Category: q-fin.ST
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Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus
Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus arXiv:2509.13923v1 Announce Type: cross Abstract: Cross-validation is one of the most widely used methods for model selection and evaluation; its efficiency for large covariance matrix estimation appears robust in practice, but little is known about the theoretical behavior of its error. In this paper,…
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Online Multivariate Regularized Distributional Regression for High-dimensional Probabilistic Electricity Price Forecasting
Online Multivariate Regularized Distributional Regression for High-dimensional Probabilistic Electricity Price Forecasting arXiv:2504.02518v1 Announce Type: new Abstract: Probabilistic electricity price forecasting (PEPF) is a key task for market participants in short-term electricity markets. The increasing availability of high-frequency data and the need for real-time decision-making in energy markets require online estimation methods for efficient model updating.…
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How to Choose a Threshold for an Evaluation Metric for Large Language Models
How to Choose a Threshold for an Evaluation Metric for Large Language Models arXiv:2412.12148v1 Announce Type: new Abstract: To ensure and monitor large language models (LLMs) reliably, various evaluation metrics have been proposed in the literature. However, there is little research on prescribing a methodology to identify a robust threshold on these metrics even though…