1 citations · 1 across the 2 of their papers we have counts for
3 papers
math.ST2025
Fast Wasserstein rates for estimating probability distributions of probabilistic graphical models
Daniel Bartl, Stephan Eckstein
Using i.i.d. data to estimate a high-dimensional distribution in Wasserstein distance is a fundamental instance of the curse of dimensionality. We explore how structural knowledge…
cs.LG2024★ 1 cited
Time-Causal VAE: Robust Financial Time Series Generator
Beatrice Acciaio, Stephan Eckstein, Songyan Hou
We build a time-causal variational autoencoder (TC-VAE) for robust generation of financial time series data. Our approach imposes a causality constraint on the encoder and decoder…
q-fin.RM2024
Optimal nonparametric estimation of the expected shortfall risk
Daniel Bartl, Stephan Eckstein
We address the problem of estimating the expected shortfall risk of a financial loss using a finite number of i.i.d. data. It is well known that the classical plug-in estimator suf…