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stat.ML2024
Adaptive time series forecasting with markovian variance switching
Baptiste Abélès, Joseph de Vilmarest, Olivier Wintemberger
Adaptive time series forecasting is essential for prediction under regime changes. Several classical methods assume linear Gaussian state space model (LGSSM) with variances constan…
cs.LG2024
Online Learning Approach for Survival Analysis
Camila Fernandez, Pierre Gaillard, Joseph de Vilmarest +1
We introduce an online mathematical framework for survival analysis, allowing real time adaptation to dynamic environments and censored data. This framework enables the estimation…