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Non-Gaussian Price Dynamics and Implications for Option Pricing
(2012)
It is well known that the probability distribution of stock returns is non-Gaussian. The tails of the distribution are too “fat,” meaning that extreme price movements, such as stock market crashes, occur more often than ...
Hermite Gaussian model for quantum states
(Elsevier Science, 2019-10-15)
In order to characterize quantum states within the context of information geometry, we propose a generalization of the Gaussian model, which we called the Hermite-Gaussian model. We obtain the Fisher-Rao metric and the ...
On the determination of epsilon during discriminative GMM training
(2010-12-01)
Discriminative training of Gaussian Mixture Models (GMMs) for speech or speaker recognition purposes is usually based on the gradient descent method, in which the iteration step-size, ε, uses to be defined experimentally. ...
Joint Simulation of Grade and Rock Type in a Stratabound Copper Deposit
(International Association for Mathematical Geosciences, 2015)
This work deals with the joint simulation of copper grade (as a continuous
regionalized variable) and rock type (as a categorical variable) in Lince–Estefanía
deposit, located in northern Chile. The region under study ...
Degradation modeling for reliability analysis with time-dependent structure based on the inverse gaussian distribution
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2017-04-07)
Conventional reliability analysis techniques are focused on the occurrence of failures over
time. However, in certain situations where the occurrence of failures is tiny or almost null, the
estimation of the quantities ...
Geostatistical Method Used in Quarry-Type Exploitation Based on Gaussian Simulation to Reduce the Uncertainty of Hydrogeological Values in Surface Mining in Peru
(Springer Science and Business Media Deutschland GmbH, 2022-01-01)
In this article the application of a geostatistical method based on Gaussian simulation is studied to reduce the uncertainty of atypical data related to the hydrogeological data of a quarry, for which the data of the ...
Spike sorting with Gaussian mixture models
(2019-03-06)
Seleção de covariância para o modelo grafo gaussiano via reversible jump
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2023-02-24)
The purpose of the Graphical Gaussian model is to find the covariance structure that represents the relationship between random variables, whose joint distribution is a multivariate normal. This is a tool used to modeling ...
On the determination of epsilon during discriminative GMM training
(2010-12-01)
Discriminative training of Gaussian Mixture Models (GMMs) for speech or speaker recognition purposes is usually based on the gradient descent method, in which the iteration step-size, ε, uses to be defined experimentally. ...