Sökning: "non-Gaussian model"

Visar resultat 6 - 10 av 28 avhandlingar innehållade orden non-Gaussian model.

  1. 6. Toward Sequential Data Assimilation for NWP Models Using Kalman Filter Tools

    Författare :Jelena Bojarova; Rolf Sundberg; Krzysztof Podgorski; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian state space models; Kalman filtering; ETKF; 3D-Var; data assimilation; NWP; Mathematical statistics; Matematisk statistik; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The aim of the meteorological data assimilation is to provide an initial field for Numerical Weather Prediction (NWP) and to sequentially update the knowledge about it using available observations. Kalman filtering is a robust technique for the sequential estimation of the unobservable model state based on the linear regression concept. LÄS MER

  3. 7. Portfolio Optimization and Statistics in Stochastic Volatility Markets

    Författare :Carl Lindberg; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades; stochastic volatility;

    Sammanfattning : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. LÄS MER

  4. 8. Channel-Aware Multilevel Coded Modulation for Coherent Fiber-Optic Communications

    Författare :Lotfollah Beygi; Chalmers tekniska högskola; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; channel model; multidimensional set partitioning; low-complexity de- tector; coded modulation; signal statistics.; nonlinear phase noise; Fiber-optic communications;

    Sammanfattning : The past decades have shown an ever-increasing demand for high-rate Internet services, motivating a great effort to increase the spectral efficiency of optical networks. In general, fiber-optic links are non-Gaussian, and in contrast to additive white Gaussian noise (AWGN) channels, there is no standard framework for quantifying fundamental limits or designing capacity-approaching coding schemes for such channels. LÄS MER

  5. 9. Fatigue Assessment and Extreme Response Prediction of Ship Structures

    Författare :Wengang Mao; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Fatigue assessment; extreme response; rainflow; narrow-band approximation; Laplace Moving Average model; transformed Gaussian; zero up-crossing response frequency; significant wave height; safety index; upcrossing spectrum; long term cumulative distribution function; ship routing.; transformed Gaussian;

    Sammanfattning : In this thesis, a simplified narrow-band approximation model is proposed to estimate fatigue damage of ship structures, and an efficient method for extreme response predictions is also developed using upcrossing spectrums of ship responses. The proposed fatigue model includes two main parameters, significant stress range hs and zero upcrossing frequency fz. LÄS MER

  7. 10. 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