Sökning: "unknown transition matrix"

Visar resultat 1 - 5 av 11 avhandlingar innehållade orden unknown transition matrix.

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. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty

   Författare :Erik Thorsén; Taras Bodnar; Joanna Tyrcha; Mark Podolski; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Shrinkage estimator; high-dimensional covariance matrix; random matrix theory; optimal portfolios; parameter uncertainty; ridge regularization; dynamic decision making; matematisk statistik; Mathematical Statistics;

   Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER

4. 3. Scattering of elastic waves by an anisotropic sphere

   Författare :Ata Jafarzadeh; Chalmers tekniska högskola; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Sphere; T matrix; Effective wave number; Distribution of inclusions; Phase velocity.; Anisotropy; Attenuation; Scattering;

   Sammanfattning : Scattering of a plane wave by a single spherical obstacle is the archetype of many scattering problems in physics and geophysics. Spherical objects can provide a good approximation for many real objects, and the analytic formulation for a single sphere can be used to investigate wave propagation in more complicated structures like particle composites or grainy materials, which may have application in non-destructive testing, material characterization, medical ultrasound, etc. LÄS MER

5. 4. Scattering of elastic waves by an anisotropic sphere with application to polycrystalline materials

   Författare :Ata Jafarzadeh; Chalmers tekniska högskola; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Spherical obstacle; Anisotropy; Attenuation; Polycrystalline materials; Effective wave number; T matrix; Phase velocity; Scattering;

   Sammanfattning : Scattering of a plane wave by a single spherical obstacle is the archetype of many scattering problems in various branches of physics. Spherical objects can provide a good approximation for many real objects, and the analytic formulation for a single sphere can be used to investigate wave propagation in more complex structures like particulate composites or grainy materials, which may have applications in non-destructive testing, material characterization, medical ultrasound, etc. LÄS MER

7. 5. Four contributions to statistical inference in econometrics

   Författare :Bruno Eklund; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis, which consists of four chapters, focuses on three topics: discriminating between stationary and nonstationary time series, testing the constancy of the error covariance matrix of a vector model, and estimating density functions over bounded domains using kernel techniques. In Chapter 1, “Testing the unit root hypothesis against the logistic smooth transition autoregressive model”, and Chapter 2, “A nonlinear alternative to the unit root hypothesis”, the joint hypothesis of unit root and linearity allows one to distinguish between random walk processes, with or without drift, and stationary nonlinear processes of the smooth transition autoregressive type. LÄS MER