no code implementations • 13 Feb 2024 • Jose Pablo Folch, Calvin Tsay, Robert M Lee, Behrang Shafei, Weronika Ormaniec, Andreas Krause, Mark van der Wilk, Ruth Misener, Mojmír Mutný
This is a parallel to the optimization of an acquisition function in policy space.
no code implementations • 21 Jul 2022 • Weronika Ormaniec, Marcin Pitera, Sajad Safarveisi, Thorsten Schmidt
Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task.