no code implementations • 1 Mar 2021 • Yanhong Chen, Zachary Feinstein
Finally, the equivalence of multiportfolio time consistency between set-valued risk measures for processes and vectors is provided; to accomplish this, an augmented definition for multiportfolio time consistency of set-valued risk measures for processes is proposed.
no code implementations • NeurIPS 2020 • Yingjie Wang, Hong Chen, Feng Zheng, Chen Xu, Tieliang Gong, Yanhong Chen
For high-dimensional observations in real environment, e. g., Coronal Mass Ejections (CMEs) data, the learning performance of previous methods may be degraded seriously due to the complex non-Gaussian noise and the insufficiency of prior knowledge on variable structure.