Related papers: Stop Suppressing the Tail: Causal Inference for Ex…

Risk measures such as Conditional Value-at-Risk (CVaR) focus on extreme losses, where scarce tail data makes model error unavoidable. To hedge misspecification, one evaluates worst-case tail risk over an ambiguity set. Using Extreme Value…

Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…

Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…

The average treatment effect (ATE) is commonly used to quantify the main effect of a binary treatment on an outcome. Extensions to continuous treatments are usually based on the dose-response curve or shift interventions, but both require…

Standard approaches to causal inference, such as Outcome Regression and Inverse Probability Weighted Regression Adjustment (IPWRA), are typically derived through the lens of missing data imputation and identification theory. In this work,…

The probability and structure of co-occurrences of extreme values in multivariate data may critically depend on auxiliary information provided by covariates. In this contribution, we develop a flexible generalized additive modeling…

Reinforcement Learning (RL) for Large Language Models (LLMs) faces a fundamental tension: the numerical divergence between high-throughput inference engines and numerically precise training engines. Although these systems share the same…

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…

We consider the problem of estimating the effects of a binary treatment on a continuous outcome of interest from observational data in the absence of confounding by unmeasured factors. We provide a new estimator of the population average…

We propose a new and interpretable class of high-dimensional tail dependence models based on latent linear factor structures. Specifically, extremal dependence of an observable vector is assumed to be driven by a lower-dimensional latent…

The inverse probability (IPW) and doubly robust (DR) estimators are often used to estimate the average causal effect (ATE), but are vulnerable to outliers. The IPW/DR median can be used for outlier-resistant estimation of the ATE, but the…

A common object to describe the extremal dependence of a $d$-variate random vector $X$ is the stable tail dependence function $L$. Various parametric models have emerged, with a popular subclass consisting of those stable tail dependence…

Causal inference problems often involve continuous treatments, such as dose, duration, or frequency. However, identifying and estimating standard dose-response estimands requires that everyone has some chance of receiving any level of the…

Heavy-tailed metrics are common and often critical to product evaluation in the online world. While we may have samples large enough for Central Limit Theorem to kick in, experimentation is challenging due to the wide confidence interval of…

Considering censored outcomes in survival analysis can lead to quite complex results in the model setting of causal inference. Causal inference has attracted a lot of attention over the past few years, but little research has been done on…

In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of sums of random variables. We derive the first order upper-tail behaviour of the weighted sum of bivariate random variables under weak…

Real-world data often has a long-tailed distribution, where the scarcity of tail samples significantly limits the model's generalization ability. Denoising Diffusion Probabilistic Models (DDPM) are generative models based on stochastic…

We study the consistency and weak convergence of the conditional tail function and conditional Hill estimators under broad dependence assumptions for a heavy-tailed response sequence and a covariate sequence. Consistency is established…

The conditional average treatment effect (CATE) is the best measure of individual causal effects given baseline covariates. However, the CATE only captures the (conditional) average, and can overlook risks and tail events, which are…

Simultaneous occurrences of extreme events need not imply symmetric or reciprocal tail dependence. However, most existing measures of extremal dependence are inherently symmetric and hence often fail to capture directional influence in tail…