Showing 1–20 of 26 results
/ Date/ Name
Feb 19, 2016Sampling latent states for high-dimensional non-linear state space models with the embedded HMM methodMay 31, 2023Low-rank extended Kalman filtering for online learning of neural networks from streaming dataAug 22, 2021Fragmentation, Price Formation, and Cross-Impact in Bitcoin MarketsDec 9, 2014Efficient Bayesian inference for stochastic volatility models with ensemble MCMC methodsApr 29, 2025ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order BooksMay 13, 2019Replica Conditional Sequential Monte CarloMay 9, 2024Outlier-robust Kalman Filtering through Generalised BayesOct 2, 2025MINERVA: Mutual Information Neural Estimation for Supervised Feature SelectionNov 15, 2024A unifying framework for generalised Bayesian online learning in non-stationary environmentsDec 19, 2025Bayesian Markov-Switching Partial Reduced-Rank RegressionJun 2, 2023Uncertainty Quantification in Bayesian Reduced-Rank Sparse RegressionsJun 21, 2022Statistical network isomorphismMar 21, 2017New reconstruction and data processing methods for regression and interpolation analysis of multidimensional big dataMay 2, 2013MCMC for non-linear state space models using ensembles of latent sequencesMay 11, 2023Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor ModelsFeb 25, 2025The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-OffDec 28, 2023Bayesian Analysis of High Dimensional Vector Error Correction ModelJan 22, 2014On Bayesian inference for the M/G/1 queue with efficient MCMC samplingApr 6, 2020Graph Distances and ClusteringJun 19, 2024Stock Volume Forecasting with Advanced Information by Conditional Variational Auto-Encoder