Chronic diseases often progress differently across patients. Rather than randomly varying, there are typically a small number of subtypes for how a disease progresses across patients. To capture this structured heterogeneity, the Subtype and Stage Inference Event-Based Model (SuStaIn) estimates the number of subtypes, the order of disease progression for each subtype, and assigns each patient to a subtype from primarily cross-sectional data. It has been widely applied to uncover the subtypes of many diseases and inform our understanding of them. But how robust is its performance? In this paper, we develop a principled Bayesian subtype variant of the event-based model (BEBMS) and compare its performance to SuStaIn in a variety of synthetic data experiments with varied levels of model misspecification. BEBMS substantially outperforms SuStaIn across ordering, staging, and subtype assignment tasks. Further, we apply BEBMS and SuStaIn to a real-world Alzheimer's data set. We find BEBMS has results that are more consistent with the scientific consensus of Alzheimer's disease progression than SuStaIn.

This study evaluates deep neural networks for forecasting probability distributions of financial returns. 1D convolutional neural networks (CNN) and Long Short-Term Memory (LSTM) architectures are used to forecast parameters of three probability distributions: Normal, Student's t, and skewed Student's t. Using custom negative log-likelihood loss functions, distribution parameters are optimized directly. The models are tested on six major equity indices (S\&P 500, BOVESPA, DAX, WIG, Nikkei 225, and KOSPI) using probabilistic evaluation metrics including Log Predictive Score (LPS), Continuous Ranked Probability Score (CRPS), and Probability Integral Transform (PIT). Results show that deep learning models provide accurate distributional forecasts and perform competitively with classical GARCH models for Value-at-Risk estimation. The LSTM with skewed Student's t distribution performs best across multiple evaluation criteria, capturing both heavy tails and asymmetry in financial returns. This work shows that deep neural networks are viable alternatives to traditional econometric models for financial risk assessment and portfolio management.

We thank the reviewers for their in-depth reviews, and will use them to make the final version as clear as possible. We will correct the missing notations and typos, we apologize for these oversights. We have reported perplexity per word consistent with prior work; we wil clarify the equation. Dirichlet prior distribution parameter is 0.5. We will report these in the experiments section.

We introduce a novel reinforcement learning (RL) framework that treats distribution parameters as actions, redefining the boundary between agent and environment. This reparameterization makes the new action space continuous, regardless of the original action type (discrete, continuous, mixed, etc.). Under this new parameterization, we develop a generalized deterministic policy gradient estimator, Distribution Parameter Policy Gradient (DPPG), which has lower variance than the gradient in the original action space. Although learning the critic over distribution parameters poses new challenges, we introduce interpolated critic learning (ICL), a simple yet effective strategy to enhance learning, supported by insights from bandit settings. Building on TD3, a strong baseline for continuous control, we propose a practical DPPG-based actor-critic algorithm, Distribution Parameter Actor-Critic (DPAC). Empirically, DPAC outperforms TD3 in MuJoCo continuous control tasks from OpenAI Gym and DeepMind Control Suite, and demonstrates competitive performance on the same environments with discretized action spaces.

Probabilistic electricity price forecasting (PEPF) is a key task for market participants in short-term electricity markets. The increasing availability of high-frequency data and the need for real-time decision-making in energy markets require online estimation methods for efficient model updating. We present an online, multivariate, regularized distributional regression model, allowing for the modeling of all distribution parameters conditional on explanatory variables. Our approach is based on the combination of the multivariate distributional regression and an efficient online learning algorithm based on online coordinate descent for LASSO-type regularization. Additionally, we propose to regularize the estimation along a path of increasingly complex dependence structures of the multivariate distribution, allowing for parsimonious estimation and early stopping. We validate our approach through one of the first forecasting studies focusing on multivariate probabilistic forecasting in the German day-ahead electricity market while using only online estimation methods. We compare our approach to online LASSO-ARX-models with adaptive marginal distribution and to online univariate distributional models combined with an adaptive Copula. We show that the multivariate distributional regression, which allows modeling all distribution parameters - including the mean and the dependence structure - conditional on explanatory variables such as renewable in-feed or past prices provide superior forecasting performance compared to modeling of the marginals only and keeping a static/unconditional dependence structure. Additionally, online estimation yields a speed-up by a factor of 80 to over 400 times compared to batch fitting.

Large-scale streaming data are common in modern machine learning applications and have led to the development of online learning algorithms. Many fields, such as supply chain management, weather and meteorology, energy markets, and finance, have pivoted towards using probabilistic forecasts, which yields the need not only for accurate learning of the expected value but also for learning the conditional heteroskedasticity. Against this backdrop, we present a methodology for online estimation of regularized linear distributional models for conditional heteroskedasticity. The proposed algorithm is based on a combination of recent developments for the online estimation of LASSO models and the well-known GAMLSS framework. We provide a case study on day-ahead electricity price forecasting, in which we show the competitive performance of the adaptive estimation combined with strongly reduced computational effort. Our algorithms are implemented in a computationally efficient Python package.

The development of Digital Twins (DTs) represents a transformative advance for simulating and optimizing complex systems in a controlled digital space. Despite their potential, the challenge of constructing DTs that accurately replicate and predict the dynamics of real-world systems remains substantial. This paper introduces an intelligent framework for the construction and evaluation of DTs, specifically designed to enhance the accuracy and utility of DTs in testing algorithmic performance. We propose a novel construction methodology that integrates deep learning-based policy gradient techniques to dynamically tune the DT parameters, ensuring high fidelity in the digital replication of physical systems. Moreover, the Mean STate Error (MSTE) is proposed as a robust metric for evaluating the performance of algorithms within these digital space. The efficacy of our framework is demonstrated through extensive simulations that show our DT not only accurately mirrors the physical reality but also provides a reliable platform for algorithm evaluation. This work lays a foundation for future research into DT technologies, highlighting pathways for both theoretical enhancements and practical implementations in various industries.