3 papers
stat.ML2021
Continual Density Ratio Estimation in an Online Setting
Yu Chen, Song Liu, Tom Diethe +1
In online applications with streaming data, awareness of how far the training or test set has shifted away from the original dataset can be crucial to the performance of the model.…
q-fin.TR2021
The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network
Zijian Shi, Yu Chen, John Cartlidge
In an order-driven financial market, the price of a financial asset is discovered through the interaction of orders - requests to buy or sell at a particular price - that are poste…
stat.ML2018
Fisher Efficient Inference of Intractable Models
Song Liu, Takafumi Kanamori, Wittawat Jitkrittum +1
Maximum Likelihood Estimators (MLE) has many good properties. For example, the asymptotic variance of MLE solution attains equality of the asymptotic Cram{é}r-Rao lower bound (effi…