computationally burdensome. To address these shortcomings, a…

This paper introduces "swiveled Renyi entropies" as an alternative to the Renyi entropic quantities put forward in [Berta et al., Phys. Rev. A 91, 022333 (2015)]. What distinguishes the swiveled Renyi entropies from the prior proposal of…

We investigate robust nonparametric regression in the presence of heavy-tailed noise, where the hypothesis class may contain unbounded functions and robustness is ensured via a robust loss function $\ell_\sigma$. Using Huber regression as a…

We address an information-theoretic approach to noise and disturbance in quantum measurements. Properties of corresponding probability distributions are characterized by means of both the R\'{e}nyi and Tsallis entropies. Related…

This work proposes a novel theoretical framework of robust limit analysis i.e. the computation of limit loads of structures in presence of uncertainties using limit analysis and robust optimization theories. We first derive generic robust…

We propose a residual randomization procedure designed for robust Lasso-based inference in the high-dimensional setting. Compared to earlier work that focuses on sub-Gaussian errors, the proposed procedure is designed to work robustly in…

By introducing a weight function into the density power divergence, we develop a new class of robust and smooth estimators for the tail index of Pareto-type distributions, offering improved efficiency in the presence of outliers. These…

We consider strictly stationary heavy tailed time series whose finite-dimensional exponent measures are concentrated on axes, and hence their extremal properties cannot be tackled using classical multivariate regular variation that is…

We benchmark the robustness of maximum likelihood based uncertainty estimation methods to outliers in training data for regression tasks. Outliers or noisy labels in training data results in degraded performances as well as incorrect…

Motivated by the recent discovery that the interpretation maps of CNNs could easily be manipulated by adversarial attacks against network interpretability, we study the problem of interpretation robustness from a new perspective of \Renyi…

The R\'enyi and Shannon entropies are information-theoretic measures which have enabled to formulate the position-momentum uncertainty principle in a much more adequate and stringent way than the (variance-based) Heisenberg-like relation.…

The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…

Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($\alpha$), the Renyi exponents…