3 papers
eess.SY2025
Recursive Estimation for Dynamical Systems with Measurement Bias, Outliers and Constraints
Krishan Mohan Nagpal
This paper describes recursive algorithms for state estimation of linear dynamical systems when measurements are noisy with unknown bias and/or outliers. For situations with noisy…
q-fin.CP2024
Portfolio Stress Testing and Value at Risk (VaR) Incorporating Current Market Conditions
Krishan Mohan Nagpal
Value at Risk (VaR) and stress testing are two of the most widely used approaches in portfolio risk management to estimate potential market value losses under adverse market moves.…
q-fin.ST2022
Cluster-based Regression using Variational Inference and Applications in Financial Forecasting
Udai Nagpal, Krishan Nagpal
This paper describes an approach to simultaneously identify clusters and estimate cluster-specific regression parameters from the given data. Such an approach can be useful in lear…