Related papers: Weighted and Truncated Tail Index Estimation under…
We present an algorithm for distributed estimation of an unknown vector parameter $\boldsymbol{\theta}^\ast \in {\mathbb R}^M$ in the presence of heavy-tailed observation and communication noises. Heavy-tailed noises frequently appear,…
We develop an unsupervised mixture model for non-negative, skewed and heavy-tailed data, such as losses in actuarial and risk management applications. The mixture has a lognormal component, which is usually appropriate for the body of the…
In risk analysis, a global fit that appropriately captures the body and the tail of the distribution of losses is essential. Modelling the whole range of the losses using a standard distribution is usually very hard and often impossible due…
Simulation from the truncated multivariate normal distribution in high dimensions is a recurrent problem in statistical computing, and is typically only feasible using approximate MCMC sampling. In this article we propose a minimax tilting…
We study the asymptotic behaviour of widely used tests for evaluating and comparing predictive accuracy when forecast errors exhibit heavy tails. In particular, when loss differentials have infinite variance, the Diebold-Mariano test…
Asymptotic theory of tail index estimation has been studied extensively in the frequentist literature on extreme values, but rarely in the Bayesian context. We investigate whether popular Bayesian kernel mixture models are able to support…
In the framework of censored data modeling, the classical linear regression model that assumes normally distributed random errors has received increasing attention in recent years, mainly for mathematical and computational convenience.…
We study the probability tail properties of Inverse Probability Weighting (IPW) estimators of the Average Treatment Effect (ATE) when there is limited overlap between the covariate distributions of the treatment and control groups. Under…
Robust Bayesian methods for high-dimensional regression problems under diverse sparse regimes are studied. Traditional shrinkage priors are primarily designed to detect a handful of signals from tens of thousands of predictors in the…
We develop a unified approach for classification and regression support vector machines for data subject to right censoring. We provide finite sample bounds on the generalization error of the algorithm, prove risk consistency for a wide…
Cohort studies of the onset of a disease often encounter left-truncation on the event time of interest in addition to right-censoring due to variable enrollment times of study participants. Analysis of such event time data can be biased if…
In a companion paper (McRobie(2013) arxiv:1304.3918), a simple set of `elemental' estimators was presented for the Generalized Pareto tail parameter. Each elemental estimator: involves only three log-spacings; is absolutely unbiased for all…
Low-rank tensor models are widely used in statistics. However, most existing methods rely heavily on the assumption that data follows a sub-Gaussian distribution. To address the challenges associated with heavy-tailed distributions…
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…
Across health applications, researchers model outcomes as a function of time to an event, but the event time is right-censored for participants who exit the study or otherwise do not experience the event during follow-up. When censoring…
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…
In the presence of sufficiently weak overlap, it is known that no regular root-n-consistent estimators exist and standard estimators may fail to be asymptotically normal. This paper shows that a thresholded version of the standard doubly…
Non-parametric maximum likelihood estimation encompasses a group of classic methods to estimate distribution-associated functions from potentially censored and truncated data, with extensive applications in survival analysis. These methods,…
We present a nonparametric family of estimators for the tail index of a Pareto-type distribution when covariate information is available. Our estimators are based on a weighted sum of the log-spacings between some selected observations.…
Consider $n$ i.i.d. random vectors on $\mathbb{R}^2$, with unknown, common distribution function $F$. Under a sharpening of the extreme value condition on $F$, we derive a weighted approximation of the corresponding tail copula process.…