نتایج جستجو برای: variance method
تعداد نتایج: 1710362 فیلتر نتایج به سال:
The tube method or the volume-of-tube approximates tail probability of maximum a smooth Gaussian random field with zero mean and unit variance. This evaluates volume spherical about index set, then transforms it to probability. In this study, we generalize case in which variance is not constant. We provide formula for non-constant radius terms curvature tensors, inhomogeneous variance, as well ...
We introduce $k$-variance, a generalization of variance built on the machinery random bipartite matchings. $K$-variance measures expected cost matching two sets $k$ samples from distribution to each other, capturing local rather than global information about measure as increases; it is easily approximated stochastically using sampling and linear programming. In addition defining $k$-variance pr...
The Variance-Gamma (VG) process was introduced by Dilip B. Madan and Eugene Seneta as a model for asset returns in a paper that appeared in 1990, and subsequently used for option pricing in a 1991 paper by Dilip and Frank Milne. This paper serves as a tutorial overview of VG and Monte Carlo, including three methods for sequential simulation of the process, two bridge sampling methods, variance ...
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