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Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes.
Riccardo Gatto
Published in:
Appl. Math. Comput. (2014)
Keyphrases
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importance sampling
rare events
monte carlo
variance reduction
markov chain
kalman filter
particle filter
particle filtering
probability distribution
approximate inference
markov chain monte carlo
machine learning
closed form
visual tracking
incremental learning
posterior distribution