Search Results - subject_exact:"Gaussian process"

Efficient training of Gaussian processes with tensor product structure

Koenig, Josie; Pfeffer, Max; Stoll, Martin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015517635

Predicting wholesale edible oil prices through Gaussian process regressions tuned with Bayesian optimization and cross-validation

Jin, Bingzi; Xu, Xiaojie - 2025

Purpose - Developing price forecasts for various agricultural commodities has long been a significant undertaking for a variety of agricultural market players. The weekly wholesale price of edible oil in the Chinese market over a ten-year period, from January 1, 2010 to January 3, 2020, is the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339298

Posterior manifolds over prior parameter regions : beyond pointwise sensitivity assessments for posterior statistics from MCMC inference

Jacobi, Liana; Kwok, Chun Fung; Ramírez Hassan, Andrés; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014631952

Efficient global optimization and the zero-gradient condition, in expensive simulation

Angün, Mevlüde Ebru; Kleijnen, Jack P. C. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015101609

GMM estimation with Brownian kernels applied to income inequality measurement

Cho, Jin Seo; Phillips, Peter C. B. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015077115

Consumption dynamics and welfare under non-Gaussian earnings risk

Guvenen, Fatih; Ozkan, Serdar; Madera, Rocio - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556385

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Consumption dynamics and welfare under non-Gaussian earnings risk

Guvenen, Fatih; Madera, Rocio; Ozkan, Serdar - 2024

Book / Working Paper

Consumption dynamics and welfare under non-Gaussian earnings risk

Guvenen, Fatih; Ozkan, Serdar; Madera, Rocio - 2024

Book / Working Paper

Consumption Dynamics and Welfare Under Non-Gaussian Earnings Risk

Guvenen, Fatih; Ozkan, Serdar; Madera, Rocio - 2024

Book / Working Paper

From LATE to ATE : a Bayesian approach

Opper, Isaac M. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015555963

Optimization of system dynamics models : a novel methodology

Angün, Mevlüde Ebru; Kleijnen, Jack P. C.; Smits, Martin - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014439377

Modeling the interest rates term structure using Machine Learning : a Gaussian process regression approach

Delucchi, Alessio; Giribone, Pier Giuseppe - 2023

The correct modeling of the interest rates term structure should definitely be considered an aspect of primary importance since the forward rates and the discount factors used in any financial and risk analysis are calculated from such structure. The turbulence of the markets in recent years,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491969

A Gaussian process regression machine learning model for forecasting retail property prices with Bayesian optimizations and cross-validation

Xu, Xiaojie; Zhang, Yun - 2023

The real estate market in China has been growing rapidly during the past decade, with different property price patterns across various regions. Among different types of properties, prices of retail properties have not been sufficiently analyzed. This study focuses on forecasting problems of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014516551

Understanding models and model bias with Gaussian processes

Cook, Thomas R.; Palmer, Nathan M. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014317533

Quality improvement and evaluation for profile responses in cloud-based additive manufacturing processes

Zhai, Cuihong; Wang, Jianjun; Xu, Jingxuan; Wang, Binni; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015468167

Traffic flow outlier detection for smart mobility using Gaussian Process Regression assisted stochastic differential equations

Cheng, Qixiu; Dai, Guiqi; Ru, Bowei; Liu, Zhiyuan; Ma, Wei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015443448

Forecasts of coking coal futures price indices through Gaussian process regressions

Jin, Bingzi; Xu, Xiaojie - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015446220

Rental price index forecasts of residential properties using Gaussian process regressions

Jin, Bingzi; Xu, Xiaojie - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593425

A Gaussian process based method with deep kernel learning for pricing high-dimensional American options

Zhuang, Jirong; Ding, Deng; Lu, Weiguo; Wu, Xuan; Yuan, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591278

A Gaussian process model for capturing digital divide in mobile app usage : the role of habit formation

Kim, Hwang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632686

A nonparametric bayesian estimator of copula density with applications to financial market

Wang, Qiaoyu; Wu, Ximing - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534587

Examining the vintage effect in hedonic pricing using spatially varying coefficients models: A case study of single-family houses in the Canton of Zurich

Dambon, Jakob A.; Fahrländer, Stefan Sebastian; … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013205819

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014332691

Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates

Barde, Sylvain - 2022

Large scale, computationally expensive simulation models pose a particular challenge when it comes to estimating their parameters from empirical data. Most simulation models do not possess closed form expressions for their likelihood function, requiring the use of simulation-based inference,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013439970

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Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates

Barde, Sylvain - 2022

Book / Working Paper

Neighborhood-based information costs

Hébert, Benjamin; Woodford, Michael - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012656012

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Neighborhood-based information costs

