1 code implementation • 9 May 2024 • Gerardo Duran-Martin, Matias Altamirano, Alexander Y. Shestopaloff, Leandro Sánchez-Betancourt, Jeremias Knoblauch, Matt Jones, François-Xavier Briol, Kevin Murphy
We derive a novel, provably robust, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models.
no code implementations • 10 Dec 2023 • Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
This paper develops a framework to predict toxic trades that a broker receives from her clients.
1 code implementation • 1 Dec 2021 • Gerardo Duran-Martin, Aleyna Kara, Kevin Murphy
In this paper we present a new algorithm for online (sequential) inference in Bayesian neural networks, and show its suitability for tackling contextual bandit problems.