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We derive a formal, decision-based method for comparing the performance of counterfactual treatment regime predictions using the results of experiments that give relevant information on the distribution of treated outcomes. Our approach…
Penalized regression models such as the Lasso have proved useful for variable selection in many fields - especially for situations with high-dimensional data where the numbers of predictors far exceeds the number of observations. These…
In this article, a multiple split method is proposed that enables construction of multidimensional probabilistic forecasts of a selected set of variables. The method uses repeated resampling to estimate uncertainty of simultaneous…
The voting method, an ensemble approach for fundamental frequency estimation, is empirically known for its robustness but lacks thorough investigation. This paper provides a principled analysis and improvement of this technique. First, we…
Stochastic Model Predictive Control addresses uncertainties by incorporating chance constraints that provide probabilistic guarantees of constraint satisfaction. However, simultaneously optimizing over the risk allocation and the feedback…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
Predictive models are often introduced to decision-making tasks under the rationale that they improve performance over an existing decision-making policy. However, it is challenging to compare predictive performance against an existing…
Monte Carlo methods, Variational Inference, and their combinations play a pivotal role in sampling from intractable probability distributions. However, current studies lack a unified evaluation framework, relying on disparate performance…
Several new methods have been proposed for performing valid inference after model selection. An older method is sampling splitting: use part of the data for model selection and part for inference. In this paper we revisit sample splitting…
Abstract In Extreme Value methodology the choice of threshold plays an important role in efficient modelling of observations exceeding the threshold. The threshold must be chosen high enough to ensure an unbiased extreme value index but…
Conditional Monte Carlo refers to sampling from the conditional distribution of a random vector X given the value T(X) = t for a function T(X). Classical conditional Monte Carlo methods were designed for estimating conditional expectations…
This study proposes a novel approach to ensemble prediction, called "covariate-dependent stacking" (CDST). Unlike traditional stacking and model averaging methods, CDST allows model weights to vary flexibly as a function of covariates,…
Given a nonlinear model, a probabilistic forecast may be obtained by Monte Carlo simulations. At a given forecast horizon, Monte Carlo simulations yield sets of discrete forecasts, which can be converted to density forecasts. The resulting…
This paper introduces X-SHAP, a model-agnostic method that assesses multiplicative contributions of variables for both local and global predictions. This method theoretically and operationally extends the so-called additive SHAP approach.…
In this article, we propose a new nonparametric data analysis tool, which we call nonparametric modal regression, to investigate the relationship among interested variables based on estimating the mode of the conditional density of a…
Probabilistic time series forecasting involves estimating the distribution of future based on its history, which is essential for risk management in downstream decision-making. We propose a deep state space model for probabilistic time…
The indeterminate nature of human motion requires trajectory prediction systems to use a probabilistic model to formulate the multi-modality phenomenon and infer a finite set of future trajectories. However, the inference processes of most…
To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk measures such as Value-at-Risk (VaR) and Expected Shortfall…
We describe a general strategy for sampling configurations from a given distribution, NOT based on the standard Metropolis (Markov chain) strategy. It uses the fact that nontrivial problems in statistical physics are high dimensional and…
Imputing missing values is an important preprocessing step in data analysis, but the literature offers little guidance on how to choose between different imputation models. This letter suggests adopting the imputation model that generates a…