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Exabel's Factor Model
Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we …
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Performance evaluation of volatility estimation methods for Exabel
Quantifying both historic and future volatility is key in portfolio risk management. This note presents and compares estimation …
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groupShapley: Efficient prediction explanation with Shapley values for feature groups
Shapley values has established itself as one of the most appropriate and theoretically sound frameworks for explaining predictions from …
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Statistical modeling of repertoire overlap in entire sampling spaces
We analyze the distribution of T-cell clonotypes in a compartment like blood based on samples. In particular, we study how the …
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Parametric or nonparametric: The FIC approach for stationary time series
We seek to narrow the gap between parametric and nonparametric modelling of stationary time series processes. The approach is inspired …
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