Dynamic cyber risk estimation with competitive quantile autoregression

DOI10.1007/S10618-021-00814-ZMaRDI QIDQ2134032zbMATH OpenOpenAlexFDO

Authors Raisa Dzhamtyrova, Carsten R. Maple

Publication date 5 May 2022

Published in Data Mining and Knowledge Discovery (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2101.10893

zbMATH Keywords

time seriesquantile autoregressioncyber riskcompetitive predictioncyber breach modellingdynamic risk estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Risk models (general) (91B05)

Abstract: The increasing value of data held in enterprises makes it an attractive target to attackers. The increasing likelihood and impact of a cyber attack have highlighted the importance of effective cyber risk estimation. We propose two methods for modelling Value-at-Risk (VaR) which can be used for any time-series data. The first approach is based on Quantile Autoregression (QAR), which can estimate VaR for different quantiles, i.e. confidence levels. The second method, we term Competitive Quantile Autoregression (CQAR), dynamically re-estimates cyber risk as soon as new data becomes available. This method provides a theoretical guarantee that it asymptotically performs as well as any QAR at any time point in the future. We show that these methods can predict the size and inter-arrival time of cyber hacking breaches by running coverage tests. The proposed approaches allow to model a separate stochastic process for each significance level and therefore provide more flexibility compared to previously proposed techniques. We provide a fully reproducible code used for conducting the experiments.

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
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• Quantile Autoregression
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Describes a project that uses

Uses Software

• fpp2
• astsa

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