Title Daugiamatis retų įvykių tikimybių vertinimo algoritmas /
Another Title Multidimensional rare event probability estimation algorithm.
Authors Sakalauskas, Leonidas ; Vaičiulytė, Ingrida
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Is Part of Computational science and techniques.. Klaipėda : Klaipėdos universitetas. 2013, vol. 1, no 2, p. 222-228.. ISSN 2029-9966
Keywords [eng] Monte-Carlo Markov Chain ; Bayesian method ; Likelihood method ; Poisson-Gaussian model
Abstract [eng] This work contains Monte–Carlo Markov Chain algorithm for estimation of multi-dimensional rare events frequencies. Logits of rare event likelihood we are modeling with Poisson distribution, which parameters are distributed by multivariate normal law with unknown parameters – mean vector and covariance matrix. The estimations of unknown parameters are calculated by the maximum likelihood method. There are equations derived, those must be satisfied with model’s maximum likelihood parameters estimations. Positive definition of evaluated covariance matrixes are controlled by calculating ratio between matrix maximum and minimum eigenvalues.
Published Klaipėda : Klaipėdos universitetas
Type Journal article
Language Lithuanian
Publication date 2013