Search for tag: "gaussian vectors"

1 Media

Lecture 2 - Simulation of basic processes duration 1 hour 36 minutes Lecture 2 - Simulation of basic processes Lecture 2 - Simulation of basic processes	Lecture 2 - Simulation of basic processes Examples: simulation from the multidimensional Gaussian law. Cholesky decomposition, PCA. Examples: generation of the skeleton of the multidimensional Brownian motion and the Ornstein-Uhlenbeck… gaussian vectors cholesky decomposition pca brownian motion ornstein-uhlenbeck process From Tiziano Vargiolu 8 plays 0

Lecture 2 - Simulation of basic processes

duration 1 hour 36 minutes

Lecture 2 - Simulation of basic processes

Examples: simulation from the multidimensional Gaussian law. Cholesky decomposition, PCA. Examples: generation of the skeleton of the multidimensional Brownian motion and the Ornstein-Uhlenbeck…

gaussian vectors

cholesky decomposition

pca

brownian motion

ornstein-uhlenbeck process

From Tiziano Vargiolu 8 plays 0