1 citations · 1 across the 1 of their papers we have counts for
3 papers
stat.ML2019
Efficient structure learning with automatic sparsity selection for causal graph processes
Théophile Griveau-Billion, Ben Calderhead
We propose a novel algorithm for efficiently computing a sparse directed adjacency matrix from a group of time series following a causal graph process. Our solution is scalable for…
q-fin.PM2019★ 1 cited
Efficient computation of mean reverting portfolios using cyclical coordinate descent
Théophile Griveau-Billion, Ben Calderhead
The econometric challenge of finding sparse mean reverting portfolios based on a subset of a large number of assets is well known. Many current state-of-the-art approaches fall int…
q-fin.CP2019
A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour
Théophile Griveau-Billion, Ben Calderhead
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised…