Related papers: Estimating and backtesting risk under heavy tails

Cross-validation is a widely used technique for evaluating the performance of prediction models, ranging from simple binary classification to complex precision medicine strategies. It helps correct for optimism bias in error estimates,…

We develop a statistical test to detect lookahead bias in economic forecasts generated by large language models (LLMs). Using state-of-the-art pre-training data detection techniques, we estimate the likelihood that a given prompt appeared…

When performing supervised learning with the model selected using validation error from sample splitting and cross validation, the minimum value of the validation error can be biased downward. We propose two simple methods that use the…

Algorithmic risk assessments are increasingly used to help humans make decisions in high-stakes settings, such as medicine, criminal justice and education. In each of these cases, the purpose of the risk assessment tool is to inform…

We study a class of backtests for forecast distributions in which the test statistic depends on a spectral transformation that weights exceedance events by a function of the modeled probability level. The weighting scheme is specified by a…

Firms increasingly use randomized experiments to decide whether to scale up an intervention and, if so, how to re-optimize related operational choices such as inventory, capacity, or pricing. In many settings, experiments are performed on…

Modeling heterogeneity on heavy-tailed distributions under a regression framework is challenging, and classical statistical methodologies usually place conditions on the distribution models to facilitate the learning procedure. However,…

Comparative Judgement is an assessment method where item ratings are estimated based on rankings of subsets of the items. These rankings are typically pairwise, with ratings taken to be the estimated parameters from fitting a Bradley-Terry…

Firth-type logistic regression has become a standard approach for the analysis of binary outcomes with small samples. Whereas it reduces the bias in maximum likelihood estimates of coefficients, bias towards 1/2 is introduced in the…

While Indices, Index tracking funds and ETFs have grown in popularity during then last ten years, there are many structural problems inherent in Index calculation methodologies and the legal/economic structure of ETFs. These problems raise…

We investigate high-dimensional sparse regression when both the noise and the design matrix exhibit heavy-tailed behavior. Standard algorithms typically fail in this regime, as heavy-tailed covariates distort the empirical risk geometry. We…

This study introduces a new analytical framework for quantifying multivariate risk measures. Using the Wishart process, which is a stochastic process with values in the space of positive definite matrices, we derive several conditional tail…

We study the problem of modelling high-dimensional, heavy-tailed time series data via a factor-adjusted vector autoregressive (VAR) model, which simultaneously accounts for pervasive co-movements of the variables by a handful of factors, as…

Inference for high-dimensional logistic regression models using penalized methods has been a challenging research problem. As an illustration, a major difficulty is the significant bias of the Lasso estimator, which limits its direct…

Societal biases that are contained in retrieved documents have received increased interest. Such biases, which are often prevalent in the training data and learned by the model, can cause societal harms, by misrepresenting certain groups,…

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting. In particular, ES has been found…

Backtests on historical data are the basis for practical evaluations of portfolio selection rules, but their reliability is often limited by reliance on a single sample path. This can lead to high estimation variance. Resampling techniques…

The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynamics, as a potentially more efficient driver than daily…

We consider a class of M-estimators of the parameters of a GARCH (p,q) model. These estimators involve score functions and, for adequate choices of the score functions, are asymptotically normal under milder moment assumptions than the…