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Conditional importance sampling for particle filters 期刊论文
INFORMATION SCIENCES, 2019, 卷号: 501, 页码: 388-396
Authors:  Zhang, Qingming;  Shi, Buhai;  Zhang, Yuhao
Favorite  |  View/Download:18/0  |  Submit date:2020/01/10
Importance sampling  Conditional density  Variance of importance weights  Effective sample size  Particle filter  
Filtered Hyperbolic Moment Method for the Vlasov Equation 期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2019, 卷号: 79, 期号: 2, 页码: 969-991
Authors:  Di, Yana;  Fan, Yuwei;  Kou, Zhenzhong;  Li, Ruo;  Wang, Yanli
Favorite  |  View/Download:14/0  |  Submit date:2020/01/10
Hyperbolic moment equations  Vlasov equation  Filter  Landau damping  Two-stream instability  
Estimation of market prices of risks in the GARCH diffusion model 期刊论文
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2018, 卷号: 31, 期号: 1, 页码: 15-36
Authors:  Wu, Xinyu;  Zhou, Hailin;  Wang, Shouyang
Favorite  |  View/Download:15/0  |  Submit date:2018/07/30
Market prices of risks  GARCH diffusion model  option pricing  efficient importance sampling  maximum likelihood  particle filter