Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many economic and financial applicat…
On-device research index
arXiv research
A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
168,742 papers · 148 categories
Trend · papers per month
48 results for “Extreme Regression”
New method uses neural networks to predict extreme wildfires, improving accuracy over traditional models.
problem Predicting extreme wildfires using complex, non-linear relationships.
method Partially-interpretable neural networks for extreme quantile regression.
result Significant improvement in predictive performance over traditional methods.
Out-of-Distribution generalization of quantile regression with heavy tailed inputs: an SVM approachstat.ML
Novel SVM approach for extreme quantile regression with heavy tailed inputs.
problem Learning from extreme values in quantile regression.
method Support Vector Machine framework for handling high-dimensional and nonlinear settings.
result Established finite-sample learning guarantees under mild regularity assumptions.
XR improves search advertising relevance predictions.
problem Accurately predicting relevance of millions of search labels.
method eXtreme Regression (XR) with new evaluation metrics and XReg algorithm.
result XReg outperforms state-of-the-art methods by up to 50% in XR error metric.
Multi-site modelling and reconstruction of past extreme skew surges along the French Atlantic coaststat.AP
Study models extreme skew surges along French Atlantic coast.
problem Appropriate modelling of extreme skew surges for coastal risk management.
method Peak-over-threshold framework, multivariate generalized Pareto distribution, extreme regression framework.
result Reconstructed historical skew surge time series at stations with limited data.
Study tail risk in high-frequency finance using -regularized regression.
problem Measuring tail risk dynamics in high-frequency financial markets.
method Dynamic extreme value regression model with -regularized maximum likelihood estimator.
result Severity of extreme losses well predicted by low price impact in high volatility periods.
The paper tackles extrapolation in extreme regions of regression problems.
problem Extrapolation on the tails of covariates in continuous regression problems.
method Statistical regression on a subsample of furthest observations, focusing on their angular components, using multivariate regular variation theory.
result Quantifies predictive performance on tail regions in terms of excess risk, presenting it as a finite sample risk bound with a bias-variance decomposition.
In this article, we improve extreme learning machines for regression tasks using a graph signal processing based regularization. We assume that the target signal for prediction or regression is a graph signal. With this assumption, we use the regularization to enforce that the output of an extreme learning machine is s…
Neural Networks for Extreme Quantile Regression with an Application to Forecasting of Flood Riskstat.ME
Neural network model forecasts extreme flood risk.
problem Accurately estimating high quantiles of extreme events.
method EQRN model combining neural networks and extreme value theory.
result Forecasting flood risk with improved adaptability.
Paper studies SERA's effectiveness in optimizing imbalanced regression models.
problem Imbalanced regression tasks where extreme values are crucial.
method Gradient boosting algorithms tested with 36 datasets.
result Models using SERA as objective function perform better at extreme value predictions.
Extreme value theory enhances statistical learning extrapolation for rare events.
problem Challenges in traditional machine learning methods for extreme data.
method Asymptotic theory and statistical tools for tail behavior.
result Effective extrapolation methods for extreme quantiles and anomalies.
Survey of extreme value modeling techniques for insurance.
problem Modeling of insurance industry's extreme events.
method Truncation, tempering, censoring, regression techniques.
result Adapted techniques for insurance applications.
Study on consistency of ML methods for moving objects in non-stationary environments.
problem Consistency of machine learning methods for moving objects in non-stationary environments.
method Least squares, ridge regression, and -penalized least squares methods under non-stationary spatial-temporal sampling.
result Consistency and asymptotic normality of the estimates under weak conditions.
EX-DRL improves extreme quantile prediction for financial risk management.
problem Inaccurate estimation of extreme quantiles in loss distributions.
method EX-DRL uses Generalized Pareto Distribution (GPD) to model the tail of the loss distribution and Quantile Regression (QR) to improve extreme quantile prediction.
result EX-DRL provides more precise estimates of extreme quantiles, improving risk metrics reliability.
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with modeling extreme value dependence when that dependence is changing over time, o…
Improved estimation of hedge fund tail risks using a novel model.
problem Estimation inefficiencies and need for manual threshold selection in extreme value regression models.
method Extended tail regression model with automatic threshold selection and artificial censoring.
result Significant link between tail risks and factors like equity momentum and financial stability index.
