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Dissertations / Theses on the topic 'Autoregression (Statistics) Vector analysis'

Author: Grafiati

Published: 4 June 2021

Last updated: 15 February 2022

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1

Sharp, Gary David. "Lag length selection for vector error correction models." Thesis, Rhodes University, 2010. http://hdl.handle.net/10962/d1002808.

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This thesis investigates the problem of model identification in a Vector Autoregressive framework. The study reviews the existing research, conducts an extensive simulation based analysis of thirteen information theoretic criterion (IC), one of which is a novel derivation. The simulation exercise considers the evaluation of seven alternative error restricted vector autoregressive models with four different lag lengths. Alternative sample sizes and parameterisations are also evaluated and compared to results in the existing literature. The results of the comparative analysis provide strong supp

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2

Sumner, Steven W. "Bank equity and the monetary transmission mechanism /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2003. http://wwwlib.umi.com/cr/ucsd/fullcit?p3099930.

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3

Chung, Joonho. "Empirical study on the effects of monetary policy on the exchange rates : the role of uncertainty in monetary policy /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9901229.

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4

Assefa, Yared. "Time series and spatial analysis of crop yield." Thesis, Kansas State University, 2012. http://hdl.handle.net/2097/15142.

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Master of Science<br>Department of Statistics<br>Juan Du<br>Space and time are often vital components of research data sets. Accounting for and utilizing the space and time information in statistical models become beneficial when the response variable in question is proved to have a space and time dependence. This work focuses on the modeling and analysis of crop yield over space and time. Specifically, two different yield data sets were used. The first yield and environmental data set was collected across selected counties in Kansas from yield performance tests conducted for multiple years. T

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5

Lien, Oskarsson Mathias, and Christopher Lin. "A simplified approach in FAVAR estimation." Thesis, Uppsala universitet, Statistiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-353035.

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In the field of empirical macroeconomics factor-augmented vector autoregressive (FAVAR) models have become a popular tool in explaining how economic variables interact over time. FAVAR is based upon a data-reduction step using factor estimation, which are then employed in a vector autoregressive model. This paper aims to study alternative methods regarding factor estimation. More precisely, we compare the generally used principal component method with the uncomplicated common correlated effect estimation. Results show low divergence between the two factor estimation methods employed, indicatin

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6

Koller, Simon. "Multiple Time Series Analysis of Freight Rate Indices." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-288500.

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In this master thesis multiple time series of shipping industry and financial data are analysed in order to create a forecasting model to forecast freight rate indices. The data of main interest which are predicted are the two freight rate indices, BDI and BDTI, from the Baltic Exchange. The project investigates the possibilities for aggregated Vector Autoregression(VAR) models to outperform simple univariate models, in this case, an Autoregressive Integrated Moving Average(ARIMA) with seasonal components. The other part of this thesis is to model market shocks in the freight rate indices, giv

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7

Jeon, Kyung-Seong. "An examination of stock market properties : vector autoregression approach /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841304.

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8

Zhang, Wei. "A sensitivity study on identification schemes of the structural vector autoregression /." free to MU campus, to others for purchase, 2001. http://wwwlib.umi.com/cr/mo/fullcit?p3025669.

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9

Birch, Gary Edward. "Single trial EEG signal analysis using outlier information." Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/28626.

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The goal of this thesis work was to study the characteristics of the EEG signal and then, based on the insights gained from these studies, pursue an initial investigation into a processing method that would extract useful event related information from single trial EEG. The fundamental tool used to study the EEG signal characteristics was autoregressive modeling. Early investigations pointed to the need to employ robust techniques in both model parameter estimation and signal estimation applications. Pursuing robust techniques ultimately led to the development of a single trial processing meth

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10

Alj, Abdelkamel. "Contribution to the estimation of VARMA models with time-dependent coefficients." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209651.

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Dans cette thèse, nous étudions l’estimation de modèles autorégressif-moyenne mobile<p>vectoriels ou VARMA, `a coefficients dépendant du temps, et avec une matrice de covariance<p>des innovations dépendant du temps. Ces modèles sont appel´es tdVARMA. Les éléments<p>des matrices des coefficients et de la matrice de covariance sont des fonctions déterministes<p>du temps dépendant d’un petit nombre de paramètres. Une première partie de la thèse<p>est consacrée à l’étude des propriétés asymptotiques de l’estimateur du quasi-maximum<p>de vraisemblance gaussienne. La convergence presque sûre et la n

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11

Tai, Man Tang. "Portmanteau statistics for partially nonstationary multivariate AR and ARMA models /." View Abstract or Full-Text, 2003. http://library.ust.hk/cgi/db/thesis.pl?MATH%202003%20TAI.

