Related papers: Quantile Vector Autoregression without Crossing
Quantile regression has been advocated in survival analysis to assess evolving covariate effects. However, challenges arise when the censoring time is not always observed and may be covariate-dependent, particularly in the presence of…
We propose a censored quantile regression estimator motivated by unbiased estimating equations. Under the usual conditional independence assumption of the survival time and the censoring time given the covariates, we show that the proposed…
Linear regression is a data analysis technique, which is categorized as supervised learning. By utilizing known data, we can predict unknown data. Recently, researchers have explored the use of quantum annealing (QA) to perform linear…
We consider a heteroscedastic regression model in which some of the regression coefficients are zero but it is not known which ones. Penalized quantile regression is a useful approach for analyzing such data. By allowing different…
We propose a novel variational Bayes approach to estimate high-dimensional vector autoregression (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a conventional structural VAR representation of the parameter…
This paper studies the inference problem in quantile regression (QR) for a large sample size $n$ but under a limited memory constraint, where the memory can only store a small batch of data of size $m$. A natural method is the na\"ive…
While Variational Inequality (VI) is a well-established mathematical framework that subsumes Nash equilibrium and saddle-point problems, less is known about its extension, Quasi-Variational Inequalities (QVI). QVI allows for cases where the…
We introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the difference between two specified quantiles, via restricted…
Learning vector autoregressive models from multivariate time series is conventionally approached through least squares or maximum likelihood estimation. These methods typically assume a fully connected model which provides no direct insight…
This paper develops a method for estimating parameters of a vector autoregression (VAR) observed in white noise. The estimation method assumes the noise variance matrix is known and does not require any iterative process. This study…
We propose a risk-averse statistical learning framework wherein the performance of a learning algorithm is evaluated by the conditional value-at-risk (CVaR) of losses rather than the expected loss. We devise algorithms based on stochastic…
With a focus on linear models with smooth functional covariates, we propose a penalization framework (SACR) based on the nonzero centered ridge, where the center of the penalty is optimally reweighted in a supervised way, starting from the…
The increasing value of data held in enterprises makes it an attractive target to attackers. The increasing likelihood and impact of a cyber attack have highlighted the importance of effective cyber risk estimation. We propose two methods…
We propose a bivariate quantile regression method for the bivariate varying coefficient model through a directional approach. The varying coefficients are approximated by the B-spline basis and an $L_{2}$ type penalty is imposed to achieve…
Random forests are powerful non-parametric regression method but are severely limited in their usage in the presence of randomly censored observations, and naively applied can exhibit poor predictive performance due to the incurred biases.…
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models but, at the same time, introduce the restriction that each equation features the same set of explanatory variables. This paper proposes a…
Linear regression is a basic and widely-used methodology in data analysis. It is known that some quantum algorithms efficiently perform least squares linear regression of an exponentially large data set. However, if we obtain values of the…
Quantile regression has demonstrated promising utility in longitudinal data analysis. Existing work is primarily focused on modeling cross-sectional outcomes, while outcome trajectories often carry more substantive information in practice.…
The manuscript discusses how to incorporate random effects for quantile regression models for clustered data with focus on settings with many but small clusters. The paper has three contributions: (i) documenting that existing methods may…
The standard asymmetric Laplace framework for Bayesian quantile regression (BQR) suffers from a fundamental decision-theoretic misalignment, yielding biased finite-sample estimates, and precludes gradient-based computation due to…