We investigate the conception that the sample variance of the control variate (CV) should be used for estimating the optimal linear CV weight, even when the CV variance is known. ...
The problem of consistent estimation in measurement error models in a linear relation with not necessarily normally distributed measurement errors is considered. Three possible es...
We propose a method for estimating radiometric response functions from observation of image noise variance, not profile of its distribution. The relationship between radiance inten...
Jun Takamatsu, Yasuyuki Matsushita, Katsushi Ikeuc...
In this paper, a variance constrained filtering problem is considered for systems with both non-Gaussian noises and polytopic uncertainty. A novel filter is developed to estimate t...
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...