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Dissertations / Theses on the topic 'MCMC algoritmus'

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Published: 4 June 2021
Last updated: 1 February 2022

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1

Hrbek, Filip. "Metody předvídání volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264689.

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In this masterthesis I have rewied basic approaches to volatility estimating. These approaches are based on classical and Bayesian statistics. I have applied the volatility models for the purpose of volatility forecasting of a different foreign exchange (EURUSD, GBPUSD and CZKEUR) in the different period (from a second period to a day period). I formulate the models EWMA, GARCH, EGARCH, IGARCH, GJRGARCH, jump diffuison with constant volatility and jump diffusion model with stochastic volatility. I also proposed an MCMC algorithm in order to estimate the Bayesian models. All the models we estim
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2

Austad, Haakon Michael. "Parallel Multiple Proposal MCMC Algorithms." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2007. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-12857.

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We explore the variance reduction achievable through parallel implementation of multi-proposal MCMC algorithms and use of control variates. Implemented sequentially multi-proposal MCMC algorithms are of limited value, but they are very well suited for parallelization. Further, discarding the rejected states in an MCMC sampler can intuitively be interpreted as a waste of information. This becomes even more true for a multi-proposal algorithm where we discard several states in each iteration. By creating an alternative estimator consisting of a linear combination of the traditional sample mean a
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3

Thiéry, Alexandre H. "Scaling analysis of MCMC algorithms." Thesis, University of Warwick, 2013. http://wrap.warwick.ac.uk/57609/.

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Markov Chain Monte Carlo (MCMC) methods have become a workhorse for modern scientific computations. Practitioners utilize MCMC in many different areas of applied science yet very few rigorous results are available for justifying the use of these methods. The purpose of this dissertation is to analyse random walk type MCMC algorithms in several limiting regimes that frequently occur in applications. Scaling limits arguments are used as a unifying method for studying the asymptotic complexity of these MCMC algorithms. Two distinct strands of research are developed: (a) We analyse and prove diffu
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4

Melo, Ana Cláudia Oliveira de. "Aspectos Práticos Computacionais dos Algoritmos de Simulação MCMC." Universidade de São Paulo, 1999. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-05032018-163433/.

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Os algoritmos de simulação de Monte Carlo em cadeia de Markov (MCMC) têm aplicações em várias áreas da Estatística, entre elas destacamos os problemas de Inferência Bayesiana. A aplicação destas técnicas no entanto, exige uma análise teórica da distribuição a posteriori para assegurar a convergência. Devido ao alto grau de complexidade de certos problemas, essa análise nem sempre é possível. O objetivo deste estudo é destacar estas dificuldades e apresentar alguns aspectos práticos computacionais que podem auxiliar na solução de problemas de inferência Bayesiana. Entre estes ressaltamos os cri
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5

Altaleb, Anas. "Méthodes d'échantillonnage par mélanges et algorithmes MCMC." Rouen, 1999. http://www.theses.fr/1999ROUES034.

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Nous abordons dans cette thèse, deux aspects distincts : (a) la construction et le test de certaines méthodes de simulation pour l'approximation des intégrales. Nous étudions en particulier les estimateurs de Monte Carlo auxquels il est souvent fait appel dans le traitement de modèles statistiques complexes. Notre apport en ce domaine consiste en l'utilisation des mélanges pour la stabilisation des échantillonnages d'importance. Pour valider l'estimateur pondéré, il est indispensable d'étudier son comportement pour les méthodes MCMC qui permettent la mise en œuvre d'une forme généralisée de l'
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6

Liu, Shuanglong. "Acceleration of MCMC-based algorithms using reconfigurable logic." Thesis, Imperial College London, 2017. http://hdl.handle.net/10044/1/52431.

