相关论文: Are volatility estimators robust with respect to m…

Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…

"What are the origins of risks?" and "How material are they?" -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful…

Machine learning methods have significantly improved in their predictive capabilities, but at the same time they are becoming more complex and less transparent. As a result, explainers are often relied on to provide interpretability to…

Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of…

Robustness is a critical aspect of machine learning models. Existing robustness evaluation approaches often lack theoretical generality or rely heavily on empirical assessments, limiting insights into the structural factors contributing to…

The robustness of properties of a statistical physics model to slight perturbations in the exact local interactions of the model is a very relevant philosophical question, considering real-life measurements on which we base some models can…

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate…

This paper investigates the nonparametric estimation of a circular regression function in an errors-in-variables framework. Two settings are studied, depending on whether the covariates are circular or linear. Adaptive estimators are…

It is becoming increasingly apparent that probabilistic approaches can overcome conservatism and computational complexity of the classical worst-case deterministic framework and may lead to designs that are actually safer. In this paper we…

We study the concept of financial bubble in a market model endowed with a set of probability measures, typically mutually singular to each other. In this setting we introduce the notions of robust bubble and robust fundamental value in a…

Resiliency has garnered attention in the management of critical infrastructure as a metric of system performance, but there are significant roadblocks to its implementation in a realistic decision-making framework. Contrasted to risk and…

It is well-known that classifiers are vulnerable to adversarial perturbations. To defend against adversarial perturbations, various certified robustness results have been derived. However, existing certified robustnesses are limited to…

Adversarial examples pose a security risk as they can alter decisions of a machine learning classifier through slight input perturbations. Certified robustness has been proposed as a mitigation where given an input $\mathbf{x}$, a…

We live in a world full of complex systems which we need to improve our understanding of. To accomplish this, purely probabilistic investigations are often not enough. They are only the first step and must be followed by learning the…

We consider robust location-scale estimators under contamination. We show that commonly used robust estimators such as the median and the Huber estimator are inconsistent under asymmetric contamination, while the Tukey estimator is…

Robustness verification of neural networks, referring to formally proving that neural networks satisfy robustness properties, is of crucial importance in safety-critical applications, where model failures can result in loss of human life or…

It is shown that a compound elastic structure, which displays a dynamic instability, may be designed as the union (or 'fusion') of two structures which are stable when separately analyzed. The compound elastic structure has two degrees of…

We study the robustness of system estimation to parametric perturbations in system dynamics and initial conditions. We define the problem of sensitivity-based parametric uncertainty quantification in dynamical system estimation. The main…

Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…

For learned models to be trustworthy, it is essential to verify their robustness to perturbations in the training data. Classical approaches involve uncertainty quantification via confidence intervals and bootstrap methods. In contrast,…