Almut E. D. Veraart
- Inference and forecasting for continuous-time integer-valued trawl processes
2021/07/08 by Mikkel Bennedsen, Asger Lunde, Bennedsen, Mikkel +5 · 2 citations
Decision Sciences · #FOS: Computer and information sciences #FOS: Economics and business #Forecasting Techniques and Applications #Methodology (stat.ME) #Statistical Finance (q-fin.ST)
- Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
2012/10/04 by Ole E. Barndorff–Nielsen, Ole E. Barndorff-Nielsen, Barndorff-Nielsen, Ole E. +4 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #math.PR
- Stationary and multi-self-similar random fields with stochastic volatility
2014/02/12 by Almut E. D. Veraart, Veraart, Almut E. D. · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR
- A weak law of large numbers for realised covariation in a Hilbert space setting
2020/11/25 by Fred Espen Benth, Dennis Schroers, Benth, Fred Espen +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60F99 #62M99 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistics Theory (math.ST) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Periodic trawl processes: Simulation, statistical inference and applications in energy markets
2023/03/07 by Almut E. D. Veraart, Veraart, Almut E. D. · 1 citation
Engineering · Biochemistry, Genetics and Molecular Biology · #Energy Load and Power Forecasting #Electric Power System Optimization #Diffusion and Search Dynamics
- Estimation and Inference for Multivariate Continuous-time Autoregressive Processes
2023/07/24 by Lorenzo Lucchese, Lucchese, Lorenzo, Mikko S. Pakkanen +3 · 1 citation
Engineering · #Control Systems and Identification #Fault Detection and Control Systems #Advanced Control Systems Optimization
- Extreme event propagation using counterfactual theory and vine copulas
2021/06/25 by Valentin Courgeau, Courgeau, Valentin, Almut E. D. Veraart +1 · 1 citation
Computer Science · Economics, Econometrics and Finance · #60G70 #62D20 #62G32 #Anomaly Detection Techniques and Applications #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Image and Signal Denoising Methods #Methodology (stat.ME) #Other Statistics (stat.OT)
- A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
2022/05/08 by Fred Espen Benth, Benth, Fred Espen, Dennis Schroers +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #46N30 (Primary) 60H15 (Secondary) #62E20 #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #G.3 #Methodology (stat.ME) #Statistical Methods and Inference #Statistics Theory (math.ST) #Stochastic processes and financial applications
- Learning with Expected Signatures: Theory and Applications
2025/05/26 by Lorenzo Lucchese, Mikko S. Pakkanen, Lucchese, Lorenzo +3 · 1 citation
Computer Science · #Data Stream Mining Techniques #FOS: Computer and information sciences #FOS: Mathematics #Imbalanced Data Classification Techniques #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Machine Learning in Healthcare #Probability (math.PR) #Statistics Theory (math.ST)