Search Results - subject:"Gaussian Process"

Financial Applications of Gaussian Processes and Bayesian Optimization

Gonzalvez, Joan - 2019

the article reviews these two tools and shows how they are connected. In particular, we focus on the Gaussian process …

Persistent link: https://www.econbiz.de/10012891532

Non-Modellable Risk Factor (NMRF) Measurement Using Gaussian Process Regression (GPR)

Slime, Badreddine - 2019

introduce the concept and theory of Gaussian Process Regression (GPR). Thereafter, we show the motivation and we also explain …

Persistent link: https://www.econbiz.de/10012897595

Comprehensive testing of linearity against the smooth transition autoregressive model

Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo - 2019 - This version: August 2019

Persistent link: https://www.econbiz.de/10012316842

Statistical tests for cross-validation of Kriging models

Kleijnen, Jack P. C.; Beers, Wim C. M. van - 2019

Persistent link: https://www.econbiz.de/10012010856

Uniform inference in high-dimensional gaussian graphical models

Klaassen, Sven; Kück, Jannis; Spindler, Martin; … - 2019 - Version November 2018

Graphical models have become a very popular tool for representing dependencies within a large set of variables and are key for representing causal structures. We provide results for uniform inference on high-dimensional graphical models with the number of target parameters d being possible much...

Persistent link: https://www.econbiz.de/10012014044

Gaussian processes for unconstraining demand

Price, Ilan; Fowkes, Jaroslav; Hopman, Daniel - In: European journal of operational research : EJOR 275 (2019) 2, pp. 621-634

Persistent link: https://www.econbiz.de/10011993546

Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall

Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383

Persistent link: https://www.econbiz.de/10012131743

Moving average options : machine learning and Gauss-Hermite quadrature for a double non-Markovian problem

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: European journal of operational research : EJOR 303 (2022) 2, pp. 958-974

Persistent link: https://www.econbiz.de/10013364051

Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo - In: Econometric reviews 41 (2022) 8, pp. 966-984

Persistent link: https://www.econbiz.de/10013364922

Impact of review narrativity on sales in a competitive environment

Mukhopadhyay, Soumya; Kumar, V.; Sharma, Amalesh; Tuck … - In: Production and operations management : the flagship … 31 (2022) 6, pp. 2538-2556

Persistent link: https://www.econbiz.de/10013277066