Related papers: Predictability Hidden by Anomalous Observations

In a real life process evolving over time, the relationship between its relevant variables may change. Therefore, it is advantageous to have different inference models for each state of the process. Asymmetric hidden Markov models fulfil…

We consider the problem of predicting a response variable from a set of covariates on a data set that differs in distribution from the training data. Causal parameters are optimal in terms of predictive accuracy if in the new distribution…

Discrete data are abundant and often arise as counts or rounded data. These data commonly exhibit complex distributional features such as zero-inflation, over-/under-dispersion, boundedness, and heaping, which render many parametric models…

There is an increasing interest in estimating expectations outside of the classical inference framework, such as for models expressed as probabilistic programs. Many of these contexts call for some form of nested inference to be applied. In…

Consider a problem of predicting a response variable using a set of covariates in a linear regression model. If it is \emph{a priori} known or suspected that a subset of the covariates do not significantly contribute to the overall fit of…

Omitted variables are one of the most important threats to the identification of causal effects. Several widely used methods assess the impact of omitted variables on empirical conclusions by comparing measures of selection on observables…

In multivariate nonparametric regression the additive models are very useful when a suitable parametric model is difficult to find. The backfitting algorithm is a powerful tool to estimate the additive components. However, due to complexity…

Recent work has focused on the very common practice of prediction-based inference: that is, (i) using a pre-trained machine learning model to predict an unobserved response variable, and then (ii) conducting inference on the association…

We propose nonparametric open-end sequential testing procedures that can detect all types of changes in the contemporary distribution function of possibly multivariate observations. Their asymptotic properties are theoretically investigated…

This paper studies the problem of multivariate linear regression where a portion of the observations is grossly corrupted or is missing, and the magnitudes and locations of such occurrences are unknown in priori. To deal with this problem,…

Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…

Probabilistic models analyze data by relying on a set of assumptions. Data that exhibit deviations from these assumptions can undermine inference and prediction quality. Robust models offer protection against mismatch between a model's…

The consideration of predictive uncertainty in medical imaging with deep learning is of utmost importance. We apply estimation of both aleatoric and epistemic uncertainty by variational Bayesian inference with Monte Carlo dropout to…

Life insurance, like other forms of insurance, relies heavily on large volumes of data. The business model is based on an exchange where companies receive payments in return for the promise to provide coverage in case of an accident. Thus,…

The research in anomaly detection lacks a unified definition of what represents an anomalous instance. Discrepancies in the nature itself of an anomaly lead to multiple paradigms of algorithms design and experimentation. Predictive…

Standard conformal anomaly detection provides marginal finite-sample guarantees under the assumption of exchangeability . However, real-world data often exhibit distribution shifts, necessitating a weighted conformal approach to adapt to…

This paper develops robust inference methods for predictive regressions that address key challenges posed by endogenously persistent or heavy-tailed regressors, as well as persistent volatility in errors. Building on the Cauchy estimation…

Generative models based on variational autoencoders are a popular technique for detecting anomalies in images in a semi-supervised context. A common approach employs the anomaly score to detect the presence of anomalies, and it is known to…

When data contains measurement errors, it is necessary to make assumptions relating the observed, erroneous data to the unobserved true phenomena of interest. These assumptions should be justifiable on substantive grounds, but are often…

A great deal of effort has been devoted to reducing the risk of spurious scientific discoveries, from the use of sophisticated validation techniques, to deep statistical methods for controlling the false discovery rate in multiple…