相关论文: Statistical evaluation of a long-memory process us…

Analysis of daily streamflow variability in space and time is important for water resources planning, development, and management. The natural variability of streamflow is being complicated by anthropogenic influences and climate change,…

Risk-averse reinforcement learning (RARL) is critical for decision-making under uncertainty, which is especially valuable in high-stake applications. However, most existing works focus on risk measures, e.g., conditional value-at-risk…

Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss…

Model extrapolation to unseen flow is one of the biggest challenges facing data-driven turbulence modeling, especially for models with high dimensional inputs that involve many flow features. In this study we review previous efforts on…

Machine learning is vital in high-stakes domains, yet conventional validation methods rely on averaging metrics like mean squared error (MSE) or mean absolute error (MAE), which fail to quantify extreme errors. Worst-case prediction…

Conditional value-at-risk (CVaR) and value-at-risk (VaR) are popular tail-risk measures in finance and insurance industries as well as in highly reliable, safety-critical uncertain environments where often the underlying probability…

In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control losses in the case of a rare but extreme event. Conditional…

Determining risk contributions of unit exposures to portfolio-wide economic capital is an important task in financial risk management. Computing risk contributions involves difficulties caused by rare-event simulations. In this study, we…

Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo…

Extremes play a special role in Anomaly Detection. Beyond inference and simulation purposes, probabilistic tools borrowed from Extreme Value Theory (EVT), such as the angular measure, can also be used to design novel statistical learning…

Intravoxel Incoherent Motion (IVIM) is a non-contrast magnetic resonance imaging diffusion-based scan that uses a multitude of b-values to measure various speeds of molecular perfusion and diffusion, sidestepping inaccuracy of arterial…

The probability prediction of multivariate time series is a notoriously challenging but practical task. On the one hand, the challenge is how to effectively capture the cross-series correlations between interacting time series, to achieve…

The entropy production rate is a central quantity in non-equilibrium statistical physics, scoring how far a stochastic process is from being time-reversible. In this paper, we compute the entropy production of diffusion processes at…

It is known that the slow motion $X^\varepsilon$ in the time-scaled multidimensional averaging setup $\frac {dX^\varepsilon(t)}{dt}=\frac 1\varepsilon B(X^\varepsilon(t),\,\xi(t/\varepsilon^2))+b(X^\varepsilon(t),\,\xi(t/\ve^2)),\, t\in…

This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and…

We apply non-extensive methods to the statistical analysis of fully developed turbulent flows. Probability density functions of velocity differences at distance r obtained by extremizing the Tsallis entropies coincide well with what is…

Systemic risk measures quantify the potential risk to an individual financial constituent arising from the distress of entire financial system. As a generalization of two widely applied risk measures, Value-at-Risk and Expected Shortfall,…

This thesis presents the Conditional Value-at-Risk concept and combines an analysis that covers its application as a risk measure and as a vector norm. For both areas of application the theory is revised in detail and examples are given to…

The Value-at-Risk (VaR) is a widely used instrument in financial risk management. The question of estimating the VaR of loss return distributions at extreme levels is an important question in financial applications, both from operational…

We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive…