Related papers: Quantitative Statistical Robustness for Tail-Depen…
A method for quantile-based, semi-parametric historical simulation estimation of multiple step ahead Value-at-Risk (VaR) and Expected Shortfall (ES) models is developed. It uses the quantile loss function, analogous to how the…
We present a new approach to assessing the robustness of neural networks based on estimating the proportion of inputs for which a property is violated. Specifically, we estimate the probability of the event that the property is violated…
Statistical machine learning often uses probabilistic algorithms, such as Markov Chain Monte Carlo (MCMC), to solve a wide range of problems. Many accelerators are proposed using specialized hardware to address sampling inefficiency, the…
Robust optimization safeguards decisions against uncertainty by optimizing against worst-case scenarios, yet their effectiveness hinges on a prespecified robustness level that is often chosen ad hoc, leading to either insufficient…
A novel forecast combination and weighted quantile based tail-risk forecasting framework is proposed, aiming to reduce the impact of modelling uncertainty in tail-risk forecasting. The proposed approach is based on a two-step estimation…
Robust estimators and Wald-type tests are developed for the multinomial logistic regression based on $\phi$-divergence measures. The robustness of the proposed estimators and tests is proved through the study of their influence functions…
Recent work has shown that state-of-the-art classifiers are quite brittle, in the sense that a small adversarial change of an originally with high confidence correctly classified input leads to a wrong classification again with high…
In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal…
Text classifiers suffer from small perturbations, that if chosen adversarially, can dramatically change the output of the model. Verification methods can provide robustness certificates against such adversarial perturbations, by computing a…
The concept of trustworthy AI has gained widespread attention lately. One of the aspects relevant to trustworthy AI is robustness of ML models. In this study, we show how to probabilistically quantify robustness against naturally occurring…
Sensitivity-based robustness certification has emerged as a practical approach for certifying neural network robustness, including in settings that require verifiable guarantees. A key advantage of these methods is that certification is…
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…
This article introduces a robust hypothesis testing procedure: the Lq-likelihood-ratio-type test (LqRT). By deriving the asymptotic distribution of this test statistic, the authors demonstrate its robustness both analytically and…
This paper studies convergence of empirical risks in reproducing kernel Hilbert spaces (RKHS). A conventional assumption in the existing research is that empirical training data do not contain any noise but this may not be satisfied in some…
We establish analogs of Cheeger's inequality for probability measures with heavy tails. As one of the principal applications, suppose $\lambda > 3$ and define the (Pareto) probability measure $\mu_{\lambda}$ on $[1,\infty)$ by…
Recent studies have highlighted the potential of Lipschitz-based methods for training certifiably robust neural networks against adversarial attacks. A key challenge, supported both theoretically and empirically, is that robustness demands…
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…
Distortion risk measures are extensively used in finance and insurance applications because of their appealing properties. We present three methods to construct new class of distortion functions and measures. The approach involves the…
The Growth-at-Risk (GaR) framework has garnered attention in recent econometric literature, yet current approaches implicitly assume a constant Pareto exponent. We introduce novel and robust econometrics to estimate the tails of GaR based…
The analysis of extremal dependence in high dimensions has recently attracted considerable interest. Existing methodology primarily focuses on modeling and estimation of extremal dependence structures, often supported by concentration…