273 search results - page 26 / 55 » Generalized darting Monte Carlo |
DAGSTUHL
2004
15 years 1 months ago
2004
We study the intrinsic difficulty of solving linear parabolic initial value problems numerically at a single point. We present a worst case analysis for deterministic as well as fo...
WSC
2004
15 years 1 months ago
2004
We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge s...
CSDA
2010
14 years 12 months ago
2010
We study a general algorithm to improve accuracy in cluster analysis that employs the James-Stein shrinkage effect in k-means clustering. We shrink the centroids of clusters towar...
CSDA
2008
14 years 12 months ago
2008
In this paper we use a general procedure for fractional integration and structural breaks at unknown points in time, which allows for different orders of integration and determini...
CSDA
2006
14 years 12 months ago
2006
Flexible discriminant analysis (FDA) is a general methodology which aims at providing tools for multigroup non linear classification. It consists in a nonparametric version of dis...