Search Results - subject:"Gaussian Process"

The valuation of corporations : a derivative pricing perspective

Madan, Dilip B.; Wang, King - In: Annals of finance 19 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014253867

Machine learning for multiple yield curve markets: Fast calibration in the Gaussian affine framework

Gümbel, Sandrine; Schmidt, Thorsten - In: Risks 8 (2020) 2, pp. 1-18

and many challenges for the multi-curve markets in a Vasiécek framework. The Gaussian process regression is implemented … to study the chances and challenges of the application of machine learning techniques for this. We employ Gaussian … process regression, a machine learning methodology having many similarities with extended Kálmán filtering, which has been …

Persistent link: https://www.econbiz.de/10013200584

Confidence bands for a distribution function with merged data from multiple sources

Saegusa, Takumi - In: Statistics in Transition New Series 21 (2020) 4, pp. 144-158

estimator over the real line and its weak convergence to a Gaussian process. Based on these asymptotic properties, we propose a …

Persistent link: https://www.econbiz.de/10012600249

Bayesian Selection of Systemic Risk Networks

Ahelegbey, Daniel Felix - 2020

The latest financial crisis has stressed the need of understanding the world financial system as a network of interconnected institutions, where financial linkages play a fundamental role in the spread of systemic risks. In this paper we propose to enrich the topological perspective of network...

Persistent link: https://www.econbiz.de/10012856814

Neighborhood-Based Information Costs

Hébert, Benjamin - 2020

We propose a new measure of the cost of information structures in rational inattention problems, the "neighborhood-based" cost functions, given that many applications involve states with a topological structure. These cost functions summarize the results of a sequential information sampling...

Persistent link: https://www.econbiz.de/10012479267