Methods of Hyperparameter Estimation in Time-Varying Regression Models with Application to Dynamic Style Analysis of Investment Portfolios

Olga Krasotkina, Vadim Mottl, Michael Markov, Elena Chernousova, Dmitry Malakhov. Methods of Hyperparameter Estimation in Time-Varying Regression Models with Application to Dynamic Style Analysis of Investment Portfolios. In Petra Perner, editor, Machine Learning and Data Mining in Pattern Recognition - 13th International Conference, MLDM 2017, New York, NY, USA, July 15-20, 2017, Proceedings. Volume 10358 of Lecture Notes in Computer Science, pages 431-450, Springer, 2017. [doi]

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