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stat.ML2026
Probabilistic Multivariate Time Series Forecasting with Diffusion Copulas
David Huk, Dongshan Wang, Miha Bresar
Accurately assessing financial risk requires capturing both individual asset volatility and the complex, asymmetric dependence structures that emerge during extreme market events.…
stat.ML2025
Diffusion and Flow-based Copulas: Forgetting and Remembering Dependencies
David Huk, Theodoros Damoulas
Copulas are a fundamental tool for modelling multivariate dependencies in data, forming the method of choice in diverse fields and applications. However, the adoption of existing m…
stat.ML2024
Quasi-Bayes meets Vines
David Huk, Yuanhe Zhang, Mark Steel +1
Recently proposed quasi-Bayesian (QB) methods initiated a new era in Bayesian computation by directly constructing the Bayesian predictive distribution through recursion, removing…