Related papers: On Goodhart's law, with an application to value al…
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year. This measures how well (or…
Real-world data usually present long-tailed distributions. Training on imbalanced data tends to render neural networks perform well on head classes while much worse on tail classes. The severe sparseness of training instances for the tail…
This paper establishes the functional convergence of the Extreme Nelson--Aalen and Extreme Kaplan--Meier estimators, which are designed to capture the heavy-tailed behaviour of censored losses. The resulting limit representations can be…
Probabilistic forecasts are typically obtained using state-of-the-art statistical and machine learning models, with model parameters estimated by optimizing a proper scoring rule over a set of training data. If the model class is not…
Taylor's law, also known as fluctuation scaling in physics and the power-law variance function in statistics, is an empirical pattern widely observed across fields including ecology, physics, finance, and epidemiology. It states that the…
In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted…
A central question in economics is whether automation will displace human labor and diminish standards of living. Whilst prior works typically frame this question as a competition between human labor and machines, we frame it as a…
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…
In the real-world setting, data often follows a long-tailed distribution, where head classes contain significantly more training samples than tail classes. Consequently, models trained on such data tend to be biased toward head classes. The…
In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values is unavailable. This research was motivated by an analysis of the degree distributions in a large social network. The degree…
Statistical distributions with heavy tails are ubiquitous in natural and social phenomena. Since the entries in heavy tail have disproportional significance, the knowledge of its exact shape is very important. Citations of scientific papers…
In this paper, we study adversarial training on datasets that obey the long-tailed distribution, which is practical but rarely explored in previous works. Compared with conventional adversarial training on balanced datasets, this process…
We study the stochastic multi-armed bandit problem and design new policies that enjoy both worst-case optimality for expected regret and light-tailed risk for regret distribution. Specifically, our policy design (i) enjoys the worst-case…
A common but rarely examined assumption in machine learning is that training yields models that actually satisfy their specified objective function. We call this the Objective Satisfaction Assumption (OSA). Although deviations from OSA are…
For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…
Real-world data is extremely imbalanced and presents a long-tailed distribution, resulting in models that are biased towards classes with sufficient samples and perform poorly on rare classes. Recent methods propose to rebalance classes but…
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best…
The heavy reliance on data is one of the major reasons that currently limit the development of deep learning. Data quality directly dominates the effect of deep learning models, and the long-tailed distribution is one of the factors…
Recently, several authors have advocated the use of rule learning algorithms to model multi-label data, as rules are interpretable and can be comprehended, analyzed, or qualitatively evaluated by domain experts. Many rule learning…
Deep learning algorithms are well-known to have a propensity for fitting the training data very well and often fit even outliers and mislabeled data points. Such fitting requires memorization of training data labels, a phenomenon that has…