Sökning: "Non-Gaussian time series"

Hittade 4 avhandlingar innehållade orden Non-Gaussian time series.

1. 1. Essays on Time Series Analysis : With Applications to Financial Econometrics

   Författare :Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; Statistik;

   Sammanfattning : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). LÄS MER

3. 2. Random Models in Time and Space with Financial, Economics and Engineering Applications : Structural Covariance in Space and Stochastic Variability in Time

   Författare :Nima Shariati; Statistiska institutionen; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cross-border spillover; Inter- and intralocation effects; Multivariate spatial regression models; Panel data; Spatial econometric models; Gamma distributed variances; Generalized Laplace distribution; Modulated volatility; Non-Gaussian time series; Road profile; Spatial vector autoregressive model; Outlier; Robust control chart; Robust estimation;

   Sammanfattning : In this thesis, we model stochastic processes in time and space. We focus on the processes whose covariance structure is either changing over the time span, or depends on the location in space. We develop models that appropriately describe and analyze such data behaviors in various different fields including finance, economics and engineering. LÄS MER

4. 3. Combinatorial Optimization : Three Applications

   Författare :Efraim Laksman; Blekinge Tekniska Högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : Combinatorial optimization is a diverse area of mathematics. It concerns optimization on feasible regions defined by discrete sets, graphs, hypergraphs, matroids, etc. . . LÄS MER

5. 4. Stochastic Models Involving Second Order Lévy Motions

   Författare :Jonas Wallin; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis is based on five papers (A-E) treating estimation methods for unbounded densities, random fields generated by Lévy processes, behavior of Lévy processes at level crossings, and a Markov random field mixtures of multivariate Gaussian fields. In Paper A we propose an estimator of the location parameter for a density that is unbounded at the mode. LÄS MER