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Monte Carlo (MC) methods such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) have emerged as popular tools to sample from high dimensional probability distributions. Because these algorithms can draw samples effectively from arbitrary distributions in Bayesian inference problems, they have been widely used in a range of statistical applications. However, they are often too time consuming due to the prohibitive costly likelihood evaluations, thus they cannot be practically applied to complex models with large-scale datasets. Currently, the lack of sufficiently fast MCMC met
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7

Medina, Aguayo Felipe Javier. "Stability and examples of some approximate MCMC algorithms." Thesis, University of Warwick, 2017. http://wrap.warwick.ac.uk/88922/.

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Approximate Monte Carlo algorithms are not uncommon these days, their applicability is related to the possibility of controlling the computational cost by introducing some noise or approximation in the method. We focus on the stability properties of a particular approximate MCMC algorithm, which we term noisy Metropolis-Hastings. Such properties have been studied before in tandem with the pseudo-marginal algorithm, but under fairly strong assumptions. Here, we examine the noisy Metropolis-Hastings algorithm in more detail and explore possible corrective actions for reducing the introduced bias
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8

Mingas, Grigorios. "Algorithms and architectures for MCMC acceleration in FPGAs." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/31572.

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Markov Chain Monte Carlo (MCMC) is a family of stochastic algorithms which are used to draw random samples from arbitrary probability distributions. This task is necessary to solve a variety of problems in Bayesian modelling, e.g. prediction and model comparison, making MCMC a fundamental tool in modern statistics. Nevertheless, due to the increasing complexity of Bayesian models, the explosion in the amount of data they need to handle and the computational intensity of many MCMC algorithms, performing MCMC-based inference is often impractical in real applications. This thesis tackles this com
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9

Chang, Meng-I. "A Comparison of Two MCMC Algorithms for Estimating the 2PL IRT Models." OpenSIUC, 2017. https://opensiuc.lib.siu.edu/dissertations/1446.

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The fully Bayesian estimation via the use of Markov chain Monte Carlo (MCMC) techniques has become popular for estimating item response theory (IRT) models. The current development of MCMC includes two major algorithms: Gibbs sampling and the No-U-Turn sampler (NUTS). While the former has been used with fitting various IRT models, the latter is relatively new, calling for the research to compare it with other algorithms. The purpose of the present study is to evaluate the performances of these two emerging MCMC algorithms in estimating two two-parameter logistic (2PL) IRT models, namely, the 2
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10

Faure, Charly. "Approches bayésiennes appliquées à l’identification d’efforts vibratoires par la méthode de Résolution Inverse." Thesis, Le Mans, 2017. http://www.theses.fr/2017LEMA1002.

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Des modèles de plus en plus précis sont développés pour prédire le comportement vibroacoustique des structures et dimensionner des traitements adaptés. Or, les sources vibratoires, qui servent de données d'entrée à ces modèles, restent assez souvent mal connues. Une erreur sur les sources injectées se traduit donc par un biais sur la prédiction vibroacoustique. En amont des simulations, la caractérisation expérimentale de sources vibratoires en conditions opérationnelles est un moyen de réduire ce biais et fait l'objet de ces travaux de thèse.L'approche proposée utilise une méthode inverse, la
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11

Karimi, Belhal. "Non-Convex Optimization for Latent Data Models : Algorithms, Analysis and Applications." Thesis, Université Paris-Saclay (ComUE), 2019. http://www.theses.fr/2019SACLX040/document.

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De nombreux problèmes en Apprentissage Statistique consistent à minimiser une fonction non convexe et non lisse définie sur un espace euclidien. Par exemple, les problèmes de maximisation de la vraisemblance et la minimisation du risque empirique en font partie.Les algorithmes d'optimisation utilisés pour résoudre ce genre de problèmes ont été largement étudié pour des fonctions convexes et grandement utilisés en pratique.Cependant, l'accrudescence du nombre d'observation dans l'évaluation de ce risque empirique ajoutée à l'utilisation de fonctions de perte de plus en plus sophistiquées représ
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12

Azevedo, Caio Lucidius Naberezny. "Modelos longitudinais de grupos múltiplos multiníveis na teoria da resposta ao item: métodos de estimação e seleção estrutural sob uma perspectiva bayesiana." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-15042008-165256/.

