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EOR
2010
125views more  EOR 2010»
13 years 7 months ago
Efficient estimation of large portfolio loss probabilities in t-copula models
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
Joshua C. C. Chan, Dirk P. Kroese
AUTOMATICA
2006
140views more  AUTOMATICA 2006»
13 years 7 months ago
On a stochastic sensor selection algorithm with applications in sensor scheduling and sensor coverage
In this note we consider the following problem. Suppose a set of sensors is jointly trying to estimate a process. One sensor takes a measurement at every time step and the measure...
Vijay Gupta, Timothy H. Chung, Babak Hassibi, Rich...
COMPUTING
2006
112views more  COMPUTING 2006»
13 years 7 months ago
Fast Summation of Radial Functions on the Sphere
Radial functions are a powerful tool in many areas of multidimensional approximation, especially when dealing with scattered data. We present a fast approximate algorithm for the ...
Jens Keiner, Stefan Kunis, Daniel Potts
CORR
2006
Springer
71views Education» more  CORR 2006»
13 years 7 months ago
Wreath Products in Stream Cipher Design
The paper develops a novel approach to stream cipher design: Both the state update function and the output function of the corresponding pseudorandom generators are compositions of...
Vladimir Anashin
CORR
2006
Springer
101views Education» more  CORR 2006»
13 years 7 months ago
MDL Convergence Speed for Bernoulli Sequences
The Minimum Description Length principle for online sequence estimation/prediction in a proper learning setup is studied. If the underlying model class is discrete, then the total...
Jan Poland, Marcus Hutter