4 papers
Copula-Based Time Series for Non-Gaussian and Non-Markovian Stationary Processes
Sven Pappert, Harry Joe
In the copula-based approach to univariate time series modeling, the finite dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies inve…
Moving Aggregate Modified Autoregressive Copula-Based Time Series Models (MAGMAR-Copulas)
Sven Pappert
Copula-based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula an…
Analyzing Uncertainty Quantification in Statistical and Deep Learning Models for Probabilistic Electricity Price Forecasting
Andreas Lebedev, Abhinav Das, Sven Pappert +2
Precise probabilistic forecasts are fundamental for energy risk management, and there is a wide range of both statistical and machine learning models for this purpose. Inherent to…
The Field Equations of Penalized non-Parametric Regression
Sven Pappert
We view penalized risks through the lens of the calculus of variations. We consider risks comprised of a fitness-term (e.g. MSE) and a gradient-based penalty. After establishing th…