The HMM (Hidden Markov Model) is a probabilistic model of the joint probability of a collection of random variables with both observations and states. The GMM (Gaussian Mixture Mo...
The Swendsen-Wang process provides one possible dynamics for the Qstate Potts model in statistical physics. Computer simulations of this process are widely used to estimate the ex...
Let A be a d by n matrix, d < n. Let C be the regular cross polytope (octahedron) in Rn . It has recently been shown that properties of the centrosymmetric polytope P = AC are ...
We provide a polyhedral description of the conditions for the existence of the maximum likelihood estimate (MLE) for a hierarchical log-linear model. The MLE exists if and only if...
Nicholas Eriksson, Stephen E. Fienberg, Alessandro...
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...