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Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2003.<br>Includes bibliographical references (leaves 63-64). Also available in electronic version. Access restricted to campus users.

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12

Pang, Kwok-wing. "Statistical analysis of high frequency data using autoregressive conditional duration models /." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2275314x.

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13

李振華 and Chun-wah Li. "On a double threshold autoregressive heteroskedastic time seriesmodel." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211653.

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14

Ma, Sai-shing, and 馬世晟. "On the long memory autoregressive conditional duration models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/197101.

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In financial markets, transaction durations refer to the duration time between two consecutive trades. It is common that more frequent trades are expected to be followed by shorter durations between consecutive transactions, while less frequent trades are expected to be followed by longer durations. Autoregressive conditional duration (ACD) model was developed to model transaction durations, based on the assumption that the expected average duration is dependent on the past durations. Empirically, transaction durations possess much longer memory than expected. The autocorrelation functions

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15

Sze, Mei Ki. "Mixed portmanteau test for ARMA-GARCH models /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20SZE.

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16

Li, Chun-wah. "On a double threshold autoregressive heteroskedastic time series model /." [Hong Kong : University of Hong Kong], 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13745037.

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17

Chong, Ching Yee. "Portmanteau testing for nonstationary autoregressive moving-average models /." View Abstract or Full-Text, 2003. http://library.ust.hk/cgi/db/thesis.pl?MATH%202003%20CHONG.

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Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2003.<br>Includes bibliographical references (leaves 37-39). Also available in electronic version. Access restricted to campus users.

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18

Kam, Po-ling, and 甘寶玲. "Mixture autoregression with heavy-tailed conditional distribution." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29614922.

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19

黃香 and Heung Wong. "Topics in conditional heteroscedastic time series modelling." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1995. http://hub.hku.hk/bib/B31234513.

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20

Wong, Heung. "Topics in conditional heteroscedastic time series modelling /." Hong Kong : University of Hong Kong, 1995. http://sunzi.lib.hku.hk/hkuto/record.jsp?B14035492.

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21

Xiong, Yimin. "Time series clustering using ARMA models /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?COMP%202004%20XIONG.

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Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2004.<br>Includes bibliographical references (leaves 49-55). Also available in electronic version. Access restricted to campus users.

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22

彭國永 and Kwok-wing Pang. "Statistical analysis of high frequency data using autoregressive conditional duration models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31225044.

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23

Chong, Siu-yung. "Comparison of estimates of autoregressive models with superimposed errors." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22752997.

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24

Lu, Zhen Cang. "Price forecasting models in online flower shop implementation." Thesis, University of Macau, 2017. http://umaclib3.umac.mo/record=b3691395.

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25

許偉才 and Wai-choi Hui. "Optimal asset allocation under GARCH model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31222717.

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26

Hui, Wai-choi. "Optimal asset allocation under GARCH model /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2160616X.

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27

Kalmár, Marcus, and Joel Nilsson. "The art of forecasting – an analysis of predictive precision of machine learning models." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-280675.

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Forecasting is used for decision making and unreliable predictions can instill a false sense of condence. Traditional time series modelling is astatistical art form rather than a science and errors can occur due to lim-itations of human judgment. In minimizing the risk of falsely specifyinga process the practitioner can make use of machine learning models. Inan eort to nd out if there's a benet in using models that require lesshuman judgment, the machine learning models Random Forest and Neural Network have been used to model a VAR(1) time series. In addition,the classical time series models A

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28

Brüggemann, Ralf. "Model reduction methods for vector autoregressive processes /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0818/2003067373-d.html.

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29

Achsani, Noer Azam, and Hans Gerhard Strohe. "Dynamische Zusammenhänge zwischen den Kapitalmärkten der Region Pazifisches Becken vor und nach der Asiatischen Krise 1997." Universität Potsdam, 2002. http://opus.kobv.de/ubp/volltexte/2007/1214/.

