Computation of training set (X^T * W * X) and (X^T * W * Y) or (X^T * X) and (X^T * Y) in a cross-validation setting using the fast algorithms by Engstrøm and Jensen (2025).

This repository contains Python functions for predicting time series.

General-purpose library for fitting models to data with correlated Gaussian-distributed noise

This repository presents a novel approach developed by Prof. Patrick Cheridito and myself for computing conditional expectations with numerical guarantees.