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This paper introduces a loss-based generalized Bayesian methodology for high-dimensional robust regression with serially correlated errors and predictors. The proposed framework employs a novel scaled pseudo-Huber (SPH) loss function, which…

Conformal Prediction (CP) is a popular method for uncertainty quantification with machine learning models. While conformal prediction provides probabilistic guarantees regarding the coverage of the true label, these guarantees are agnostic…

Generalized category discovery (GCD) aims at grouping unlabeled samples from known and unknown classes, given labeled data of known classes. To meet the recent decentralization trend in the community, we introduce a practical yet…

Gaussian Process Regression (GPR) is a popular regression method, which unlike most Machine Learning techniques, provides estimates of uncertainty for its predictions. These uncertainty estimates however, are based on the assumption that…

We develop a methodology for constructing confidence sets for parameters of statistical models via a reduction to sequential prediction. Our key observation is that for any generalized linear model (GLM), one can construct an associated…

Collaborative filtering (CF) is a popular technique in today's recommender systems, and matrix approximation-based CF methods have achieved great success in both rating prediction and top-N recommendation tasks. However, real-world…

The authors present a Polynomial Chaos (PC)-based Bayesian inference method for quantifying the uncertainties of the K-Profile Parametrization (KPP) within the MIT General Circulation Model (MITgcm) of the tropical pacific. The inference of…

The Container Relocation Problem (CRP) is concerned with finding a sequence of moves of containers that minimizes the number of relocations needed to retrieve all containers, while respecting a given order of retrieval. However, the…

This paper is concerned with forecast error, particularly in relation to loss reserving. This is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their…

The prediction of future insurance claims based on observed risk factors, or covariates, help the actuary set insurance premiums. Typically, actuaries use parametric regression models to predict claims based on the covariate information.…

The use of the Preconditioned Conjugate Gradient (PCG) method for computing the Generalized Least Squares (GLS) estimator of the General Linear Model (GLM) is considered. The GLS estimator is expressed in terms of the solution of an…

This paper establishes a global bias-correction divide-and-conquer (GBC-DC) rule for biased estimation under the case of memory constraint. In order to introduce the new estimation, a closed representation of the local estimators obtained…

Uncertainty estimation (UE) techniques -- such as the Gaussian process (GP), Bayesian neural networks (BNN), Monte Carlo dropout (MCDropout) -- aim to improve the interpretability of machine learning models by assigning an estimated…

In this article, we apply non-convex regularization methods in order to obtain stable estimation of loss development factors in insurance claims reserving. Among the non-convex regularization methods, we focus on the use of the log-adjusted…

Belief Propagation (BP) is one of the most popular methods for inference in probabilistic graphical models. BP is guaranteed to return the correct answer for tree structures, but can be incorrect or non-convergent for loopy graphical…

Capital allocation is a procedure used to assess the risk contributions of individual risk components to the total risk of a portfolio. While the conditional tail expectation (CTE)-based capital allocation is arguably the most popular…

Estimating predictive uncertainty is crucial for many computer vision tasks, from image classification to autonomous driving systems. Hamiltonian Monte Carlo (HMC) is an sampling method for performing Bayesian inference. On the other hand,…

Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects of loss data. This is recognised in…

Contextual sequential decision problems with categorical or numerical observations are ubiquitous and Generalized Linear Bandits (GLB) offer a solid theoretical framework to address them. In contrast to the case of linear bandits, existing…

Catastrophic forgetting (CF) poses a persistent challenge in continual learning (CL), especially within federated learning (FL) environments characterized by non-i.i.d. time series data. While existing research has largely focused on…