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Large Deviations for a Mean Field Model of Systemic Risk.

Josselin GarnierGeorge PapanicolaouTzu-Wei Yang
Published in: SIAM J. Financial Math. (2013)
Keyphrases
  • probabilistic model
  • prior knowledge
  • em algorithm
  • probability distribution
  • model selection
  • parameter estimation
  • closed form
  • gaussian distribution