Related papers: Estimating the Value-at-Risk by Temporal VAE

In Materials Science, material development involves evaluating and optimizing the internal structures of the material, generically referred to as microstructures. Microstructures structure is stochastic, analogously to image textures. A…

The choice of an appropriate bottleneck dimension and the application of effective regularization are both essential for Autoencoders to learn meaningful representations from unlabeled data. In this paper, we introduce a new class of…

As a general-purpose generative model architecture, VAE has been widely used in the field of image and natural language processing. VAE maps high dimensional sample data into continuous latent variables with unsupervised learning. Sampling…

Conditional Value-at-Risk (CVaR) is a widely used risk-sensitive objective for learning under rare but high-impact losses, yet its statistical behavior under heavy-tailed data remains poorly understood. Unlike expectation-based risk, CVaR…

We revisit macroeconomic time-varying parameter vector autoregressions (TVP-VARs), whose persistent coefficients may adapt too slowly to large, abrupt shifts such as those during major crises. We explore the performance of an…

Variational auto-encoders (VAEs) are a popular and powerful deep generative model. Previous works on VAEs have assumed a factorized likelihood model, whereby the output uncertainty of each pixel is assumed to be independent. This…

Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric…

The surrogate loss of variational autoencoders (VAEs) poses various challenges to their training, inducing the imbalance between task fitting and representation inference. To avert this, the existing strategies for VAEs focus on adjusting…

A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected…

Variational Autoencoder (VAE), a simple and effective deep generative model, has led to a number of impressive empirical successes and spawned many advanced variants and theoretical investigations. However, recent studies demonstrate that,…

As big spatial data becomes increasingly prevalent, classical spatiotemporal (ST) methods often do not scale well. While methods have been developed to account for high-dimensional spatial objects, the setting where there are exceedingly…

Model-agnostic anomaly detection is one of the promising approaches in the search for new beyond the standard model physics. In this paper, we present Set-VAE, a particle-based variational autoencoder (VAE) anomaly detection algorithm. We…

Bioacoustics data from Passive acoustic monitoring (PAM) poses a unique set of challenges for classification, particularly the limited availability of complete and reliable labels in datasets due to annotation uncertainty, biological…

We introduce an improved variational autoencoder (VAE) for text modeling with topic information explicitly modeled as a Dirichlet latent variable. By providing the proposed model topic awareness, it is more superior at reconstructing input…

Conditional Value-at-Risk (CoVaR) quantifies systemic financial risk by measuring the loss quantile of one asset, conditional on another asset experiencing distress. We develop a Transformer-based methodology that integrates financial news…

Deep metric learning has been demonstrated to be highly effective in learning semantic representation and encoding information that can be used to measure data similarity, by relying on the embedding learned from metric learning. At the…

Variational auto-encoders are powerful probabilistic models in generative tasks but suffer from generating low-quality samples which are caused by the holes in the prior. We propose the Coupled Variational Auto-Encoder (C-VAE), which…

Variational Autoencoder (VAE) is widely used as a generative model to approximate a model's posterior on latent variables by combining the amortized variational inference and deep neural networks. However, when paired with strong…

In a wide variety of sequential decision making problems, it can be important to estimate the impact of rare events in order to minimize risk exposure. A popular risk measure is the conditional value-at-risk (CVaR), which is commonly…

Variational language models seek to estimate the posterior of latent variables with an approximated variational posterior. The model often assumes the variational posterior to be factorized even when the true posterior is not. The learned…