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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.

168,932 papers · 148 categories

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15294458 · May 202619922001200920172026
48 results for narrowest intervals

HDI-Forest improves regression prediction intervals using Random Forest.

problem Improving the quality of prediction intervals in regression tasks.
method HDI-Forest is a novel quality-based PI estimation method based on Random Forest, optimizing PI quality metrics directly from standard tree-based models.
result HDI-Forest significantly reduces PI width by over 20% compared to previous methods, while maintaining or improving coverage probability.

New method selects recent similar periods for better electricity price forecasting.

problem Improving accuracy in forecasting electricity prices.
method Change-point detection (NOT method) to select calibration periods; estimating autoregressive models only for selected data.
result Significant improvement in forecasting accuracy compared to existing methods.

Bayesian Transformer improves probabilistic load forecasting with calibrated uncertainty estimates.

problem Overconfident point predictions from deep learning models fail under extreme weather distributional shifts.
method Integrates three uncertainty mechanisms: MC Dropout, variational layers, and stochastic attention.
result Achieves state-of-the-art performance with CRPS of 0.0289 and 90% PICP across various horizons.

Two approaches improve conformal Bayes for label shift, one post-hoc and one in-training.

problem Improving prediction sets for target domain under label shift.
method Two complementary approaches: post-hoc calibration and in-training adaptation.
result In-training adaptation achieves up to 43% width reduction at unchanged coverage.

The study finds dense clusters of solutions in a simple neural network model, providing bounds for their existence.

problem Exploring the existence of minimizers in a simple neural network model with binary weights.
method Formulating the learning problem as a constraint satisfaction problem and computing moment bounds for the existence of solutions.
result First rigorous steps toward proving the existence of dense clusters of solutions in certain parameter regimes.

Having a regression model, we are interested in finding two-sided intervals that are guaranteed to contain at least a desired proportion of the conditional distribution of the response variable given a specific combination of predictors. We name such intervals predictive intervals. This work presents a new method to fi…

2014-02-24abs ↗pdf ↗

Prediction intervals are a valuable way of quantifying uncertainty in regression problems. Good prediction intervals should be both correct, containing the actual value between the lower and upper bound at least a target percentage of the time; and tight, having a small mean width of the bounds. Many prior techniques f…

2018-06-28abs ↗pdf ↗

New methods for ordinal classification of interval-valued data and functional data.

problem Ordinal classification of interval-valued data and functional data.
method Six ordinal classifiers are proposed, including parametric, binary decomposition, logistic regression, distance-based, k-nearest-neighbor, kernel PCA, and random forest methods.
result Considering ordering and interval-valued information improves the accuracy of ordinal classification.

CONTINA provides adaptive confidence intervals for traffic demand prediction.

problem Uncertainty in future traffic demand predictions and the need for valid confidence intervals.
method Adaptive confidence interval method that adjusts based on deployment errors.
result Valid confidence intervals with shorter lengths and theoretical coverage guarantee.

Proposes a method to create prediction intervals for neural networks using cross-validation.

problem Lack of prediction intervals for neural networks.
method k-fold cross-validation to construct conformal prediction intervals.
result Proposed method produces narrower intervals with similar coverage compared to SC method.

The statistical properties of the return intervals τqτ_q between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold qq are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks exhibit scaling behaviors in the distributions of τqτ_q for different thresholds qq. …

2008-07-11abs ↗pdf ↗

The paper presents a method for generating well-calibrated prediction intervals using quality-driven deep ensembles.

problem Generating reliable prediction intervals for regression analysis.
method A multi-objective loss function combining quality measures for prediction intervals and point estimates, with a penalty function to ensure semantic integrity and stability.
result The method produces well-calibrated prediction intervals and point estimates, capturing both aleatoric and epistemic uncertainty.

Analyzes biased random walks and corrupted intervals in adversarial settings.

problem Learning thresholds and intervals in adversarial conditions.
method Analyzes biased random walks and corrupted intervals under adversarial design.
result Analyzes the expected behavior of biased random walks and corrupted intervals.

Paper introduces a new method for classifying interval-valued time series.

problem Classification of interval-valued time series.
method Extends point-valued time series imaging methods to interval-valued scenarios using DKD_K-distance and employs deep learning for classification.
result Proposed method achieves superior classification performance compared to existing methods.