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No presente trabalho propomos uma estrutura bayesiana, através de um esquema de dados aumentados, para analisar modelos longitudinais com grupos mútiplos (MLGMTRI) na Teoria da Resposta ao Item (TRI). Tal estrutura consiste na tríade : modelagem, métodos de estimação e métodos de diagnóstico para a classe de MLGMTRI. Na parte de modelagem, explorou-se as estruturas multivariada e multinível, com o intuito de representar a hierarquia existente em dados longitudinais com grupos múltiplos. Esta abordagem permite considerar várias classes de submodelos como: modelos de grupos múltiplos e modelos l
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13

García, González Yaser. "Modelos y Algoritmos para redes neuronales recurrentes basadas en wavelets aplicados a la detección de intrusos." Thesis, Universidad de las Américas Puebla, 2011. http://catarina.udlap.mx/u_dl_a/tales/documentos/mcc/garcia_g_y/.

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A medida que las redes de comunicación crecen y se interconectan con otras redes públicas, estas quedan expuestas a sufrir distintos tipos de ataques que explotan vulnerabilidades en su infraestructura, resultado de la evolución continua de los ataques y la incorporación de nuevos métodos y técnicas. Aún cuando los ataques con frecuencia son iniciados desde el exterior, el aislamiento físico del segmento de red no garantiza la protección contra incidentes originados en el interior, es entonces cuando se hace necesario incorporar distintos niveles de protección para preservar la confidencialida
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14

AGUIAR, José Domingos Albuquerque. "MCAC - Monte Carlo Ant Colony: um novo algoritmo estocástico de agrupamento de dados." Universidade Federal Rural de Pernambuco, 2008. http://www.tede2.ufrpe.br:8080/tede2/handle/tede2/5006.

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Submitted by (ana.araujo@ufrpe.br) on 2016-07-06T19:39:45Z No. of bitstreams: 1 Jose Domingos Albuquerque Aguiar.pdf: 818824 bytes, checksum: 7c15525f356ca47ab36ddd8ac61ebd31 (MD5)<br>Made available in DSpace on 2016-07-06T19:39:45Z (GMT). No. of bitstreams: 1 Jose Domingos Albuquerque Aguiar.pdf: 818824 bytes, checksum: 7c15525f356ca47ab36ddd8ac61ebd31 (MD5) Previous issue date: 2008-02-29<br>In this work we present a new data cluster algorithm based on social behavior of ants which applies Monte Carlo simulations in selecting the maximum path length of the ants. We compare the perfor
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15

Du, Yang. "Comparison of change-point detection algorithms for vector time series." Thesis, Linköpings universitet, Statistik, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-59925.

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Change-point detection aims to reveal sudden changes in sequences of data. Special attention has been paid to the detection of abrupt level shifts, and applications of such techniques can be found in a great variety of fields, such as monitoring of climate change, examination of gene expressions and quality control in the manufacturing industry. In this work, we compared the performance of two methods representing frequentist and Bayesian approaches, respectively. The frequentist approach involved a preliminary search for level shifts using a tree algorithm followed by a dynamic programming al
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16

Fort, Gersende. "Contrôle explicite d'ergodicité de chaîne de Markov : applications à l'analyse de convergence de l'algorithme Monte-Carlo EM." Paris 6, 2001. http://www.theses.fr/2001PA066092.

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17

Biswas, Swati. "On incorporating heterogeneity in linkage analysis." Columbus, Ohio : Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1070468056.

