Sökning: "Exponential models"
Visar resultat 1 - 5 av 131 avhandlingar innehållade orden Exponential models.
1. On Bayesian graphical model determination
Sammanfattning : A graphical model specifies a graph representation of the independence structure of a multivariate distribution, where nodes represent variables and edges association between variables.This thesis introduces methodology for determination of graphical models for multivariate distributions within the exponential family. LÄS MER
2. Some Investigations into the Class of Exponential Power Distributions
Sammanfattning : In this thesis, methods are developed relating to the exponential power class of distributions.Paper I considers Bayesian linear mixed models where the usual normality assumption is replaced by the multivariate exponential power distribution. Particular focus lies on Bayesian testing of the fixed effects. LÄS MER
3. Seasonal Adjustment and Dynamic Linear Models
Sammanfattning : Dynamic Linear Models are a state space model framework based on the Kalman filter. We use this framework to do seasonal adjustments of empirical and artificial data. A simple model and an extended model based on Gibbs sampling are used and the results are compared with the results of a standard seasonal adjustment method. LÄS MER
4. Properties and evaluation of volatility models
Sammanfattning : The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. LÄS MER
5. Market Models with Stochastic Volatility
Sammanfattning : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. LÄS MER
