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EOR
2010
125views more  EOR 2010»
15 years 2 months ago
Efficient estimation of large portfolio loss probabilities in t-copula models
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
Joshua C. C. Chan, Dirk P. Kroese
AUTOMATICA
2006
140views more  AUTOMATICA 2006»
15 years 2 months ago
On a stochastic sensor selection algorithm with applications in sensor scheduling and sensor coverage
In this note we consider the following problem. Suppose a set of sensors is jointly trying to estimate a process. One sensor takes a measurement at every time step and the measure...
Vijay Gupta, Timothy H. Chung, Babak Hassibi, Rich...
125
Voted
COMPUTING
2006
112views more  COMPUTING 2006»
15 years 2 months ago
Fast Summation of Radial Functions on the Sphere
Radial functions are a powerful tool in many areas of multidimensional approximation, especially when dealing with scattered data. We present a fast approximate algorithm for the ...
Jens Keiner, Stefan Kunis, Daniel Potts
CORR
2006
Springer
71views Education» more  CORR 2006»
15 years 2 months ago
Wreath Products in Stream Cipher Design
The paper develops a novel approach to stream cipher design: Both the state update function and the output function of the corresponding pseudorandom generators are compositions of...
Vladimir Anashin
83
Voted
CORR
2006
Springer
101views Education» more  CORR 2006»
15 years 2 months ago
MDL Convergence Speed for Bernoulli Sequences
The Minimum Description Length principle for online sequence estimation/prediction in a proper learning setup is studied. If the underlying model class is discrete, then the total...
Jan Poland, Marcus Hutter