Saahil Shenoy

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— This paper develops a method for building non-parametric stochastic models of multivariate distributions from large data sets. The motivation is stochastic optimization based on time series forecasting models. The proposed non-parametric stochastic modeling approach is based on multiple quantile regressions with inter-quantile smoothing. The models are(More)
This letter develops a method for estimating trends of extreme events statistics across multiple time periods. Some of the periods might have no extreme events and some might have much data. The extreme event distribution is modeled with a Pareto or exponential tail. The method requires selecting an extreme event threshold and then solving two convex(More)
— This paper develops a statistical modeling and estimation approach combining robust regression and long tail estimation. The approach can be considered as a generalization of Huber regression in robust statistics. A mixture of asymmet-ric Laplace and Gaussian distributions is estimated using an EM algorithm. The approach estimates the regression model,(More)
— The paper considers stochastic optimization of the electricity procurement in the day-ahead power market. The novelty is in addressing the random errors of time series forecasting of electrical power loads and prices in the procurement. This problem is currently important because of the increased random variability in the power grid that is caused by(More)
This paper develops a novel approach to computation of the probability integrals encountered in derivative pricing using stochastic models estimated from historical data. First, nonparametric probability distribution models are built directly from the data as a solution of a convex optimization problem scalable to very big datasets. Second, these models are(More)
This paper presents an efficient computational methodology for longitudinal and cross-sectional analysis of extreme event statistics in large data sets. The analyzed data are available across multiple time periods and multiple individuals in a population. Some of the periods and individuals might have no extreme events and some might have much data. The(More)
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