Sökning: "asymptotic variance"

Visar resultat 16 - 20 av 53 avhandlingar innehållade orden asymptotic variance.

  1. 16. Semiparametric survival models for routine register data

    Författare :Frank Eriksson; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Survival; transformation; clustered; likelihood; random effects; case-cohort; routine register; semiparametric; clustered;

    Sammanfattning : Routine registers offer researchers opportunities to carry out studies of covariate effects on lifetimes of rare diseases otherwise infeasible because of the large cohorts required. Familial relationships necessary for analysis of environmental or genetic factors can be identified by record linking. LÄS MER

  3. 17. Recent Studies on Lp-Norm Estimation

    Författare :Hans Nyquist; Umeå universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : When estimating the parameters in a linear regression model, the method of least squares (L^-norm estimator) is often used. When thè residuals are independent and identically normally distributed, the least squares estimator is BLUE as well as equivalent to the maximum likelihood estimator. LÄS MER

  4. 18. Geometric analysis of stochastic model errors in system identification

    Författare :Jonas Mårtensson; Håkan Hjalmarsson; Michel Gevers; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Automatic Control; Automatic control; Reglerteknik;

    Sammanfattning : Models of dynamical systems are important in many disciplines of science, ranging from physics and traditional mechanical and electrical engineering to life sciences, computer science and economics. Engineers, for example, use models for development, analysis and control of complex technical systems. LÄS MER

  5. 19. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty

    Författare :Erik Thorsén; Taras Bodnar; Joanna Tyrcha; Mark Podolski; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Shrinkage estimator; high-dimensional covariance matrix; random matrix theory; optimal portfolios; parameter uncertainty; ridge regularization; dynamic decision making; matematisk statistik; Mathematical Statistics;

    Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER

  7. 20. Asymptotics of implied volatility in the Gatheral double stochastic volatility model

    Författare :Mohammed Albuhayri; Anatoliy Malyarenko; Sergei Silvestrov; Ying Ni; Christopher Engström; Yulia Mishura; Mälardalens universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : We consider a market model of financial engineering with three factors represented by three correlated Brownian motions. The volatility of the risky asset in this model is the sum of two stochastic volatilities. The dynamic of each volatility is governed by a mean-reverting process. LÄS MER