4 citations · 4 across the 3 of their papers we have counts for
4 papers
Extreme event propagation using counterfactual theory and vine copulas
Valentin Courgeau, Almut E. D. Veraart
Understanding multivariate extreme events play a crucial role in managing the risks of complex systems since extremes are governed by their own mechanisms. Conditional on a given v…
Offline Reinforcement Learning Hands-On
Louis Monier, Jakub Kmec, Alexandre Laterre +4
Offline Reinforcement Learning (RL) aims to turn large datasets into powerful decision-making engines without any online interactions with the environment. This great promise has m…
High-frequency Estimation of the Lévy-driven Graph Ornstein-Uhlenbeck process
Valentin Courgeau, Almut E. D. Veraart
We consider the Graph Ornstein-Uhlenbeck (GrOU) process observed on a non-uniform discrete time grid and introduce discretised maximum likelihood estimators with parameters specifi…
Likelihood theory for the Graph Ornstein-Uhlenbeck process
Valentin Courgeau, Almut E. D. Veraart
We consider the problem of modelling restricted interactions between continuously-observed time series as given by a known static graph (or network) structure. For this purpose, we…