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Default Clustering in Large Pools: Large Deviations.

Konstantinos SpiliopoulosRichard B. Sowers
Published in: SIAM J. Financial Math. (2015)
Keyphrases
  • large deviations
  • clustering algorithm
  • k means
  • heavy tailed
  • importance sampling
  • probability distribution
  • data points
  • queue length
  • state dependent
  • queueing systems