16 search results - page 1 / 4 » Derivative estimation with known control-variate variances |
WSC
2007
13 years 6 months ago
2007
We investigate the conception that the sample variance of the control variate (CV) should be used for estimating the optimal linear CV weight, even when the CV variance is known. ...
CSDA
2007
13 years 4 months ago
2007
The problem of consistent estimation in measurement error models in a linear relation with not necessarily normally distributed measurement errors is considered. Three possible es...
ECCV
2008
Springer
13 years 6 months ago
2008
Springer
We propose a method for estimating radiometric response functions from observation of image noise variance, not profile of its distribution. The relationship between radiance inten...
ICNSC
2008
IEEE
13 years 11 months ago
2008
IEEE
In this paper, a variance constrained filtering problem is considered for systems with both non-Gaussian noises and polytopic uncertainty. A novel filter is developed to estimate t...
WSC
2004
13 years 5 months ago
2004
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...