381 citations
- Institut national de recherche en sciences et technologies du numériqueFR8 papers
- Institut National des Sciences Appliquées de LyonFR7 papers
- Weill Cornell MedicineUS7 papers
- Centre Inria de l'Université Grenoble AlpesFR5 papers
- Centre National de la Recherche ScientifiqueFR4 papers
- Institut Polytechnique de ParisFR4 papers
- Université Grenoble AlpesFR4 papers
- Massachusetts Institute of TechnologyUS3 papers
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- IMT AtlantiqueFR2 papers
5 papers · 1 filter
Automated regime classification in multidimensional time series data using sliced Wasserstein k-means clustering
Qinmeng Luan, James Hamp
Recent work has proposed Wasserstein k-means (Wk-means) clustering as a powerful method to classify regimes in time series data, and one-dimensional asset returns in particular. In…
Monte Carlo guided Diffusion for Bayesian linear inverse problems
Gabriel Cardoso, Yazid Janati El Idrissi, Sylvain Le Corff +1
Ill-posed linear inverse problems arise frequently in various applications, from computational photography to medical imaging. A recent line of research exploits Bayesian inference…
Variational latent discrete representation for time series modelling
Max Cohen, Maurice Charbit, Sylvain Le Corff
Discrete latent space models have recently achieved performance on par with their continuous counterparts in deep variational inference. While they still face various implementatio…
Inferring Communities of Interest in Collaborative Learning-based Recommender Systems
Yacine Belal, Sonia Ben Mokhtar, Mohamed Maouche +1
Collaborative-learning-based recommender systems, such as those employing Federated Learning (FL) and Gossip Learning (GL), allow users to train models while keeping their history…
Some asymptotics for short maturity Asian options
Humayra Shoshi, Indranil SenGupta
Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this paper, we use the large deviations theory…