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WSC
2000
15 years 8 months ago
Variance reduction techniques for value-at-risk with heavy-tailed risk factors
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...
Paul Glasserman, Philip Heidelberger, Perwez Shaha...
UAI
1997
15 years 8 months ago
Update Rules for Parameter Estimation in Bayesian Networks
This paper re-examines the problem of parameter estimation in Bayesian networks with missing values and hidden variables from the perspective of recent work in on-line learning [1...
Eric Bauer, Daphne Koller, Yoram Singer
WSC
1997
15 years 8 months ago
Computational Experience with the Batch Means Method
This article discusses implementation issues for the LBATCH and ABATCH batch means procedures of Fishman and Yarberry (1997). Theses procedures dynamically increase the batch size...
Christos Alexopoulos, George S. Fishman, Andrew F....
WSC
1997
15 years 8 months ago
Efficient Instruction Cache Simulation and Execution Profiling with a Threaded-Code Interpreter
We present an extension to an existing SPARC V8 instruction set simulator, SimICS, to support accurate profiling of branches and instruction cache misses. SimICS had previously su...
Peter S. Magnusson
WSC
1997
15 years 8 months ago
The Impact of Transients on Simulation Variance Estimators
Given a stationary simulation process with unknown mean µ , interest frequently lies in, and various methods exist for, developing estimates and confidence intervals for µ . Typ...
Daniel H. Ockerman, David Goldsman
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