3 papers
cs.LG2019
Online Learning with Continuous Ranked Probability Score
Vladimir V'yugin, Vladimir Trunov
Probabilistic forecasts in the form of probability distributions over future events have become popular in several fields of statistical science. The dissimilarity between a probab…
cs.LG2018
Online Aggregation of Unbounded Losses Using Shifting Experts with Confidence
Vladimir V'yugin, Vladimir Trunov
We develop the setting of sequential prediction based on shifting experts and on a "smooth" version of the method of specialized experts. To aggregate experts predictions, we use t…
cs.LG2011
Calibration with Changing Checking Rules and Its Application to Short-Term Trading
Vladimir Trunov, Vladimir V'yugin
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally ch…