Related papers: Quantile-Based Effectiveness Persistence Function:…
We study the identification and estimation of long-term treatment effects when both experimental and observational data are available. Since the long-term outcome is observed only after a long delay, it is not measured in the experimental…
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
In this paper we introduce an efficient fat-tail measurement framework that is based on the conditional second moments. We construct a goodness-of-fit statistic that has a direct interpretation and can be used to assess the impact of…
Immune checkpoint inhibitor--based therapies often produce heterogeneous survival responses, including early risk, delayed treatment benefit, and durable long-term survival in a subset of patients. In these settings, conventional summary…
A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank delimits the tails of a distribution. We propose a new method…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
A central obstacle in the objective assessment of treatment effect (TE) estimators in randomized control trials (RCTs) is the lack of ground truth (or validation set) to test their performance. In this paper, we propose a novel…
One of the key performance measures in queueing systems is the exponential decay rate of the steady-state tail probabilities of the queue lengths. It is known that if a corresponding fluid model is stable and the stochastic primitives have…
In this paper, we develop a comprehensive asymptotic and bootstrap theory for checkerboard-based estimation of lower and upper tail copulas under unknown marginal distributions. The estimator is constructed via local bilinear (checkerboard)…
For a fixed positive integer $\;k,\;$ limit laws of linearly normalized $\;k$-th upper order statistics are well known. In this article, a comprehensive study of tail behaviours of limit laws of normalized $k$-th upper order statistics…
Continuous-time reinforcement learning (CTRL) provides a principled framework for sequential decision-making in environments where interactions evolve continuously over time. Despite its empirical success, the theoretical understanding of…
Before new clinical measurement methods are implemented in clinical practice, it must be confirmed whether their results are equivalent to those of existing methods. The agreement of the trend between these methods is evaluated using the…
We introduce $\zeta$- and $s$-values as quantile-based standardizations that are particularly suited for hypothesis testing. Unlike p-values, which express tail probabilities, $s$-values measure the number of semi-tail units into a…
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 this paper, we provide a review on the kernel method, which is one of the options for characterizing so-called exact tail asymptotic properties in stationary probabilities of two-dimensional random walks, discrete or continuous (or…
Expected shortfall (ES), also known as conditional value-at-risk, is a widely recognized risk measure that complements value-at-risk by capturing tail-related risks more effectively. Compared with quantile regression, which has been…
Recent imitation learning (IL) algorithms such as flow-matching and diffusion policies demonstrate remarkable performance in learning complex manipulation tasks. However, these policies often fail even when operating within their training…
This paper is motivated by medical studies in which the same patients with multiple sclerosis are examined at several successive visits and described by fractional anisotropy tract profiles, which can be represented as functions. Since the…
We study the problem of estimating the effect function for a continuous treatment, which maps each treatment value to a population-averaged outcome. A central challenge in this setting is confounding: treatment assignment often depends on…