Laurent  Callot
Laurent Callot
Amazon Research
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Oracle inequalities for high dimensional vector autoregressions
AB Kock, L Callot
Journal of Econometrics 186 (2), 325-344, 2015
Criteria for classifying forecasting methods
T Januschowski, J Gasthaus, Y Wang, D Salinas, V Flunkert, ...
International Journal of Forecasting 36 (1), 167-177, 2020
Deep Learning for Time Series Forecasting: Tutorial and Literature Survey
K Benidis, SS Rangapuram, V Flunkert, Y Wang, D Maddix, C Turkmen, ...
ACM Computing Surveys (CSUR), 2018
High-dimensional multivariate forecasting with low-rank gaussian copula processes
D Salinas, M Bohlke-Schneider, L Callot, R Medico, J Gasthaus
Advances in Neural Information Processing Systems 32, 6827-6837, 2019
Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
L Callot, AB Kock, M Medeiros
Journal of Applied Econometrics, 2016
Oracle efficient estimation and forecasting with the adaptive lasso and the adaptive group lasso in vector autoregressions
LAF Callot, AB Kock
Essays in Nonlinear Time Series Econometrics, 238-268, 2014
A nodewise regression approach to estimating large portfolios
L Callot, M Caner, AÖ Önder, E Ulaşan
Journal of Business & Economic Statistics 39 (2), 520-531, 2021
Deep learning for forecasting
T Januschowski, J Gasthaus, Y Wang, SS Rangapuram, L Callot
Foresight: The International Journal of Applied Forecasting, 35-41, 2018
Deterministic and stochastic trends in the Lee–Carter mortality model
L Callot, N Haldrup, M Kallestrup-Lamb
Applied Economics Letters 23 (7), 486-493, 2016
The problem of natural funnel asymmetries: a simulation analysis of meta‐analysis in macroeconomics
L Callot, M Paldam
Research Synthesis Methods, 2011
Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models
L Callot, M Caner, AB Kock, JA Riquelme
Journal of Business & Economic Statistics, 2015
Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy
L Callot, JT Kristensen
Tinbergen Institute Discussion Paper 14-145/III, 2015
Spliced binned-pareto distribution for robust modeling of heavy-tailed time series
E Ehrlich, L Callot, FX Aubet
arXiv preprint arXiv:2106.10952, 2021
Improve black-box sequential anomaly detector relevancy with limited user feedback
L Kong, L Chen, M Chen, P Bhatia, L Callot
arXiv preprint arXiv:2009.07241, 2020
Deep Generative model with Hierarchical Latent Factors for Time Series Anomaly Detection
CI Challu, P Jiang, YN Wu, L Callot
International Conference on Artificial Intelligence and Statistics, 1643-1654, 2022
Online false discovery rate control for anomaly detection in time series
Q Rebjock, B Kurt, T Januschowski, L Callot
Advances in Neural Information Processing Systems 34, 26487-26498, 2021
A Simple and Effective Predictive Resource Scaling Heuristic for Large-scale Cloud Applications
Q Rebjock, V Flunkert, T Januschowski, L Callot, J Castellon
AIDB@ VLDB, 2020
A bootstrap cointegration rank test for panels of VAR models
L Callot
CREATES Research Paper, 2010
Robust Projection based Anomaly Extraction (RPE) in Univariate Time-Series
M Rahmani, A Deoras, L Callot
arXiv preprint arXiv:2205.15548, 2022
Testing Granger Non-Causality in Panels with Cross-Sectional Dependencies
L Minorics, C Turkmen, D Kernert, P Bloebaum, L Callot, D Janzing
International Conference on Artificial Intelligence and Statistics, 10534-10554, 2022
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