Peter Nystrup

Publication Activity (10 Years)

Years Active: 2017-2021
Publications (10 Years): 6

Top Topics

Multivariate Time Series

Planning Horizon

Top Venues

Expert Syst. Appl.

Ann. Oper. Res.

Found. Trends Optim.

Adv. Data Anal. Classif.

Publications

Peter Nystrup, Petter N. Kolm, Erik Lindström
Feature selection in jump models. Expert Syst. Appl. 184 (2021)
Peter Nystrup, Erik Lindström, Pierre Pinson, Henrik Madsen
Temporal hierarchies with autocorrelation for load forecasting. Eur. J. Oper. Res. 280 (3) (2020)
Peter Nystrup, Erik Lindström, Henrik Madsen
Learning hidden Markov models with persistent states by penalizing jumps. Expert Syst. Appl. 150 (2020)
Peter Nystrup, Stephen P. Boyd, Erik Lindström, Henrik Madsen
Multi-period portfolio selection with drawdown control. Ann. Oper. Res. 282 (1-2) (2019)
David Hallac, Peter Nystrup, Stephen P. Boyd
Greedy Gaussian segmentation of multivariate time series. Adv. Data Anal. Classif. 13 (3) (2019)
Stephen P. Boyd, Enzo Busseti, Steven Diamond, Ronald N. Kahn, Kwangmoo Koh, Peter Nystrup, Jan Speth
Multi-Period Trading via Convex Optimization. Found. Trends Optim. 3 (1) (2017)