相关论文: On Single Point Forecasts for Fat-Tailed Variables

The COVID-19 pandemic has brought forth the importance of epidemic forecasting for decision makers in multiple domains, ranging from public health to the economy as a whole. While forecasting epidemic progression is frequently…

Recently, channel-independent methods have achieved state-of-the-art performance in multivariate time series (MTS) forecasting. Despite reducing overfitting risks, these methods miss potential opportunities in utilizing channel dependence…

The so-called partition function is a sample moment statistic based on blocks of data and it is often used in the context of multifractal processes. It will be shown that its behaviour is strongly influenced by the tail of the distribution…

This paper describes limiting behaviour of tail empirical process associated with long memory stochastic volatility models. We show that such process has dichotomous behaviour, according to an interplay between a Hurst parameter and a tail…

Expected risk minimization (ERM) is at the core of many machine learning systems. This means that the risk inherent in a loss distribution is summarized using a single number - its average. In this paper, we propose a general approach to…

Since the beginning of the COVID-19 pandemic, many dashboards have emerged as useful tools to monitor the evolution of the pandemic, inform the public, and assist governments in decision making. Our goal is to develop a globally applicable…

Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…

This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility. Extending a semi-parametric regression model based on…

The study of loss function distributions is critical to characterize a model's behaviour on a given machine learning problem. For example, while the quality of a model is commonly determined by the average loss assessed on a testing set,…

In this work, we study the pandemic course in the United States by considering national and state levels data. We propose and compare multiple time-series prediction techniques which incorporate auxiliary variables. One type of approach is…

Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate Student-t version of the model as a viable alternative to…

This paper establishes bounds on the performance of empirical risk minimization for large-dimensional linear regression. We generalize existing results by allowing the data to be dependent and heavy-tailed. The analysis covers both the…

We establish a statistical learning theoretical framework aimed at extrapolation, or out-of-domain generalization, on the unobserved tails of covariates in continuous regression problems. Our strategy involves performing statistical…

We propose a transformation capable of altering the tail properties of a distribution, motivated by extreme value theory, which can be used as a layer in a normalizing flow to approximate multivariate heavy tailed distributions. We apply…

Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…

This paper introduces ergodic-risk criteria, which capture long-term cumulative risks associated with controlled Markov chains through probabilistic limit theorems--in contrast to existing methods that require assumptions of either finite…

Numerous COVID-19 clinical decision support systems have been developed. However many of these systems do not have the merit for validity due to methodological shortcomings including algorithmic bias. Methods Logistic regression models were…

Epidemiological forecasts are beset by uncertainties about the underlying epidemiological processes, and the surveillance process through which data are acquired. We present a Bayesian inference methodology that quantifies these…

Stochastic volatility processes with heavy-tailed innovations are a well-known model for financial time series. In these models, the extremes of the log returns are mainly driven by the extremes of the i.i.d. innovation sequence which leads…

Susceptible-Exposed-Infectious-Recovered (SEIR) models with inter-individual variation in susceptibility or exposure to infection were proposed early in the COVID-19 pandemic as a potential element of the mathematical/statistical toolset…