搜索结果: 1-6 共查到“管理科学与工程 Variance”相关记录6条 . 查询时间(0.095 秒)
Robust Minimum Variance Beamforming
Ellipsoidal calculus Hadamard product robust beamforming second-order cone programming
2015/7/10
This paper introduces an extension of minimum variance beamforming, also known as Capon's method, that explicitly takes into account variation or uncertainty in the assumed array response. Sources of ...
Derandomizing and Rerandomizing Variance Estimators
Derandomizing Rerandomizing Variance Estimators
2015/7/8
This technical report is meant to accompany the paper [7] and should be read in conjuction with that work. It describes several concepts which were alluded to in [7] but not elaborated on.
We give al...
Approximating Martingales for Variance Reduction in Markov Process Simulation
Variance reduction Markov process simulation martingale
2015/7/8
“Knowledge of either analytical or numerical approximations should enable more efficient simulation estimators to be constructed.” This principle seems intuitively plausible and certainly attractive, ...
A Comparison of Cross-Entropy and Variance Minimization Strategies
variance minimization cross-entropy importance sampling rareevent simulation likelihood ratio degeneracy
2015/7/6
The variance minimization (VM) and cross-entropy (CE) methods are two versatile adaptive importance sampling procedures that have been successfully applied to a wide variety of difficult rare-event es...
Zero-Variance Importance Sampling Estimators for Markov Process Expectations
Importance sampling Markov process simulation
2015/7/6
We consider the use of importance sampling to compute expectations of functionals of Markov processes. For a class of expectations that can be characterized as positive solutions to a linear system, w...
TESTING THE NULL OF CO-INTEGRATION IN THE PRESENCE OF VARIANCE BREAKS
Co-integration tests variance shifts fixed regressor bootstrap
2010/11/5
We show that changes in the innovation covariance matrix of a vector of
series can generate spurious rejections of the null hypothesis of co-integration when
applying standard residual-based co-inte...