This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
This paper considers nonlinear modeling based on a limited amount of experimental data and a simulator built from prior knowledge. The problem of how to best incorporate the data ...
Tensors are nowadays a common source of geometric information. In this paper, we propose to endow the tensor space with an affine-invariant Riemannian metric. We demonstrate that ...
We study multivariate approximation for continuous functions in the average case setting. The space of d variate continuous functions is equipped with the zero mean Gaussian measu...
—The Grassmann manifold Gn,p (L) is the set of all p-dimensional planes (through the origin) in the n-dimensional Euclidean space Ln , where L is either R or C. This paper consid...