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CreditRisk Model with Dependent Risk Factors
CreditRisk + model conditional independence dependent risk factors Panjer’s recursion multivariate copulas
2016/1/26
The CreditRisk + model is widely used in industry for computing the loss of a credit port-folio. The standard CreditRisk + model assumes independence among a set of common risk factors, a simplified a...
Factor modeling for high-dimensional time series: Inference for the number of factors
Autocovariance matrices blessing of dimensionality eigenanalysis fast convergence rates multivariate time series
2012/6/19
This paper deals with the factor modeling for high-dimensional time series based on a dimension-reduction viewpoint. Under stationary settings, the inference is simple in the sense that both the numbe...