Extends Fisher's Discriminant Analysis for interval-valued data.

problem Classifying entities represented by intervals and histograms.
method Adapts Fisher's Discriminant Analysis using Moore's interval arithmetic and Mallows' distance.
result Discriminant directions for interval-valued data are numerically maximized.

This work challenges the assumption that shorter conformal prediction intervals are always better.

problem The conventional evaluation of conformal prediction metrics (coverage and interval length) may not fully capture the quality of predictions.
method The Prejudicial Trick (PT) is introduced, which probabilistically returns either a null interval or a longer one to maintain valid coverage while potentially reducing interval length.
result The Prejudicial Trick can yield deceptively shorter intervals without compromising coverage, but introduces practical vulnerabilities.

Study optimality conditions for interval-valued optimization problems on Riemannian manifolds.

problem Optimizing interval-valued functions on Riemannian manifolds under a total order relation.
method Generalized Hukuhara directional differentiability to derive KKT-type optimality conditions.
result Derives optimality conditions for interval-valued optimization problems on Riemannian manifolds.

We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold qq for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the …

2007-09-11abs ↗pdf ↗

New confidence intervals improve treatment effect estimation in randomized experiments.

problem Improving confidence intervals for treatment effects in randomized experiments.
method Systematic exploitation of negative dependence or variance adaptivity.
result Achieved nonasymptotic confidence intervals with the same effective sample size as asymptotic ones.

Algorithm finds significant sub-interval relationships in time series data.

problem Finding meaningful interactions in small sub-intervals of time series data.
method Fast-optimal guaranteed algorithm for sub-interval relationships (SIR).
result Algorithm identifies SIR relationships that are prominent in specific sub-intervals.

Random Forests provide interpretable prediction intervals with theoretical guarantees.

problem Lack of uncertainty estimates in machine learning point predictions.
method Out-of-Bag procedure for generating parametric and non-parametric prediction intervals.
result Proposed prediction intervals deliver correct coverage rates and narrow lengths.

BCI provides calibrated prediction intervals for time series forecasts.

problem Calibration of prediction intervals for time series forecasts.
method BCI wraps around any time series forecasting models and optimizes interval lengths using dynamic programming.
result BCI achieves long-term coverage under arbitrary distribution shifts and temporal dependence.

RFpredInterval package builds prediction intervals for random forests and boosted forests.

problem Quantifying uncertainty in random forest and boosted forest point predictions.
method 16 methods to build prediction intervals with random forests and boosted forests.
result The proposed method outperforms existing methods in building prediction intervals.

CIR method constructs efficient prediction intervals with guaranteed coverage.

problem Efficiently constructing near-minimal prediction intervals with guaranteed coverage.
method Conditional Interquantile Regression (CIR) and CIR+ (enhanced version).
result Optimal balance between predictive accuracy and computational efficiency.

In the present paper we study interval identification systems of order three. We prove that the Rauzy induction preserves symmetry: for any symmetric interval identification system of order three after finitely many iterations of the Rauzy induction we always obtain a symmetric system. We also provide an example of sym…

2010-10-09abs ↗pdf ↗

AutoCP automates the construction of accurate prediction intervals.

problem Creating valid and accurate prediction intervals for machine learning models.
method AutoML framework that optimizes prediction interval length for better accuracy and less conservatism.
result AutoCP significantly outperforms benchmark algorithms in constructing accurate prediction intervals.

CoinDICE estimates confidence intervals for unknown behavior policies in reinforcement learning.

problem Estimating value of a target policy using only behavior policy data.
method Function space embedding, generalized empirical likelihood method, Lagrangian optimization.
result Valid confidence intervals with tighter and more accurate estimates than existing methods.

In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index over a 27-year period from January …

2003-12-21abs ↗pdf ↗

Responds to critiques on tests for causal parameter confidence intervals.

problem Testing nominal confidence interval coverage for causal parameters estimated by machine learning.
method Rejoinder to critiques on nearly assumption-free tests.
result Clarifies and supports the original research's approach.

The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in nature and society display long range correlations. Hence, in the last few year…

2008-03-12abs ↗pdf ↗