Sökning: "Dependence"

Visar resultat 31 - 35 av 2053 avhandlingar innehållade ordet Dependence.

  1. 31. Estimation and Testing in Panel Data with Cross-Section Dependence

    Författare :Simon Reese; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Factor-augmented panel regression; CCE estimation; cross-section dependence; common factor models; Factor-augmented panel regression; CCE estimation; cross-section dependence; common factor models;

    Sammanfattning : This thesis makes a contribution the econometrics of panel data with cross-section dependence (CSD). It consists of five self-contained papers. LÄS MER

  3. 32. A Non-Gaussian Limit Process with Long-Range Dependence

    Författare :Raimundas Gaigalas; Ingemar Kaj; Esko Valkeila; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; long-range dependence; traffic modelling; arrival process; self-similarity; heavy tails; fractional Brownian motion; stable processes; renewal processes; independently scattered random measure; weak convergence; 60F17; 60G18; 90B18; 60K05 ; Matematisk statistik; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. LÄS MER

  4. 33. Some asymptotic results in dependence modelling

    Författare :Jens Svensson; Boualem Djehiche; Allan Gut; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of two papers, both devoted to the study of asymptotics in dependence modelling. The first paper studies large deviation probabilities for a sum of dependent random variables, where the dependence stems from a few underlying random variables, so-called factors. LÄS MER

  5. 34. On Importance Sampling and Dependence Modeling

    Författare :Jens Svensson; Boualem Djehiche; Thomas Mikosch; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of four papers. In the first paper, Monte Carlo simulation for tail probabilities of heavy-tailed random walks is considered. Importance sampling algorithms are constructed by using mixtures of the original distribution with some other state-dependent distributions. LÄS MER

  7. 35. Dynamic dependence modelling in credit risk

    Författare :Alexander Herbertsson; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : .... LÄS MER