Calibration of Local Correlation Models. Notice to Skeptics of Particle Methods: With the Diffusion Implied Kernel, You Will Have No More Excuses!

2020 ◽  
Author(s):  
Rida Mahi
Keyword(s):  
Particle Methods ◽  
Local Correlation ◽  
Correlation Models

scholarly journals Local Correlation Models

2003 ◽  
pp. 96-102 ◽  
Author(s):  
Martin Head-Gordon ◽  
Troy Van Voorhis ◽  
Gregory J. O. Beran ◽  
Barry Dunietz
Keyword(s):  
Local Correlation ◽  
Correlation Models

Detection of the Structural Failing Point Using Correlation and Local Correlation Analysis

2020 ◽  
Author(s):  
Hyounkyun Oh ◽  
Younghan Jung ◽  
Junyong Ahn ◽  
Sujin Kim ◽  
M. Myung Jeong
Keyword(s):  
Correlation Analysis ◽  
Local Correlation

Comparison of Nonlinear Spatial Correlation Models by the Influence of the Data Augmentation to the Classification Risk

2002 ◽  
Vol 7 (1) ◽  
pp. 31-42
Author(s):  
J. Šaltytė ◽  
K. Dučinskas
Keyword(s):  
Spatial Correlation ◽  
Random Fields ◽  
Data Augmentation ◽  
Gaussian Random Fields ◽  
Classification Rule ◽  
Numerical Comparison ◽  
First Order ◽  
Bayesian Risk ◽  
Correlation Models

The Bayesian classification rule used for the classification of the observations of the (second-order) stationary Gaussian random fields with different means and common factorised covariance matrices is investigated. The influence of the observed data augmentation to the Bayesian risk is examined for three different nonlinear widely applicable spatial correlation models. The explicit expression of the Bayesian risk for the classification of augmented data is derived. Numerical comparison of these models by the variability of Bayesian risk in case of the first-order neighbourhood scheme is performed.

Joint Calibration of Option Pricing Models via Particle Methods

2005 ◽  
Author(s):  
Billy Amzal ◽  
Yonathan Ebguy ◽  
Sebastien Roland
Keyword(s):  
Option Pricing ◽  
Particle Methods ◽  
Pricing Models
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