3 papers
econ.EM2022
A penalized two-pass regression to predict stock returns with time-varying risk premia
Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet
We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintai…
eess.SP2021
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration
Gaetan Bakalli, Davide A. Cucci, Ahmed Radi +4
Inertial sensor calibration plays a progressively important role in many areas of research among which navigation engineering. By performing this task accurately, it is possible to…
stat.ML2020
SWAG: A Wrapper Method for Sparse Learning
Roberto Molinari, Gaetan Bakalli, Stéphane Guerrier +4
The majority of machine learning methods and algorithms give high priority to prediction performance which may not always correspond to the priority of the users. In many cases, pr…