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The LASSO risk: asymptotic results and real world examples
Coefficient vector linear observation construct sparse the lasso matrix sequence
2015/8/21
We consider the problem of learning a coefficient vector x0 ∈ RN from noisy linear observation y = Ax0 + w ∈ Rn. In many contexts (ranging from model
selection to image processing) it is desirable to...
Default Risk Modeling Beyond the First-Passage Approximation. I. Extended Black-Cox Model
Default Risk Modeling First-Passage Approximation Black-Cox Model
2010/4/27
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firms ability to avoid default even if companys liabilities momentaril...