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IOR
2008
126views more  IOR 2008»
13 years 7 months ago
Fast Simulation of Multifactor Portfolio Credit Risk
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...
Paul Glasserman, Wanmo Kang, Perwez Shahabuddin
ISCI
2008
165views more  ISCI 2008»
13 years 7 months ago
Support vector regression from simulation data and few experimental samples
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 ...
Gérard Bloch, Fabien Lauer, Guillaume Colin...
IJCV
2006
165views more  IJCV 2006»
13 years 7 months ago
A Riemannian Framework for Tensor Computing
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 ...
Xavier Pennec, Pierre Fillard, Nicholas Ayache
JC
2008
128views more  JC 2008»
13 years 7 months ago
Lattice rule algorithms for multivariate approximation in the average case setting
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...
Frances Y. Kuo, Ian H. Sloan, Henryk Wozniakowski
CORR
2007
Springer
91views Education» more  CORR 2007»
13 years 7 months ago
Unequal dimensional small balls and quantization on Grassmann Manifolds
—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...
Wei Dai, Brian Rider, Youjian Liu