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Brownian bridge and other path-dependent Gaussian processes vectorial simulation

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dc.contributor.authorBeleza Sousa, João
dc.contributor.authorEsquivel, M. L.
dc.contributor.authorGaspar, R. M.
dc.date.accessioned2016-02-25T15:35:25Z
dc.date.available2016-02-25T15:35:25Z
dc.date.issued2015
dc.description.abstractThe iterative simulation of the Brownian bridge is well known. In this article, we present a vectorial simulation alternative based on Gaussian processes for machine learning regression that is suitable for interpreted programming languages implementations. We extend the vectorial simulation of path-dependent trajectories to other Gaussian processes, namely, sequences of Brownian bridges, geometric Brownian motion, fractional Brownian motion, and Ornstein-Ulenbeck mean reversion process.pt_PT
dc.identifier.citationSOUSA, João Beleza e; ESQUIVEL, M. L.2; GASPAR, R. M. - Brownian bridge and other path-dependent Gaussian processes vectorial simulation. Communications in Statistics-Simulation and Computation. ISSN. 0361-0918. Vol. 44, N.º 10, SI, (2015), pp. 2608-2621pt_PT
dc.identifier.doi10.1080/03610918.2014.901352pt_PT
dc.identifier.issn0361-0918
dc.identifier.issn1532-4141
dc.identifier.urihttp://hdl.handle.net/10400.21/5741
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherTaylor & Francis INCpt_PT
dc.relation.ispartofseriesSI;
dc.relation.publisherversionhttp://www.tandfonline.com/doi/abs/10.1080/03610918.2014.901352pt_PT
dc.subjectBrownian bridgept_PT
dc.subjectGaussian processes for machine learning regressionpt_PT
dc.subjectPath-dependent Gaussian processespt_PT
dc.subjectVectorial simulationpt_PT
dc.titleBrownian bridge and other path-dependent Gaussian processes vectorial simulationpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage2621pt_PT
oaire.citation.issue10pt_PT
oaire.citation.startPage2608pt_PT
oaire.citation.volume44pt_PT
person.familyNameBeleza Sousa
person.givenNameJoão
person.identifier.ciencia-id2A13-B96F-375C
person.identifier.orcid0000-0002-5944-8104
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationf39f2734-6e3c-4a60-848e-dad4c5da7741
relation.isAuthorOfPublication.latestForDiscoveryf39f2734-6e3c-4a60-848e-dad4c5da7741

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