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Estimating the Value-at-Risk by Temporal VAE
Estimation of the value-at-risk (VaR) of a large portfolio of assets is an important task for financial institutions.
A Generalised Linear Model Framework for $β$-Variational Autoencoders based on Exponential Dispersion Families
Although variational autoencoders (VAE) are successfully used to obtain meaningful low-dimensional representations for high-dimensional data, the characterization of critical points of the loss function for general observation models is not fully understood.
A lower bound for the ELBO of the Bernoulli Variational Autoencoder
We consider a variational autoencoder (VAE) for binary data.
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