Robust Uncertainty Estimation under Distribution Shift via Difference Reconstruction

Estimating uncertainty in deep learning models is critical for reliable decision-making in high-stakes applications such as medical imaging. Prior research has established that the difference between an input sample and its reconstructed version produced by an auxiliary model can serve as a useful proxy for uncertainty. However, directly comparing reconstructions with the original input is degraded by information loss and sensitivity to superficial details, which limits its effectiveness. In this work, we propose Difference Reconstruction Uncertainty Estimation (DRUE), a method that mitigates this limitation by reconstructing inputs from two intermediate layers and measuring the discrepancy between their outputs as the uncertainty score. To evaluate uncertainty estimation in practice, we follow the widely used out-of-distribution (OOD) detection paradigm, where in-distribution (ID) training data are compared against datasets with increasing domain shift. Using glaucoma detection as the ID task, we demonstrate that DRUE consistently achieves superior AUC and AUPR across multiple OOD datasets, highlighting its robustness and reliability under distribution shift. This work provides a principled and effective framework for enhancing model reliability in uncertain environments.

Stock Price Predictability and the Business Cycle via Machine Learning

We study the impacts of business cycles on machine learning (ML) predictions. Using the S&P 500 index, we find that ML models perform worse during most recessions, and the inclusion of recession history or the risk-free rate does not necessarily improve their performance. Investigating recessions where models perform well, we find that they exhibit lower market volatility than other recessions. This implies that the improved performance is not due to the merit of ML methods but rather factors such as effective monetary policies that stabilized the market. We recommend that ML practitioners evaluate their models during both recessions and expansions.