Sökning: "time-series bootstrap"

Visar resultat 1 - 5 av 19 avhandlingar innehållade orden time-series bootstrap.

1. 1. Event Prediction and Bootstrap in Time Series

   Författare :Anders Svensson; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; bootstrap control.; statistical bootstrap; catastrophe; level-crossings; ARMAX process; Optimal alarm system; time series; optimal event predictor; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

   Sammanfattning : Alarm systems are used in many situations, and should be as efficient as possible. In this thesis optimal predictive alarm systems, event predictors, are presented for general linear time series models with external signals. This family of process models include e.g. LÄS MER

3. 2. 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

4. 3. Probabilistic Sequence Models with Speech and Language Applications

   Författare :Gustav Eje Henter; W. Bastiaan Kleijn; Arne Leijon; Gernot Kubin; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Time series; acoustic modelling; speech synthesis; stochastic processes; causal-state splitting reconstruction; robust causal states; pattern discovery; Markov models; HMMs; nonparametric models; Gaussian processes; Gaussian process dynamical models; nonlinear Kalman filters; information theory; minimum entropy rate simplification; kernel density estimation; time-series bootstrap;

   Sammanfattning : Series data, sequences of measured values, are ubiquitous. Whenever observations are made along a path in space or time, a data sequence results. To comprehend nature and shape it to our will, or to make informed decisions based on what we know, we need methods to make sense of such data. LÄS MER

5. 4. Modelling macroeconomic time series with smooth transition autoregressions

   Författare :Joakim Skalin; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : Among the parametric nonlinear time series model families, the smooth transition regression (STR) model has recently received attention in the literature. The considerations in this dissertation focus on the univariate special case of this model, the smooth transition autoregression (STAR) model, although large parts of the discussion can be easily generalised to the more general STR case. LÄS MER

7. 5. Time-Series Econometrics Applied to Macroeconomic Issues

   Författare :Abdulnasser Hatemi-J; Jönköping University; []
   Nyckelord :;

   Sammanfattning : This doctoral dissertation is a collection of six articles. Special attention is paid to model specification and the time-series properties of the data applied in each case. The first two articles deal with fiscal policy in Sweden and the effects of EMU criteria convergence. LÄS MER