Related papers: Predicting tail events in a RIA-EVT-Copula framewo…
We establish a statistical learning theoretical framework aimed at extrapolation, or out-of-domain generalization, on the unobserved tails of covariates in continuous regression problems. Our strategy involves performing statistical…
Expected risk minimization (ERM) is at the core of many machine learning systems. This means that the risk inherent in a loss distribution is summarized using a single number - its average. In this paper, we propose a general approach to…
In a wide variety of sequential decision making problems, it can be important to estimate the impact of rare events in order to minimize risk exposure. A popular risk measure is the conditional value-at-risk (CVaR), which is commonly…
Joint modelling of longitudinal and time-to-event data is usually described by a joint model which uses shared or correlated latent effects to capture associations between the two processes. Under this framework, the joint distribution of…
We examine statistical pictures of violent conflicts over the last 2000 years, finding techniques for dealing with incompleteness and unreliability of historical data. We introduce a novel approach to apply extreme value theory to…
The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] proposed estimators of the marginal distributions of this…
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their multivariate generalizations with Gaussian copulas, we offer…
While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. This often leads to the underestimation of risk and…
Understanding and predicting uncertain things are the central themes of scientific evolution. Human beings revolve around these fears of uncertainties concerning various aspects like a global pandemic, health, finances, to name but a few.…
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…
Quantifying changes in the probability and magnitude of extreme flooding events is key to mitigating their impacts. While hydrodynamic data are inherently spatially dependent, traditional spatial models such as Gaussian processes are poorly…
The study of loss function distributions is critical to characterize a model's behaviour on a given machine learning problem. For example, while the quality of a model is commonly determined by the average loss assessed on a testing set,…
The extrapolation of extremes to values beyond the span of stationary univariate historical data is considered from Bayesian and Frequentist perspectives. The intention is to make predictions which in some sense "preserve probability". A…
A tail empirical process for heavy-tailed and right-censored data is introduced and its Gaussian approximation is established. In this context, a (weighted) new Hill-type estimator for positive extreme value index is proposed and its…
In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted…
Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a measure for tail risk in settings affected by uncertainty, we develop a new formula for approximating CVaR based optimization objectives and their gradients from limited…
Time Series Forecasting (TSF) is a widely researched topic with broad applications in weather forecasting, traffic control, and stock price prediction. Extreme values in time series often significantly impact human and natural systems, but…
Causal inference for extreme events has many potential applications in fields such as climate science, medicine and economics. We study the extremal quantile treatment effect of a binary treatment on a continuous, heavy-tailed outcome.…
This paper shows that the CoVaR,$\Delta$-CoVaR,CoES,$\Delta$-CoES and MES systemic risk measures can be represented in terms of the univariate risk measure evaluated at a quantile determined by the copula. The result is applied to derive…
The probability and structure of co-occurrences of extreme values in multivariate data may critically depend on auxiliary information provided by covariates. In this contribution, we develop a flexible generalized additive modeling…