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20092016
most citedLambert W random variables - a new family of generalized skewed distributions with applications to risk estimation

63 citations · 95 across the 8 of their papers we have counts for

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Showing 2012Show all

3 papers · 1 filter

stat.ME2012★ 6 cited

Mixed LICORS: A Nonparametric Algorithm for Predictive State Reconstruction

Georg M. Goerg, Cosma Rohilla Shalizi

We introduce 'mixed LICORS', an algorithm for learning nonlinear, high-dimensional dynamics from spatio-temporal data, suitable for both prediction and simulation. Mixed LICORS ext…

stat.ME2012★ 16 cited

LICORS: Light Cone Reconstruction of States for Non-parametric Forecasting of Spatio-Temporal Systems

Georg M. Goerg, Cosma Rohilla Shalizi

We present a new, non-parametric forecasting method for data where continuous values are observed discretely in space and time. Our method, "light-cone reconstruction of states" (L…

stat.ME2012★ 1 cited

Forecastable Component Analysis (ForeCA)

Georg M. Goerg

I introduce Forecastable Component Analysis (ForeCA), a novel dimension reduction technique for temporally dependent signals. Based on a new forecastability measure, ForeCA finds a…