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Deterministic Distributed Data Aggregation under the SINR Model
SINR interference model, data aggregation, physical carriersensing.
2012/12/3
Given a set of nodes V, where each node has some data value,the goal of data aggregation is to compute some aggregate function in the fewest timeslots possible. Aggregate functions compute the aggrega...
Toy Model for Large Non-Symmetric Random Matrices
Singular Values Rectangular Random Matrices Free Random Matrix Theory Vector Models
2010/4/28
Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large d...
Diversity and Arbitrage in a Regulatory Breakup Model
Diversity Arbitrage Regulatory Breakup Model
2010/4/27
In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We e...
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
uncertain cash flows Model ambiguity discounting ambiguity
2010/4/27
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into accoun...
A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
2010/4/27
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the mo...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model Markov Chain Monte Carlo Bayesian Inference Financial Data Analysis
2010/4/27
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
Potts Model with two Competing Binary Interactions
Potts model competing interactions Gibbs measure
2010/2/26
The Potts model on a Cayley tree in the presence of competing two binary interactions and magnetic field is considered. We exactly solve a problem of phase transitions for the model,namely we calculat...