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TIT
2010
104views Education» more  TIT 2010»
14 years 11 months ago
Nonparametric statistical inference for ergodic processes
In this work a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only as...
Daniil Ryabko, Boris Ryabko
TR
2010
204views Hardware» more  TR 2010»
14 years 11 months ago
Anomaly Detection Through a Bayesian Support Vector Machine
This paper investigates the use of a one-class support vector machine algorithm to detect the onset of system anomalies, and trend output classification probabilities, as a way to ...
Vasilis A. Sotiris, Peter W. Tse, Michael Pecht
ADVCS
2010
73views more  ADVCS 2010»
15 years 4 months ago
Instability of Portfolio Optimization under Coherent Risk Measures
It is shown that the axioms for coherent risk measures imply that whenever there is a pair of portfolios such that one of them dominates the other one in a given sample (which hap...
Imre Kondor, István Varga-Haszonits
CSDA
2010
173views more  CSDA 2010»
15 years 4 months ago
Time-varying joint distribution through copulas
This paper deals with the analysis of temporal dependence in multivariate highfrequency time series data. The dependence structure between the marginal series is modelled through ...
M. Concepcion Ausin, Hedibert F. Lopes
CMA
2010
173views more  CMA 2010»
15 years 2 months ago
Impulsive differential inclusions with fractional order
In this paper, we present an impulsive version of Filippov's Theorem for fractional differential inclusions of the form: D y(t) F(t, y(t)), a.e. t J\{t1, . . . , tm}, (1,...
Johnny Henderson, Abdelghani Ouahab