Related papers: Estimation of the covariate conditional tail expec…

The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…

This study examines the varying coefficient model in tail index regression. The varying coefficient model is an efficient semiparametric model that avoids the curse of dimensionality when including large covariates in the model. In fact,…

When a source-trained model $Q$ is replaced by a model $\tilde{Q}$ trained on shifted data, its performance on the source domain can change unpredictably. To address this, we study the two-model risk change, $\Delta R := R_P(\tilde{Q}) -…

We propose estimating the scale parameter (mean of the eigenvalues) of the scatter matrix of an unspecified elliptically symmetric distribution using weights obtained by solving Tyler's M-estimator of the scatter matrix. The proposed…

While deep learning models often achieve high predictive accuracy, their predictions typically do not come with any provable guarantees on risk or reliability, which are critical for deployment in high-stakes applications. The framework of…

In risk management, tail risks are of crucial importance. The assessment of risks should be carried out in accordance with the regulatory authority's requirement at high quantiles. In general, the underlying distribution function is…

Expected Shortfall (ES) is a coherent measure of tail risk that captures the average loss beyond a quantile threshold. Despite the growing literature on ES regression conditional on covariates, no existing work considers ES modeling in…

In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…

Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the disproportionate influence of extreme values. These…

A number of methods have been proposed for causal effect estimation, yet few have demonstrated efficacy in handling data with complex structures, such as images. To fill this gap, we propose Causal Multi-task Deep Ensemble (CMDE), a novel…

In this paper, we develop a multiply robust inference procedure of the average treatment effect (ATE) for data with high-dimensional covariates. We consider the case where it is difficult to correctly specify a single parametric model for…

We consider a model for multivariate data with heavy-tailed marginal distributions and a Gaussian dependence structure. The different marginals in the model are allowed to have non-identical tail behavior in contrast to most popular…

As a measure for the centrality of a point in a set of multivariate data, statistical depth functions play important roles in multivariate analysis, because one may conveniently construct descriptive as well as inferential procedures…

Quantifying treatment effect heterogeneity is a crucial task in many areas of causal inference, e.g. optimal treatment allocation and estimation of subgroup effects. We study the problem of estimating the level sets of the conditional…

This paper considers estimation and inference about tail features when the observations beyond some threshold are censored. We first show that ignoring such tail censoring could lead to substantial bias and size distortion, even if the…

A deep feature based saliency model (DeepFeat) is developed to leverage the understanding of the prediction of human fixations. Traditional saliency models often predict the human visual attention relying on few level image cues. Although…

Identifying groups of variables that may be large simultaneously amounts to finding out which joint tail dependence coefficients of a multivariate distribution are positive. The asymptotic distribution of a vector of nonparametric,…

Existing risk-aware multi-armed bandit models typically focus on risk measures of individual options such as variance. As a result, they cannot be directly applied to important real-world online decision making problems with correlated…

Regular variation is often used as the starting point for modeling multivariate heavy-tailed data. A random vector is regularly varying if and only if its radial part $R$ is regularly varying and is asymptotically independent of the angular…

Conditional risk measures and their associated risk contribution measures are commonly employed in finance and actuarial science for evaluating systemic risk and quantifying the effects of risk interactions. This paper introduces various…