Juan-Pablo Ortega

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The estimation of multivariate GARCH time series models is a difficult task mainly due to the significant overparameterization exhibited by the problem and usually referred to as the " curse of dimensionality ". For example, in the case of the VEC family, the number of parameters involved in the model grows as a polynomial of order four on the(More)
Reservoir computing is a recently introduced brain-inspired machine learning paradigm capable of excellent performances in the processing of empirical data. We focus in a particular kind of time-delay based reservoir computers that have been physically implemented using optical and electronic systems and have shown unprecedented data processing rates.(More)
Reservoir computing is a recently introduced machine learning paradigm that has already shown excellent performances in the processing of empirical data. We study a particular kind of reservoir computers called time-delay reservoirs that are constructed out of the sampling of the solution of a time-delay differential equation and show their good performance(More)
This letter addresses the reservoir design problem in the context of delay-based reservoir computers for multidimensional input signals, parallel architectures, and real-time multitasking. First, an approximating reservoir model is presented in those frameworks that provides an explicit functional link between the reservoir architecture and its performance(More)
To measure the level of residual cognitive function in patients with disorders of consciousness, the use of electrophysiological and neuroimaging protocols of increasing complexity is recommended. This work presents an EEG-based method capable of assessing at an individual level the integrity of the auditory cortex at the bedside of patients and can be seen(More)
We investigate the weak convergence of a non-Gaussian GARCH model together with an application to the pricing of European style options determined using two different stochastic discount factors: the extended Girsanov principle of Elliott and Madan (1998) and the conditional Esscher transform. Applying these changes of measure to asymmetric GARCH models(More)
This paper extends the notion of information processing capacity for non-independent input signals in the context of reservoir computing (RC). The presence of input autocorrelation makes worthwhile the treatment of forecasting and filtering problems for which we explicitly compute this generalized capacity as a function of the reservoir parameter values(More)