Sökning: "stochastic Markov chain model"

Visar resultat 16 - 20 av 31 avhandlingar innehållade orden stochastic Markov chain model.

1. 16. Simulation-based Inference : From Approximate Bayesian Computation and Particle Methods to Neural Density Estimation

   Författare :Samuel Wiqvist; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Bayesian statistics; computational statistics; deep learning; mixed­-effects; sequential Monte Carlo; stochastic dif­ferential equations;

   Sammanfattning : This doctoral thesis in computational statistics utilizes both Monte Carlo methods(approximate Bayesian computation and sequential Monte Carlo) and machine­-learning methods (deep learning and normalizing flows) to develop novel algorithms for infer­ence in implicit Bayesian models. Implicit models are those for which calculating the likelihood function is very challenging (and often impossible), but model simulation is feasible. LÄS MER

3. 17. Random Geometry and Reinforced Jump Processes

   Författare :Tuan-Minh Nguyen; Probability and Inference Theory Group; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; random polygons; products of random matrices; vertex-reinforced jump processes; pseudotrajectories; random walks in simplexes; Markov chains in a general state space;

   Sammanfattning : This thesis comprises three papers studying several mathematical models related to geometric Markov processes and random processes with reinforcements. The main goal of these works is to investigate the dynamics as well as the limiting behaviour of the models as time goes to infinity, the existence of invariant measures and limiting distributions, the speed of convergence and other interesting relevant properties. LÄS MER

4. 18. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets

   Författare :Anders C Johansson; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Emerging markets; Asia; China; Stock markets; Bond markets; Exchange rates; Causality; Cointegration; Multivariate GARCH; Dynamic correlation; Timescales; Wavelet analysis; Heterogeneous markets; Multivariate stochastic volatility; Markov chain Monte Carlo; Country risk; Conditional beta;

   Sammanfattning : The four essays in this thesis deal with emerging markets and their empirical characteristics. They mainly explore the relationship among different markets and the thesis cover several asset classes, including stocks, bonds, and exchange rates. LÄS MER

5. 19. Computationally efficient methods in spatial statistics : Applications in environmental modeling

   Författare :David Bolin; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : In this thesis, computationally efficient statistical models for large spatial environmental data sets are constructed. In the first part of the thesis, a method for estimating spatially dependent temporal trends is developed. A space-varying regression model, where the regression coefficients for the spatial locations are dependent, is used. LÄS MER

7. 20. Modeling and Segmentation using Multiple Models

   Författare :Predrag Pucar; Linköpings universitet; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY;

   Sammanfattning : An established area within the system identification field is identification of linear models. In practice, sometimes the performance of such models is not satisfactory and non-linear models are needed. This thesis is devoted to modeling and identification of systems by means of multiple models. LÄS MER