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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…
stat.ME2024
Iterative Methods for Full-Scale Gaussian Process Approximations for Large Spatial Data
Tim Gyger, Reinhard Furrer, Fabio Sigrist
Gaussian processes are flexible probabilistic regression models which are widely used in statistics and machine learning. However, a drawback is their limited scalability to large…