Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk.
Sunggon KimJisu YuPublished in: Ann. Oper. Res. (2023)
Keyphrases
- importance sampling
- mixture model
- monte carlo
- gaussian mixture model
- markov chain
- em algorithm
- kalman filter
- generative model
- probabilistic model
- particle filter
- model selection
- expectation maximization
- approximate inference
- markov chain monte carlo
- particle filtering
- unsupervised learning
- maximum likelihood
- posterior distribution
- probability density function
- pairwise
- information retrieval
- language model
- semi supervised