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20232026
most citedIterative Methods for Vecchia-Laplace Approximations for Latent Gaussian Process Models

4 citations · 4 across the 11 of their papers we have counts for

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q-fin.RM2024

A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios

Pascal Kündig, Fabio Sigrist

We introduce a novel machine learning model for credit risk by combining tree-boosting with a latent spatio-temporal Gaussian process model accounting for frailty correlation. This…