Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Quantile Graphical Models: Prediction and Conditional Independence with
  Applications to Systemic Risk   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 (\cite{pearl2009causality,
robins1986new, heckman2015causal}). 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.

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The categories of this paper are: cs
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The categories of this paper are: nucl-th
30
The categories of this paper are: q-alg
32
The categories of this paper are: atom-ph
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The categories of this paper are: acc-phys
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The categories of this paper are: physics
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The categories of this paper are: chao-dyn
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The categories of this paper are: hep-th
29
The categories of this paper are: funct-an
31
The categories of this paper are: ao-sci
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The categories of this paper are: eess
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The categories of this paper are: alg-geom
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The categories of this paper are: chem-ph
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The categories of this paper are: nlin
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The categories of this paper are: cmp-lg
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The categories of this paper are: gr-qc