2019
An information criterion for gradient boosted trees
Gradient boosting has been highly successful in machine-learning competitions for structured/tabular data since the introduction of …
An information criterion for gradient boosted trees
Gradient boosting has been highly successful in machine-learning competitions for structured/tabular data since the introduction of …
Information criteria for gradient boosted trees: Adaptive tree size and early stopping
In gradient tree boosting, the functional form of the ensemble repeatedly changes during training. To select a sensible functional …
2018
Saddlepoint adjusted inversion of characteristic functions
EcoSta conference in Hong Kong, presentation on saddlepoint adjusted inversion of characteristic functions
Finance in the frequency domain
Invited lecture at The Norwegian Society of Actuaries annual member meeting
2017
Information efficient gradient tree boosting
University of Bergen, Department of mathematics seminar, presentation on information adaptive boosting.
Information efficient gradient tree boosting
Bergen ML Meetup, presentation on information adaptive boosting.
Likelihood Estimation of Jump-Diffusions: Extensions from Diffusions to Jump-Diffusions, Implementation with Automatic Differentiation, and Applications
Lecture after winning Aktuarprisen 2017
