no code implementations • 1 Aug 2022 • Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet
We develop a penalized two-pass regression with time-varying factor loadings.
no code implementations • 13 May 2021 • Gaetan Bakalli, Davide A. Cucci, Ahmed Radi, Naser El-Sheimy, Roberto Molinari, Olivier Scaillet, Stéphane Guerrier
While different techniques are available to model and remove the deterministic errors, there has been considerable research over the past years with respect to modelling the stochastic errors which have complex structures.
no code implementations • 23 Jun 2020 • Roberto Molinari, Gaetan Bakalli, Stéphane Guerrier, Cesare Miglioli, Samuel Orso, Mucyo Karemera, Olivier Scaillet
As a consequence, there is the need to make the outputs of machine learning algorithms more interpretable and to deliver a library of "equivalent" learners (in terms of prediction performance) that users can select based on attribute availability in order to test and/or make use of these learners for predictive/diagnostic purposes.