A new robust GP regression algorithm that trims outliers improves model accuracy.
problem Severe bias in GP regression due to data contamination by outliers.
method Iterative trimming of extreme data points.
result Significantly outperforms standard and robust GP variants in most test cases.
Enhanced ELM reduces randomness in neural network training.
problem Challenges in ELM architecture design and sensitivity to random weight initialization.
method Introduces Effective Non-Random ELM (ENR-ELM) incorporating signal processing concepts.
result ENR-ELM simplifies architecture design and eliminates random weight selection.
Measuring long-range dependence in electricity pricescond-mat.stat-mech
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this featur…
Deep learning model predicts wildfire spread in Australia.
problem Predicting the full distribution of wildfire spread in Australia.
method Graph convolutional neural networks and extended generalized Pareto distribution.
result Efficacy of the model demonstrated through hazard assessment.
The popularity of algorithms based on Extreme Learning Machine (ELM), which can be used to train Single Layer Feedforward Neural Networks (SLFN), has increased in the past years. They have been successfully applied to a wide range of classification and regression tasks. The most commonly used methods are the ones based…
Enhances kernel regression with network data for better predictions.
problem Improving predictive power in high-dimensional data.
method Combines kernel regression with network cohesion data to model nonlinearities.
result Significantly better predictive performances in high-dimensional data.
Combination of distributional regression algorithms improves uncertainty estimation of satellite precipitation products.
problem Uncertainty estimation in satellite precipitation products.
method Ensemble learning methods combining conditional zero-adjusted probability distributions estimated with GAMLSS, spline-based GAMLSS, and distributional regression forests.
result Stacking of methods outperformed individual methods in most quantile levels using the quantile loss function.
AGBoost uses attention weights to improve GBM for regression problems.
problem Improving gradient boosting machine for regression tasks.
method Attention-based modification of GBM with trainable attention weights.
result AGBoost achieves better performance on regression datasets.
Bayesian GPR model predicts extreme stock market losses.
problem Forecasting rare but impactful extreme negative returns in equity markets.
method Developed a Bayesian Generalised Pareto Regression model linking scale parameter to market volatility.
result The Cauchy prior provides the best balance between predictive accuracy and model simplicity.
Emerging Statistical Machine Learning Techniques for Extreme Temperature Forecasting in U.S. Citiesstat.AP
The paper analyzes extreme temperature forecasting using machine learning models.
problem Forecasting extreme temperatures in U.S. cities.
method Auto-Regressive Integrated Moving Average, Exponential Smoothing, Multilayer Perceptrons, Gaussian Processes.
result Multilayer Perceptrons were found to be the most effective approach for forecasting extreme temperatures.
Cryptocurrency markets show higher spreads during extreme fear and greed phases.
problem Understanding and predicting liquidity withdrawal in cryptocurrency markets.
method Analysis of Crypto Fear & Greed Index and Bitcoin daily data.
result Extreme fear and greed regimes exhibit significantly higher spreads than neutral periods.
Study identifies key drivers and spatio-temporal trends of extreme Mediterranean wildfires.
problem Understanding and predicting the impacts of climate change on wildfire activity.
method Statistical deep-learning model combining meteorological, land cover, and orographic data.
result Vapour-pressure deficit significantly affects wildfire occurrence, while air temperature and drought affect spread.
New method provides reliable high-confidence prediction intervals for high-impact events.
problem High-impact events require very high confidence prediction intervals, but classical methods provide uninformative intervals.
method Bridge extreme value statistics and conformal prediction to provide reliable and informative prediction intervals.
result Provides reliable and informative prediction intervals with high-confidence coverage.
The logistic regression model is known to converge to a Poisson point process model if the binary response tends to infinitely imbalanced. In this paper, it is shown that this phenomenon is universal in a wide class of link functions on binomial regression. The proof relies on the extreme value theory. For the logit, p…
Bayesian model connects KMs and ELMs for multitask regression.
problem Multitask regression with shared features and sparsity.
method Bayesian framework using RFFs and RBF kernels.
result Significant performance improvements over state-of-the-art methods.
A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value modelsstat.AP
This paper presents a cross-country comparison of significant predictors of small business failure between Italy and the UK. Financial measures of profitability, leverage, coverage, liquidity, scale and non-financial information are explored, some commonalities and differences are highlighted. Several models are consid…
Bayesian econometrics improves nowcasting during pandemics.
problem Improving nowcasting during extreme economic events like pandemics.
method Bayesian econometric methods using non-parametric mixed frequency VARs with additive regression trees.
result Significant improvements in nowcasting performance compared to linear models.
