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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…
Historical studies of labor markets frequently lack data on individual income. The occupational income score (OCCSCORE) is often used as an alternative measure of labor market outcomes. We consider the consequences of using OCCSCORE when…
Conformal Prediction (CP) is a popular method for uncertainty quantification that converts a pretrained model's point prediction into a prediction set, with the set size reflecting the model's confidence. Although existing CP methods are…
Data-driven software is increasingly being used as a critical component of automated decision-support systems. Since this class of software learns its logic from historical data, it can encode or amplify discriminatory practices. Previous…
We present a nonparametric family of estimators for the tail index of a Pareto-type distribution when covariate information is available. Our estimators are based on a weighted sum of the log-spacings between some selected observations.…
A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank delimits the tails of a distribution. We propose a new method…
Ratios of central order statistics seem to be very useful for estimating the tail of the distributions and therefore, quantiles outside the range of the data. In 1995 Isabel Fraga Alves investigated the rate of convergence of three…
Expectile, as the minimizer of an asymmetric quadratic loss function, is a coherent risk measure and is helpful to use more information about the distribution of the considered risk. In this paper, we propose a new risk measure by replacing…
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…
Both long-tailed and noisily labeled data frequently appear in real-world applications and impose significant challenges for learning. Most prior works treat either problem in an isolated way and do not explicitly consider the coupling…
A scan statistic is examined for the purpose of testing the existence of a global peak in a random process with dependent variables of any distribution. The scan statistic tail probability is obtained based on the covariance of the moving…
To simultaneously overcome the limitation of the Gini index in that it is less sensitive to inequality at the tails of income distribution and the limitation of the inter-decile ratios that ignore inequality in the middle of income…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
With the growing adoption of machine learning (ML) systems in areas like law enforcement, criminal justice, finance, hiring, and admissions, it is increasingly critical to guarantee the fairness of decisions assisted by ML. In this paper,…
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…
Income segregation measures the extent to which households choose to live near other households with similar incomes. Sociologists theorize that income segregation can exacerbate the impacts of income inequality, and have developed indices…
The purpose of this letter is to improve Hoeffding's lemma and consequently Hoeffding's tail bounds. The improvement pertains to left skewed zero mean random variables $X\in[a,b]$, where $a<0$ and $-a>b$. The proof of Hoeffding's improved…
Automated international classification of diseases (ICD) coding aims to assign multiple disease codes to clinical documents and plays a critical role in healthcare informatics. However, its performance is hindered by the extreme long-tail…
We consider projection methods for the estimation of the cumulative distribution function under interval censoring, case 1. Such censored data also known as current status data, arise when the only information available on the variable of…
In 2016, the majority of full-time employed women in the U.S. earned significantly less than comparable men. The extent to which women were affected by gender inequality in earnings, however, depended greatly on socio-economic…