An important part of the marginal maximum likelihood method described previously is the computation of the integral over the random effects. The default method in PROC NLMIXED for computing this ...

The analog-filter network in Figure 1 converts each input step into a smooth, Gaussian-shaped rising and falling edge. When simulating high-speed systems in Spice, you can use this filter network ...

It is of fundamental interest in statistics to test the significance of a set of covariates. For example, in genomewide association studies, a joint null hypothesis of no genetic effect is tested for ...

Stein's method has emerged as a powerful and versatile tool in probability theory for deriving error bounds in distributional approximations. Originally developed to ...

This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...

In this paper we consider the large homogeneous portfolio (LHP) approximation with a two-factor Gaussian copula and random recovery rate. In addition, we assume that the earlier the default occurs, ...