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While recent developments in autonomous vehicle (AV) technology highlight substantial progress, we lack tools for rigorous and scalable testing. Real-world testing, the $\textit{de facto}$ evaluation environment, places the public in…
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk…
Selective Classification, wherein models can reject low-confidence predictions, promises reliable translation of machine-learning based classification systems to real-world scenarios such as clinical diagnostics. While current evaluation of…
Much theoretical and applied work has been devoted to high-dimensional regression with clean data. However, we often face corrupted data in many applications where missing data and measurement errors cannot be ignored. Loh and Wainwright…
The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying…
Post-hoc recalibration methods are widely used to ensure that classifiers provide faithful probability estimates. We argue that parametric recalibration functions based on logistic regression can be motivated from a simple theoretical…
Multivariate Singular Spectrum Analysis (MSSA) is a powerful and widely used nonparametric method for multivariate time series, which allows the analysis of complex temporal data from diverse fields such as finance, healthcare, ecology, and…
Hybrid methods have been shown to outperform pure statistical and pure deep learning methods at forecasting tasks and quantifying the associated uncertainty with those forecasts (prediction intervals). One example is Exponential Smoothing…
This is a course project report with complete methodology, experiments, references and mathematical derivations. Matrix factorization [1] is a widely used technique in recommendation systems. Probabilistic Matrix Factorization (PMF) [2]…
We study the problem of excess risk evaluation for empirical risk minimization (ERM) under convex losses. We show that by leveraging the idea of wild refitting, one can upper bound the excess risk through the so-called "wild optimism,"…
We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and a conditional expected shortfall (ES) using Rademacher bounds, in a non-parametric setup allowing for heavy-tails on the…
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for $d$ assets with transaction costs or illiquidity and possible trading constraints are considered on a…
In this paper we present tools for applied researchers that re-purpose off-the-shelf methods from the computer-science field of machine learning to create a "discovery engine" for data from randomized controlled trials (RCTs). The applied…
In this paper we estimate the conditional value-at-risk by fitting different multivariate parametric models capturing some stylized facts about multivariate financial time series of equity returns: heavy tails, negative skew, asymmetric…
Multimodal large-language models (MLLMs) often experience degraded safety alignment when harmful queries exploit cross-modal interactions. Models aligned on text alone show a higher rate of successful attacks when extended to two or more…
We propose a new approach to safe variable preselection in high-dimensional penalized regression, such as the lasso. Preselection - to start with a manageable set of covariates - has often been implemented without clear appreciation of its…
New simulation approaches to evaluating path-dependent options without matrix inversion issues nor Euler bias are evaluated. They employ three main contributions: Stochastic approximation replaces regression in the LSM algorithm; Explicit…
For a risk-averse finite-horizon Markov Decision Problem, we introduce a special class of Markov coherent risk measures, called mini-batch measures. We also define the class of multipattern risk-averse problems that generalizes the class of…
High-dimensional compositional data are frequently encountered in many fields of modern scientific research. In regression analysis of compositional data, the presence of covariate measurement errors poses grand challenges for existing…
Machine learning applications frequently come with multiple diverse objectives and constraints that can change over time. Accordingly, trained models can be tuned with sets of hyper-parameters that affect their predictive behavior (e.g.,…