Conveners
Process modelling
- Kristina Krebs (prognostica GmbH)
Bayes classifiers rest on maximising the joint conditional PDF of the feature vector under the class value. The usage of copulae is the most flexible way of fitting joint distributions to data. In recent years, the problem of applying copulae to high dimensions has been approached with Vine copulae. Nevertheless, the application to very high dimensions in the order of several thousands have...
Portfolio optimisation requires insight into the joint distribution of the asset returns, in particular the association or dependence between the individual returns. Classical approaches use the covariance matrix for association modelling. However, the usage of copulae is the most flexible way of fitting joint distributions to data. In recent years, the problem of applying copulae to high...
Generalized Likelihood Ratio (GLR)-based control charts for monitoring count processes have been proposed considering a variety of underlying dis- tributions and they are known to outperform the traditional control charts in effectively detecting a wide range of parameters’ shifts, while being relatively easy to design. In this study, generalized likelihood ratio tests for monitoring...