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Dynamische Zusammenhänge zwischen den internationalen Kapitelmärkten sind seit Anfang 90-er Jahre erforscht worden. Die meisten dieser Untersuchungen betrafen dieUSA und die anderen entwickelnden Märkte. Es gibt nur wenige Untersuchungen zu diesem Thema in den sich entwickelnden Märkten. Mit Hilfe von vektorautoregressiven(VAR) Modellen überprüft diese Arbeit den dynamischen Zusammenhang zwischen den Börsen der Region Pazifisches Becken vor und nach der Asiatischen Krise 1997.Unsere Studie zeigt, dass alle Börsen in der Region Asien-Pazifik mit den anderen Börsen statistisch zusammenhängen, mi

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30

Ozdemir, Duygu. "Stock Market Liquidity Analysis: Evidence From The Istanbul Stock Exchange." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613789/index.pdf.

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The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is confirmed, while the negative effect of the volatility on liquidity appears one-week lat

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31

Woodard, Roger. "Bayesian hierarchical models for hunting success rates /." free to MU campus, to others for purchase, 1999. http://wwwlib.umi.com/cr/mo/fullcit?p9951135.

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32

Oleson, Jacob J. "Bayesian spatial models for small area estimation /." free to MU campus, to others for purchase, 2002. http://wwwlib.umi.com/cr/mo/fullcit?p3052203.

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33

陳潔妍 and Kit-yin Chan. "Bayesian analysis of wandering vector models for ranking data." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31214939.

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34

Chan, Kit-yin. "Bayesian analysis of wandering vector models for ranking data /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19977025.

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35

莊少容 and Siu-yung Chong. "Comparison of estimates of autoregressive models with superimposed errors." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31224246.

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36

Ribeiro, Teresinha Pontes. "Analysis of monetary policy on the collection of VAT in the state of Ceara using the model of vector autoregression." Universidade Federal do CearÃ, 2010. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4773.

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nÃo hÃ<br>This research aims to analyze quantitatively the impact of monetary policy promoted by the Central Bank of Brazil on the behavior of the tax revenue of ICMS in CearÃ. Thus, we considered information on the collection of industrial, retail and electric, beyond the rate of open unemployment in Fortaleza, and how the transmission mechanism of monetary policy used the Selic interest rate. The model used here is composed of vector autoregression and arguments based on Toda and Yamamoto (1995), and impulse response functions and variance decomposition. The results suggest that a positive s

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37

Ramanauskaitė, Giedrė. "Stress testing in credit risk analysis." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2008. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20080620_110415-38466.

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The supervising institutions do not give to commercial banks indications what models have to be used for stress testing. This research was done in order to find out which mathematical/statistical models are and can be used in credit risk stress testing. Credit risk is one of the biggest financial risks that every bank faces. Stress testing is a tool of credit risk assessment that helps to estimate the consequences of the events that have really small probability to happen but if they occur, banks can have significant losses. This study determined that the most plausible event is adverse macroe

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38

Hallberg, David, and Erik Renström. "PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?" Thesis, KTH, Optimeringslära och systemteori, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252557.

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This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. Several implications are also discussed based on the results.<br>D

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39

Hassanzadeh, Mohammadtaghi. "A New State Transition Model for Forecasting-Aided State Estimation for the Grid of the Future." Diss., Virginia Tech, 2014. http://hdl.handle.net/10919/64407.

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The grid of the future will be more decentralized due to the significant increase in distributed generation, and microgrids. In addition, due to the proliferation of large-scale intermittent wind power, the randomness in power system state will increase to unprecedented levels. This dissertation proposes a new state transition model for power system forecasting-aided state estimation, which aims at capturing the increasing stochastic nature in the states of the grid of the future. The proposed state forecasting model is based on time-series modeling of filtered system states and it takes spati

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40

Hechter, Trudie. "A comparison of support vector machines and traditional techniques for statistical regression and classification." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/49810.

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Thesis (MComm)--Stellenbosch University, 2004.<br>ENGLISH ABSTRACT: Since its introduction in Boser et al. (1992), the support vector machine has become a popular tool in a variety of machine learning applications. More recently, the support vector machine has also been receiving increasing attention in the statistical community as a tool for classification and regression. In this thesis support vector machines are compared to more traditional techniques for statistical classification and regression. The techniques are applied to data from a life assurance environment for a binary class

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41

Chen, Donghui 1970. "Median-unbiased estimation in linear autoregressive time series models." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9044.

