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Deep neural network (DNN) regression models are widely used in applications requiring state-of-the-art predictive accuracy. However, until recently there has been little work on accurate uncertainty quantification for predictions from such…

We develop an R package SPQR that implements the semi-parametric quantile regression (SPQR) method in Xu and Reich (2021). The method begins by fitting a flexible density regression model using monotonic splines whose weights are modeled as…

Streamlined weirs which are a nature-inspired type of weir have gained tremendous attention among hydraulic engineers, mainly owing to their established performance with high discharge coefficients. Computational fluid dynamics (CFD) is…

Despite the major progress of deep models as learning machines, uncertainty estimation remains a major challenge. Existing solutions rely on modified loss functions or architectural changes. We propose to compensate for the lack of built-in…

We show that the estimating equations for quantile regression can be solved using a simple EM algorithm in which the M-step is computed via weighted least squares, with weights computed at the E-step as the expectation of independent…

This paper proposes dynamic Bayesian regression quantile synthesis (DRQS), a novel method for quantile forecasting within the Bayesian predictive synthesis (BPS) framework designed to combine quantile-specific information from multiple…

Quantile regression is a powerful tool capable of offering a richer view of the data as compared to least-squares regression. Quantile regression is typically performed individually on a few quantiles or a grid of quantiles without…

Regression models that incorporate smooth functions of predictor variables to explain the relationships with a response variable have gained widespread usage and proved successful in various applications. By incorporating smooth functions…

Long-run covariance matrix estimation is the building block of time series inference. The corresponding difference-based estimator, which avoids detrending, has attracted considerable interest due to its robustness to both smooth and abrupt…

This study extends the Bayesian nonparametric instrumental variable regression model to determine the structural effects of covariates on the conditional quantile of the response variable. The error distribution is nonparametrically…

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…

Quantile regression is a fundamental problem in statistical learning motivated by a need to quantify uncertainty in predictions, or to model a diverse population without being overly reductive. For instance, epidemiological forecasts, cost…

While inference-time scaling has significantly enhanced generative quality in large language and diffusion models, its application to vector-quantized (VQ) visual autoregressive modeling (VAR) remains unexplored. We introduce VAR-Scaling,…

Time series models aim for accurate predictions of the future given the past, where the forecasts are used for important downstream tasks like business decision making. In practice, deep learning based time series models come in many forms,…

The paper considers simultaneous nonparametric inference for a wide class of M-regression models with time-varying coefficients. The covariates and errors of the regression model are tackled as a general class of nonstationary time series…

A model-free measure of Granger causality in expectiles is proposed, generalizing the traditional mean-based measure to arbitrary positions of the conditional distribution. Expectiles are the only law-invariant risk measures that are both…

In this paper, we propose an invariant quantile regression (IQR) framework specifically designed for multi-environment datasets, which captures the invariance across different environments. This framework is closely related to transfer…

Kernel quantile regression (KQR) extends classical quantile regression to nonlinear settings using kernel methods, offering a powerful tool for modeling conditional distributions. However, its application to large-scale datasets remains…

The estimation of conditional quantiles at extreme tails is of great interest in numerous applications. Various methods that integrate regression analysis with an extrapolation strategy derived from extreme value theory have been proposed…

Quantile regression is a powerful tool for detecting exposure-outcome associations given covariates across different parts of the outcome's distribution, but has two major limitations when the aim is to infer the effect of an exposure.…