Combining the MGHyp Distribution with Nonlinear Shrinkage in Modeling Financial Asset Returns
Published in Journal of Empirical Finance, 2024
Download here
Publications
A neat overview of my research can be found here
Published
MMD-based Variable Importance for Distributional Random Forest
Published in AISTATS, 2024
Download here
Confidence and Uncertainty Assessment for Distributional Random Forests
Published in Journal of Machine Learning Research, 2023
Download here
R-NL: Covariance Matrix Estimation for Elliptical Distributions based on Nonlinear Shrinkage
Published in IEEE Transactions on Signal Processing, 2023
Download here
Imputation Scores
Published in Annals of Applied Statistics, 2023
Download here
Heterogeneous Tail Generalized Common Factor Modeling
Published in Digital Finance, 2023
Download here
On the Use of Random Forest for Two-Sample Testing
Published in Computational Statistics and Data Analysis, 2022
Download here
Distributional Random Forests: Heterogeneity Adjustment and Multivariate Distributional Regression
Published in Journal of Machine Learning Research, 2022
Download here
The Role of Time-Varying Contextual Factors in Latent Attrition Models for Customer Base Analysis
Published in Marketing Science, 2021
Download here
Heterogeneous tail generalized COMFORT modeling via Cholesky Decomposition
Published in Journal of Multivariate Analysis, 2019
Download here