Sökning: "Matematiska Institutionen."

Visar resultat 21 - 25 av 773 avhandlingar innehållade orden Matematiska Institutionen..

  1. 21. Modeling Realized Covariance of Asset Returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Tatjana von Rosen; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

    Sammanfattning : In this thesis, which consists of two papers, we consider the modeling of positive definitive symmetric matrices, in particular covariance matrices of financial asset returns. The return covariance matrix describes the magnitude in which prices of financial assets tend to change over time, and how price changes between different assets are related. LÄS MER

  3. 22. Modeling the covariance matrix of financial asset returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

  4. 23. Approximation of pluricomplex Green functions : A probabilistic approach

    Författare :Azza Alghamdi; Maciej Klimek; Kaj Nyström; Anna Zdunik; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; pluricomplex Green function; pluriregular sets; Bernstein-Markov property; Bergman function; nearly orthonormal polynomials; orthogonal polynomials; Monte Carlo simulation; composite Julia sets; Julia sets; iterated function systems; the chaos game.;

    Sammanfattning : This PhD thesis focuses on probabilistic methods of approximation of pluricomplex Green functions and is based on four papers.The thesis begins with a general introduction to the use of pluricomplex Green functions in multidimensional complex analysis and a review of their main properties. LÄS MER

  5. 24. Scan Statistics for Space-Time Cluster Detection

    Författare :Benjamin Allévius; Martin Sköld; Michael Höhle; Paula Moraga-Serrano; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : Scan statistics are used by public health agencies to detect and localize disease outbreaks. This thesis provides an overview of scan statistics in the context of prospective disease surveillance and outbreak detection, presents a novel scan statistic to deal with the type of zero-abundant data that is often encountered in these settings, and—perhaps most importantly—implements this and other scan statistics in a freely available and open source R package. LÄS MER

  7. 25. Universal algebraic structures on polyvector fields

    Författare :Johan Alm; Sergei Merkulov; Anton Alekseev; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics; matematik;

    Sammanfattning : The theory of operads is a conceptual framework that has become a kind of universal language, relating branches of topology and algebra. This thesis uses the operadic framework to study the derived algebraic properties of polyvector fields on manifolds.The thesis is divided into eight chapters. LÄS MER