Hébert, Benjamin; Woodford, Michael - 2020

Book / Working Paper

Neighborhood-Based Information Costs

Hébert, Benjamin; Woodford, Michael - 2022

Book / Working Paper

Neighborhood-Based Information Costs

Hébert, Benjamin - 2020

Book / Working Paper

Forecasting US inflation using bayesian nonparametric models

Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014326677

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Forecasting US inflation using Bayesian nonparametric models

Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2022

Book / Working Paper

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - 2022

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013475217

Specification tests for non-Gaussian structural vector autoregressions

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015552444

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Specification tests for non-Gaussian structural vector autoregressions

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2022

Book / Working Paper

Examining the vintage effect in hedonic pricing using spatially varying coefficients models : a case study of single-family houses in the Canton of Zurich

Dambon, Jakob A.; Fahrländer, Stefan S.; Karlen, Saira; … - 2022

This article examines the spatially varying effect of age on single-family house (SFH) prices. Age has been shown to be a key driver for house depreciation and is usually associated with a negative price effect. In practice, however, there exist deviations from this behavior which are referred...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012793516

Empirical Asset Pricing via Ensemble Gaussian Process Regression

Filipović, Damir; Pasricha, Puneet - 2022

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014236083

A probabilistic approach for denoising option prices

Gueye, Djibril; Lawuobahsumo, Kokulo - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014251651

Analyzing human search behavior when subjective returns are unobservable

Nakazato, Shinji; Yang, Bojian; Shimokawa, Tesuya - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014550839

Bayesian herd detection for dynamic data

Keppo, Jussi; Satopää, Ville A. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014450271

Sample and computationally efficient stochastic kriging in high dimensions

Ding, Liang; Zhang, Xiaowei - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014520867

Consistent non-Gaussian pseudo maximum likelihood estimators of spatial autoregressive models

Jin, Fei; Wang, Yuqin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015154319

Pre-owned housing price index forecasts using Gaussian process regression

Jin, Bingzi; Xu, Xiaojie - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371626

Disasters everywhere : the costs of business cycles reconsidered

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014538817

Synthetic dataset generation of driver telematics

So, Banghee; Boucher, Jean-Philippe; Valdez, Emiliano - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200727

Inference in predictive regression models with persistent regressors

Hillmann, Benjamin - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012663790

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Inference in predictive regression models with persistent regressors

Hillmann, Benjamin - 2021

Book / Working Paper

Synthetic dataset generation of driver telematics

So, Banghee; Boucher, Jean-Philippe; Valdez, Emiliano - 2021

This article describes the techniques employed in the production of a synthetic dataset of driver telematics emulated from a similar real insurance dataset. The synthetic dataset generated has 100,000 policies that included observations regarding driver's claims experience, together with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012508585

Nearly optimal central limit theorem and bootstrap approximations in high dimensions

Chernozhukov, Victor; Četverikov, Denis N.; Koike, Yuta - 2021

In this paper, we derive new, nearly optimal bounds for the Gaussian approximation to scaled averages of n independent high-dimensional centered random vectors X1, . . . , Xn over the class of rectangles in the case when the covariance matrix of the scaled average is non-degenerate. In the case...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012482915

Gaussian process regression for forecasting gasoline prices in Jordan

Ajlouni, Sameh Asim; Alodat, Moh'd Taleb - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012622773

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

Saegusa, Takumi - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012600249

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

Saegusa, Takumi - 2020

Article

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

Gümbel, Sandrine; Schmidt, Thorsten - 2020

Calibration is a highly challenging task, in particular in multiple yield curve markets. This paper is a first attempt 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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012292851

Who are the hand-to-mouth

Aguiar, Mark; Bils, Mark; Boar, Corina - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012179247

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, ebvufind01.dmz1.zbw.eu/10012856814

Physics-informed Gaussian process regression for states estimation and forecasting in power grids

Tartakovsky, Alexandre M.; Ma, Tong; Barajas-Solano, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014465184

Electricity demand forecasting and risk management using Gaussian process model with error propagation

Wen, Kuangyu; Wu, Wenbin; Wu, Ximing - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014292889

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Fan, Yanqin; Han, Fang; Park, Hyeonseok - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014471479

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

Slime, Badreddine - 2019

One innovation defined in the new market risk rules by the Fundamental Review of the Trading Book (FRTB) is the Non-Modellable Risk Factor (NMRF) framework. This new concept introduces a methodology to differentiate between modellable and non-modellable risk factors in the Internal Models...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012897595

Financial Applications of Gaussian Processes and Bayesian Optimization

Gonzalvez, Joan - 2019

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization. Gaussian processes can be seen as...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012891532

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, ebvufind01.dmz1.zbw.eu/10012316842

Statistical tests for cross-validation of kriging models

Kleijnen, Jack P. C.; Beers, Wim C. M. van - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013361315

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Statistical tests for cross-validation of Kriging models

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

Book / Working Paper