Sökning: "multivariate time-series"

Visar resultat 1 - 5 av 39 avhandlingar innehållade orden multivariate 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. Modeling time-series with deep networks

   Författare :Martin Längkvist; Amy Loutfi; Lars Karlsson; Tapani Raiko; Örebro universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; multivariate time-series; deep learning; representation learning; unsupervised; Information technology; Informationsteknologi;

   Sammanfattning : .... LÄS MER

4. 3. Bootstrap inference in time series econometrics

   Författare :Mikael P. Gredenhoff; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : This dissertation contains five essays in the field of time series econometrics. The main issue discussed is the lack of coherence between small sample and asymptotic inference. Frequently, in modern econometrics distributional results are strictly only valid for a hypothetical infinite sample. LÄS MER

5. 4. Some Contributions to Heteroscedastic Time Series Analysis and Computational Aspects of Bayesian VARs

   Författare :Oskar Gustafsson; Pär Stockhammar; Domenico Giannone; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Time series; heteroscedasticity; variance stabilizing filters; Bayesian vector autoregressions; Bayesian optimization; variational inference; Statistics; statistik;

   Sammanfattning : Time-dependent volatility clustering (or heteroscedasticity) in macroeconomic and financial time series has been analyzed for more than half a century. The inefficiencies it causes in various inference procedures are well known and understood. Despite this, heteroscedasticity is surprisingly often neglected in practical work. LÄS MER

7. 5. Goodness-of-fit in Multivariate Time Series

   Författare :Huong Nguyen Thu; Campus de Getafe Facultad de Ciencias Sociales y Jurıdicas Department of Statistics Universidad Carlos III de Madrid; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi;

   Sammanfattning : Goodness-of-fit is an important task in time series analysis. In this thesis, wepropose a new family of statistics and a new goodness-of-fit process for the wellknownmultivariate autoregressive moving average VARMA(p,q) model.Some preliminary results are studied first for an initial goodness-of-fit method. LÄS MER