Improves forecast calibration for extreme events using modified loss functions.
problem Improperly specified models do not issue calibrated forecasts for extreme events.
method Adapting loss functions based on weighted scoring rules and tail miscalibration regularization.
result Calibrated forecasts for extreme wind speeds can be improved by suitable adaptations to the loss function during model training.
In developing countries like India agriculture plays an extremely important role in the lives of the population. In India, around 80\% of the population depend on agriculture or its by-products as the primary means for employment. Given large population dependency on agriculture, it becomes extremely important for the …
Regularization helps resolve ambiguity in mean-variance models, improving predictive uncertainty quantification.
problem Signal-to-noise ambiguity in overparameterized mean-variance models.
method Statistical field theory framework to explain phase transition.
result Regularization reduces variability and improves predictive uncertainty quantification.
More data can actually hurt linear regression performance in certain conditions.
problem The test risk of linear regression estimators increases with additional samples in overparameterized settings.
method An analysis of linear regression with isotropic Gaussian covariates using gradient descent.
result The bias decreases with more samples, but variance increases, leading to a surprising increase in test risk.
Paper introduces semi-supervised linear extremile regression for high-dimensional data.
problem Challenges in high-dimensional extremile regression due to data sparsity and overfitting.
method Proposes semi-supervised learning for linear extremile regression, achieving -consistency.
result Demonstrates improved estimation efficiency and performance in high-dimensional settings.
The study identifies and predicts extreme stock price fluctuations using HHT and SVM.
problem Sporadic large stock price fluctuations due to various factors.
method Hilbert-Huang Transformation (HHT) for identifying extreme events (EEs) and Support Vector Regression (SVR) for forecasting.
result High instantaneous energy concentration in stock price during both positive and negative extreme events.
Deep learning framework predicts streamflow and flood probabilities in Australian catchments.
problem Large-scale flooding prediction challenges due to model calibration and missing data.
method Ensemble quantile-based deep learning framework using quantile regression and CAMELS dataset.
result Notable efficacy and uncertainties in streamflow forecasts with varied catchment properties.
Study improves flood loss risk models using historical data and rainfall data.
problem Predicting financial losses from flooding events.
method Used neural networks, decision trees, and kernel-based regressors on NFIP dataset, incorporating rainfall data.
result Extreme Gradient Boosting provided the best results, and bias correction improved model performance.
Hydropower reduces system electricity price and volatility, especially at extreme levels.
problem Impact of hydropower on system electricity price and volatility.
method Robust statistical analysis using multiple linear regression and quantile regression.
result Hydropower reduces system electricity price and volatility, especially at extreme levels.
We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art asset allocation rules. First, we use a post\textendash penalization procedure to deal with overshrinking and concentration issues. Second, …
Quantile deep learning improves time series prediction accuracy and uncertainty quantification.
problem Uncertainty in multi-step time series prediction.
method Developed a novel quantile regression deep learning framework for multi-step time series prediction.
result Integrating quantile loss function with deep learning provides additional predictions for selected quantiles without loss in accuracy.
Statistical boosting algorithms have triggered a lot of research during the last decade. They combine a powerful machine-learning approach with classical statistical modelling, offering various practical advantages like automated variable selection and implicit regularization of effect estimates. They are extremely fle…
Combines VaR and ES forecasts for cryptocurrency market risk management.
problem Improving tail risk forecasts in financial markets.
method Proposes semiparametric and parametric combination frameworks.
result Combined forecasts outperform individual VaR and ES forecasts.
A new algorithm for selecting top-k arms in extreme contextual bandits with improved efficiency.
problem Selecting top-k arms from a large set with contextual information and limited rewards.
method Proposes an algorithm for both non-extreme and extreme settings, using Inverse Gap Weighting and arm hierarchy models.
result Achieves improved regret guarantees for extreme settings with significant computational and statistical efficiency.
Paper proposes an adversarial sampling method for efficient extreme classification.
problem Training classifiers over many classes is computationally expensive.
method Adversarial sampling to draw negative samples from an adversarial model.
result Significantly reduces training time by an order of magnitude.