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  1. 1. On estimation in econometric systems in the presence of time-varying parameters

    Författare :Kurt Brännäs; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Econometric systems; time-varying parameters; Kalman filtering; stochastic regressors; unknown transition matrix; robustness; simulation;

    Sammanfattning : Economic systems are often subject to structural variability. For the achievement of correct structural specification in econometric modelling it is then important to allow for parameters that are time-varying, and to apply estimation techniques suitably designed for inference in such models. LÄS MER

  3. 2. Time Varying Parameters in Exchange Rate Models

    Författare :Richard Henricsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; stochastich volatility.; purchasing power parity; GARCH; exchange rates; Stationarity; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Sammanfattning : This thesis consists of five papers on different aspects of parametervariation in some common exchange rate models.The first paper investigates the stability in the real exchange rate, witch is equivalent to purchasing power parity (PPP). LÄS MER

  4. 3. On Parameter Estimation and Control of Time-Varying Stochastic Systems

    Författare :Bengt Lindoff; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Adaptive Predictive Control; Adaptive Stochastic Control; Dual Control; Convergence Analysis; Quadratic Forms; Forgetting Factor; Recursive Least Squares; Recursive Estimation; Linear Systems; Time-Varying Stochastic Systems; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : This thesis is about parameter estimation and control of time-varying stochastic systems. It can be divided into two parts. The first part deals with an estimation algorithm commonly used when estimating parameters in time-varying stochastic systems, the Recursive Least Squares (RLS) algorithm with forgetting factor. LÄS MER

  5. 4. Identification and Control of Systems Subject to Abrupt Changes

    Författare :Mille Millnert; Linköpings universitet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Recursive identification; adaptive control; jumping parameters; Markov regime; time varying parameters;

    Sammanfattning : Many different recursive identification methods for time varying systems have been suggested in the literature. An assumption that the variations in the system parameters are slow is common for almost all the methods. LÄS MER

  7. 5. Identification of Time Varying Systems and Application of System Identification to Signal Processing

    Författare :Alf Isaksson; Linköpings universitet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; System identification; Time varying systems; Signal processing;

    Sammanfattning : Part IA new approach to identification of time varying systems is presented, and evaluated using computer simulations. The new approach is built upon the similarities between recursive least squares identification and Kalman filtering. LÄS MER