Sökning: "Martin Singull"

Visar resultat 1 - 5 av 16 avhandlingar innehållade orden Martin Singull.

1. 1. Factor-Augmented Forecasting for High-Dimensional Data

   Författare :Ying Pang; Martin Sköld; Martin Singull; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; High-Dimensional Data; Factor-Augmented Forecasting; Principal Component; Lasso; Cross Validation; Multi-Level Factor; Predictive Performance; matematisk statistik; Mathematical Statistics;

   Sammanfattning : In this thesis, we take a critical look at the factor-augmented forecast models, when a large number of time series variables available can provide the vital information for prediction. We discuss how to describe the commonality and idiosyncrasy of high-dimensional data by a handful of factors in various levels, and how to improve the predictive performance using these factors as augmented predictors. LÄS MER

3. 2. Residual Analysis in the GMANOVA-MANOVA Model

   Författare :Béatrice Byukusenge; Dietrich von Rosen; Martin Singull; Daniel Klein; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis focuses on the establishment and analysis of residuals in the so called GMANOVA-MANOVA model. The model is a special case of the Extended Growth Curve Model. It has two terms where one term models the profiles (growth curves) and the other the covariables of interest. LÄS MER

4. 3. Change point detection with respect to variance

   Författare :Elias Erdtman; Martin Singull; Dietrich von Rosen; Nader Tajvidi; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis examines a simple method for detecting a change with respect to the variance in a sequence of independent normally distributed observations with a constant mean. The method filters out observations with extreme values and divides the sequence into equally large subsequences. LÄS MER

5. 4. Modelling Weather Dynamics for Weather Derivatives Pricing

   Författare :Emanuel Evarest Sinkwembe; Martin Singull; Xiangfeng Yang; Fredrik Berntsson; Erik Lindström; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis focuses on developing an appropriate stochastic model for temperature dynamics as a means of pricing weather derivative contracts based on temperature. There are various methods for pricing weather derivatives ranging from simple one like historical burn analysis, which does not involve modeling the underlying weather variable to complex ones that require Monte Carlo simulations to achieve explicit weather derivatives contract prices, particularly the daily average temperature (DAT) dynamics models. LÄS MER

7. 5. Asset Liability Management for Tanzania Pension Funds

   Författare :Andongwisye John Mwakisisile; Torbjörn Larsson; Martin Singull; Per Olov Lindberg; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis presents a long-term asset liability management for Tanzania pension funds. As an application, the largest pension fund in Tanzania is considered. This is a pay-as-you-go pension fund where the contributions are used to pay current benefits. The Pension plan analyzed is a final salary defined benefit. LÄS MER