Related papers: Upper bounds on the minimum coverage probability o…
Autoregressive moving average (ARMA) models are widely used for analyzing time series data. However, standard likelihood-based inference methodology for ARMA models has avoidable limitations. We show that currently accepted standards for…
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…
This paper proposes a new Bayesian approach for analysing moment condition models in the situation where the data may be contaminated by outliers. The approach builds upon the foundations developed by Schennach (2005) who proposed the…
In many applied fields, the prediction of more severe events than those already recorded is crucial for safeguarding against potential future calamities. What-if analyses, which evaluate hypothetical scenarios up to the worst-case event,…
A new approach for Bayesian model averaging (BMA) and selection is proposed, based on the mixture model approach for hypothesis testing in Kaniav et al., 2014. Inheriting from the good properties of this approach, it extends BMA to cases…
A fundamental tool in network information theory is the covering lemma, which lower bounds the probability that there exists a pair of random variables, among a give number of independently generated candidates, falling within a given set.…
Heckman selection model is the most popular econometric model in analysis of data with sample selection. However, selection models with Normal errors cannot accommodate heavy tails in the error distribution. Recently, Marchenko and Genton…
The entropic risk measure is widely used in high-stakes decision-making across economics, management science, finance, and safety-critical control systems because it captures tail risks associated with uncertain losses. However, when data…
We consider the nonparametric multivariate isotonic regression problem, where the regression function is assumed to be nondecreasing with respect to each predictor. Our goal is to construct a Bayesian credible interval for the function…
Cox proportional hazards model with measurement errors is considered. In Kukush and Chernova (2017), we elaborated a simultaneous estimator of the baseline hazard rate $\lambda(\cdot)$ and the regression parameter $\beta$, with the…
This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…
The average treatment effect (ATE), the mean difference in potential outcomes under treatment and control, is a canonical causal effect. Overlap, which says that all subjects have non-zero probability of either treatment status, is…
The Peaks Over Threshold (POT) method is the most popular statistical method for the analysis of univariate extremes. Even though there is a rich applied literature on Bayesian inference for the POT, the asymptotic theory for such proposals…
Conformal prediction has emerged as a popular technique for facilitating valid predictive inference across a spectrum of machine learning models, under minimal assumption of exchangeability. Recently, Hoff (2023) showed that full conformal…
This article explores combinations of weighted bootstraps, like the Bayesian bootstrap, with the bootstrap $t$ method for setting approximate confidence intervals for the mean of a random variable in small samples. For this problem the…
The minimax risk is often considered as a gold standard against which we can compare specific statistical procedures. Nevertheless, as has been observed recently in robust and heavy-tailed estimation problems, the inherent reduction of the…
Consider panel data modelled by a linear random intercept model that includes a time-varying covariate. Suppose that we have uncertain prior information that this covariate is exogenous. We present a new confidence interval for the slope…
For estimating a positive normal mean, Zhang and Woodroofe (2003) as well as Roe and Woodroofe (2000) investigate 100($1-\alpha)%$ HPD credible sets associated with priors obtained as the truncation of noninformative priors onto the…
Impact assessment of natural hazards requires the consideration of both extreme and non-extreme events. Extensive research has been conducted on the joint modeling of bulk and tail in univariate settings; however, the corresponding body of…
In recent years several attempts have been made to extend tail modelling towards the modal part of the data. Frigessi et al. (2002) introduced dynamic mixtures of two components with a weight function {\pi} = {\pi}(x) smoothly connecting…