JSTOR Daily

Bayesian log-Gaussian Cox process regression: applications to meta-analysis of neuroimaging working memory studies

Pantelis Samartsidis, Claudia R. Eickhoff, Simon B. Eickhoff, Tor D. Wager, Lisa Feldman Barrett, Shir Atzil, Timothy D. Johnson, Thomas E. Nichols Journal of the ...
Risk

Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations

Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all trades between each counterparty under both market and credit risk. We present a ...
JSTOR Daily

Locally Adaptive Bayes Nonparametric Regression via Nested Gaussian Processes

We propose a nested Gaussian process (nGP) as a locally adaptive prior for Bayesian nonparametric regression. Specified through a set of stochastic differential equations (SDEs), the nGP imposes a ...
Risk

Machine learning hedge strategy with deep Gaussian process regression

When applying machine learning to trading strategy, two inevitable practical issues are achieving interpretable results and securing robustness to market changes. To overcome these challenges, ...