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42

Dufour, Alfonso. "Essays on the econometrics of inter-trade durations and market liquidity /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1999. http://wwwlib.umi.com/cr/ucsd/fullcit?p9944222.

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43

Ali, Khan Syed Irteza. "Classification using residual vector quantization." Diss., Georgia Institute of Technology, 2013. http://hdl.handle.net/1853/50300.

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Residual vector quantization (RVQ) is a 1-nearest neighbor (1-NN) type of technique. RVQ is a multi-stage implementation of regular vector quantization. An input is successively quantized to the nearest codevector in each stage codebook. In classification, nearest neighbor techniques are very attractive since these techniques very accurately model the ideal Bayes class boundaries. However, nearest neighbor classification techniques require a large size of representative dataset. Since in such techniques a test input is assigned a class membership after an exhaustive search the entire training

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44

Tait, Daniel Beale. "Electromagnetic Vector-Sensor Direction-of-Arrival Estimation in the Presence of Interference." Thesis, Virginia Tech, 2020. http://hdl.handle.net/10919/99961.

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This research investigates signal processing involving a single electromagnetic vector-sensor, with an emphasis on the problem regarding signal-selective narrowband direction-of-arrival (DOA) estimation in the presence of interference. The approach in this thesis relies on a high-resolution ESPRIT-based algorithm. Unlike spatially displaced arrays, the sensor cannot estimate the DOA of sources using phase differences between the array elements, as the elements are spatially co-located. However, the sensor measures the full electromagnetic field vectors, so the DOA can be estimated through the

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45

Cho, Gyo-Young. "Multivariate control charts for the mean vector and variance-covariance matrix with variable sampling intervals." Diss., Virginia Tech, 1991. http://hdl.handle.net/10919/37242.

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46

Preve, Daniel. "Essays on Time Series Analysis : With Applications to Financial Econometrics." Doctoral thesis, Uppsala University, Department of Information Science, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8638.

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<p>This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.</p><p>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). A novel estimation method based on the EVEs is presented. The theoretical analysis is complemented with Monte Carlo simulation results and the paper is concluded by an empirical example.</p><p>The second paper extends the model of the first paper of the thesis and considers semiparametric

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47

Nygren, Tomas, and Claes Johansson. "Draining the Pathogenic Reservoir of Guilt? : A study of the relationship between Guilt and Self-Compassion in Intensive Short-Term Dynamic Psychotherapy." Thesis, Linköpings universitet, Institutionen för beteendevetenskap och lärande, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-119217.

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Objective: One of the main theoretical proposals of Intensive Short-term Dynamic Psychotherapy (ISTDP; Davanloo, 1990) is that experiencing of previously unconscious guilt over aggressive impulses associated with attachment trauma leads to increase in self-compassion. The present study aimed to test this assumption. Method: Videotaped sessions from five therapies from a randomized controlled trial of 20-sessions of time-limited ISTDP for treatment-refractory depression were rated with the Achievement of Therapeutic Objectives Scale (ATOS; McCullough, Larsen, Schanche, Andrews& Kuhn, 2003b)

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48

Karl, Velander, and Callerud Karin. "The development of the financialsystem and economic growth in Sweden : A Granger causality analysis." Thesis, Karlstads universitet, Handelshögskolan (from 2013), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-78703.

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49

Greberg, Felix. "Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275679.

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It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. The programming language R is used to develop a bespoke software for the Swedish National Debt Office, however, the method that is used can be usef

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50

Adolf, Janne K. "Contextualizing the Dynamics of Affective Functioning: Conceptual and Statistical Considerations." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19412.

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Aktuelle Affektforschung betont die Bedeutung mikrolängsschnittlicher Daten für das Verstehen täglichen affektiven Funktionierens, da sie es erlauben affektive Dynamiken und potentiell zugrunde liegende Prozesse zu beschreiben. Dynamische Längsschnittmodelle werden entsprechend attraktiver. In dieser Dissertation komme ich Forderungen nach einer Integration kontextueller Informationen in die Untersuchung täglichen affektiven Funktionierens nach. Speziell modifiziere ich populäre dynamische Modelle so, dass sie kontextuelle Variationen einbeziehen. In einem ersten Beitrag werden Personen als in

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