2 citations · 3 across the 3 of their papers we have counts for
4 papers
The column measure and Gradient-Free Gradient Boosting
Tino Werner, Peter Ruckdeschel
Sparse model selection by structural risk minimization leads to a set of a few predictors, ideally a subset of the true predictors. This selection clearly depends on the underlying…
Generalized Pareto Processes and Liquidity
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel +1
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the…
Statistical models for dynamics in extreme value processes
Bernhard Spangl, Sascha Desmettre, Peter Ruckdeschel
We study four different approaches to model time-dependent extremal behavior: dynamics introduced by (a) a state-space model (SSM), (b) a shot-noise-type process with GPD marginals…
Robustification of Elliott's on-line EM algorithm for HMMs
Christina Erlwein, Peter Ruckdeschel
In this paper, we establish a robustification of an on-line algorithm for modelling asset prices within a hidden Markov model (HMM). In this HMM framework, parameters of the model…