Skip to main content Skip to secondary navigation
Main content start

Mingli Chen (Warwick) : Quantile Graphical Models

Prediction and Conditional Independence with Applications to Systemic Risk

Event Details:

Thursday, April 20, 2023
5:00pm - 6:00pm PDT

Location

475 Via Ortega
Room 305
Stanford, CA 94305
United States

Mingli Chen : Quantile Graphical Models

Prediction and Conditional Independence with Applications to Systemic Risk

(with Alexandre Belloni, Victor Chernozhukov) 

Abstract: We propose two types of Quantile Graphical Models (QGMs) --- Conditional Independence Quantile Graphical Models (CIQGMs) and Prediction Quantile Graphical Models (PQGMs). CIQGMs characterize the conditional independence of distributions by evaluating the distributional dependence structure at each quantile index. As such, CIQGMs can be used for validation of the graph structure in the causal graphical models. One main advantage of these models is that we can apply them to large collections of variables driven by non-Gaussian and non-separable shocks. PQGMs characterize the statistical dependencies through the graphs of the best linear predictors under asymmetric loss functions. PQGMs make weaker assumptions than CIQGMs as they allow for misspecification. Because of QGMs' ability to handle large collections of variables and focus on specific parts of the distributions, we could apply them to quantify tail interdependence. The resulting tail risk network can be used for measuring systemic risk contributions that help make inroads in understanding international financial contagion and dependence structures of returns under downside market movements.
We develop estimation and inference methods for QGMs focusing on the high-dimensional case, where the number of variables in the graph is large compared to the number of observations. For CIQGMs, these methods and results include valid simultaneous choices of penalty functions, uniform rates of convergence, and confidence regions that are simultaneously valid. We also derive analogous results for PQGMs, which include new results for penalized quantile regressions in high-dimensional settings to handle misspecification, many controls, and a continuum of additional conditioning events.

Link to paper

Related Topics

Explore More Events

No events at this time. Please check back later.