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Approximations of the solutions of a stochastic differential equation using dirichlet process mixtures and gaussian mixtures
ArticleAbstract: Stochastic differential equations arise in a variety of contexts. There are many techniques for apprPalabras claves:Gaussian mixtures filter, Gaussian particle filter, Nonparametric particle filterAutores:Aracelis Hernández, Luis Sánchez, Luna C., Saba Rafael InfanteFuentes:scopusEstimation of stochastic volatility models using optimized filtering algorithms
ArticleAbstract: In this paper, we describe and implement two recursive filtering algorithms, the optimized particlePalabras claves:Optimized particle filter, Stochastic volatility models, Viterbi algorithmAutores:Aracelis Hernández, Luis Sánchez, Luna C., Saba Rafael InfanteFuentes:scopusSequential Monte Carlo Filters with Parameters Learning for Commodity Pricing Models
ArticleAbstract: In this article, an estimation methodology based on the sequential Monte Carlo algorithm is proposedPalabras claves:Commodities Pricess, Heston Model, Parameter Learning Algorithm, Schwartz Single-Factor Model, Stochastic ModelsAutores:Aracelis Hernández, Luis Sánchez, Marcano J., Saba Rafael InfanteFuentes:googlescopusPolynomial Chaos based on the parallelized ensemble Kalman filter to estimate precipitation states
ArticleAbstract: This article develops a methodology combining methods of numerical analysis and stochastic differentPalabras claves:Numerical Methods, Parallelized ensemble Kalman filter, Polynomial chaos, Stochastic differential equationsAutores:Griffin V., Luis Sánchez, Marcano J., Saba Rafael InfanteFuentes:googlescopusTorque and drag analysis of a drill string using Sequential Monte Carlos methods
ArticleAbstract: In this work we propose a methodology based on sequential Monte Carlos techniques for the estimationPalabras claves:Directional drill string, ensemble Kalman filter, Torque and drag phenomenon, Unscented kalman filterAutores:Luis Sánchez, Miguel Lapo, Octavio ZorrillaFuentes:scopus