Related papers: Flexible Bayesian Quantile Regression in Ordinal M…

In employing spatial regression models for counts, we usually meet two issues. First, ignoring the inherent collinearity between covariates and the spatial effect would lead to causal inferences. Second, real count data usually reveal over…

Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market; hence calibrations of local volatility models are necessary using observable market data.…

In this study, we propose a function-on-function linear quantile regression model that allows for more than one functional predictor to establish a more flexible and robust approach. The proposed model is first transformed into a…

This paper studies quantile regression with an endogenous regressor and measurement error in the dependent variable. Standard quantile regression estimators ignoring these two elements can induce substantial bias. We adopt a…

Quantile regression relates the quantile of the response to a linear predictor. For a discrete response distributions, like the Poission, Binomial and the negative Binomial, this approach is not feasible as the quantile function is not…

We study the problem of estimating the distribution of the return of a policy using an offline dataset that is not generated from the policy, i.e., distributional offline policy evaluation (OPE). We propose an algorithm called Fitted…

In the paper, we present a strategy for accelerating posterior inference for unknown inputs in time fractional diffusion models. In many inference problems, the posterior may be concentrated in a small portion of the entire prior support.…

Quantile treatment effects (QTEs) can characterize the potentially heterogeneous causal effect of a treatment on different points of the entire outcome distribution. Propensity score (PS) methods are commonly employed for estimating QTEs in…

We propose a framework for conditional vector quantile regression (CVQR) that combines neural optimal transport with amortized optimization, and apply it to multivariate conformal prediction. Classical quantile regression does not extend…

Quantile regression is a statistical method for estimating conditional quantiles of a response variable. In addition, for mean estimation, it is well known that quantile regression is more robust to outliers than $l_2$-based methods. By…

This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we combine empirical estimates derived from dynamically chosen…

We introduce a new algorithm for multi-objective reinforcement learning (MORL) with linear preferences, with the goal of enabling few-shot adaptation to new tasks. In MORL, the aim is to learn policies over multiple competing objectives…

Beyond estimating parameters of interest from data, one of the key goals of statistical inference is to properly quantify uncertainty in these estimates. In Bayesian inference, this uncertainty is provided by the posterior distribution, the…

This paper extends the horseshoe prior of Carvalho et al. (2010) to Bayesian quantile regression (HS-BQR) and provides a fast sampling algorithm for computation in high dimensions. The performance of the proposed HS-BQR is evaluated on…

We propose a new method, the continuous Galerkin method with globally and locally supported basis functions (CG-GL), to address the parametric robustness issues of reduced-order models (ROMs) by incorporating solution-based adaptivity with…

Variational approaches to approximate Bayesian inference provide very efficient means of performing parameter estimation and model selection. Among these, so-called variational-Laplace or VL schemes rely on Gaussian approximations to…

Local volatility is a versatile option pricing model due to its state dependent diffusion coefficient. Calibration is, however, non-trivial as it involves both proposing a hypothesis model of the latent function and a method for fitting it…

Over the last decades, the challenges in applied regression and in predictive modeling have been changing considerably: (1) More flexible model specifications are needed as big(ger) data become available, facilitated by more powerful…

Compromise estimation entails using a weighted average of outputs from several candidate models, and is a viable alternative to model selection when the choice of model is not obvious. As such, it is a tool used by both frequentists and…

The quantile residual lifetime (QRL) regression is an attractive tool for assessing covariate effects on the distribution of residual life expectancy, which is often of interest in clinical studies. When the study subjects are exposed to…