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Thesis (Ph. D.)--Ohio State University, 2003.<br>Title from first page of PDF file. Document formatted into pages; contains xii, 123 p.; also includes graphics. Includes abstract and vita. Advisor: Shili Lin, Dept. of Statistics. Includes bibliographical references (p. 119-123).
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Rampinelli, Cássio Guilherme. "Modelagem hidrológica sob uma abordagem bayesiana : comparação de algoritmos MCMC e análise da influência da função verossimilhança na estimativa dos parâmetros e descrição das incertezas." reponame:Repositório Institucional da UnB, 2016. http://repositorio.unb.br/handle/10482/22357.

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Dissertação (mestrado)—Universidade de Brasília, Faculdade de Tecnologia, Departamento de Engenharia Civil e Ambiental, 2016.<br>Submitted by Fernanda Percia França (fernandafranca@bce.unb.br) on 2016-11-21T17:02:46Z No. of bitstreams: 1 2016_CássioGuilhermeRampinelli.pdf: 17198008 bytes, checksum: d865c15e2b03298454d6e7a91457004e (MD5)<br>Approved for entry into archive by Raquel Viana(raquelviana@bce.unb.br) on 2017-01-31T18:35:19Z (GMT) No. of bitstreams: 1 2016_CássioGuilhermeRampinelli.pdf: 17198008 bytes, checksum: d865c15e2b03298454d6e7a91457004e (MD5)<br>Made available in DSpace on 20
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Pinheiro, Camila Xavier Sá Peixoto, and 92-98825-5055. "Misturas de escala da distribuição normal assimétrica com dados faltantes." Universidade Federal do Amazonas, 2016. http://tede.ufam.edu.br/handle/tede/5987.

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Submitted by Ingrid Lima (ingrdslima@hotmail.com) on 2017-11-03T15:24:11Z No. of bitstreams: 2 DISSERTACAO final Camila Sá Peixoto Pinheiro - com folha assinada.pdf: 2249114 bytes, checksum: 3bdd9a6d1539c3d7b14311776dda4f28 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5)<br>Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2017-11-07T14:06:59Z (GMT) No. of bitstreams: 2 DISSERTACAO final Camila Sá Peixoto Pinheiro - com folha assinada.pdf: 2249114 bytes, checksum: 3bdd9a6d1539c3d7b14311776dda4f28 (MD5) licen
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Zeppilli, Giulia. "Alcune applicazioni del Metodo Monte Carlo." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2012. http://amslaurea.unibo.it/3091/.

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21

Chaari, Lotfi. "Parallel magnetic resonance imaging reconstruction problems using wavelet representations." Phd thesis, Université Paris-Est, 2010. http://tel.archives-ouvertes.fr/tel-00587410.

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Pour réduire le temps d'acquisition ou bien améliorer la résolution spatio-temporelle dans certaines application en IRM, de puissantes techniques parallèles utilisant plusieurs antennes réceptrices sont apparues depuis les années 90. Dans ce contexte, les images d'IRM doivent être reconstruites à partir des données sous-échantillonnées acquises dans le " k-space ". Plusieurs approches de reconstruction ont donc été proposées dont la méthode SENSitivity Encoding (SENSE). Cependant, les images reconstruites sont souvent entâchées par des artéfacts dus au bruit affectant les données observées, ou
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Sedki, Mohammed Amechtoh. "Échantillonnage préférentiel adaptatif et méthodes bayésiennes approchées appliquées à la génétique des populations." Thesis, Montpellier 2, 2012. http://www.theses.fr/2012MON20041/document.

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Dans cette thèse, on propose des techniques d'inférence bayésienne dans les modèles où la vraisemblance possède une composante latente. La vraisemblance d'un jeu de données observé est l'intégrale de la vraisemblance dite complète sur l'espace de la variable latente. On s'intéresse aux cas où l'espace de la variable latente est de très grande dimension et comportes des directions de différentes natures (discrètes et continues), ce qui rend cette intégrale incalculable. Le champs d'application privilégié de cette thèse est l'inférence dans les modèles de génétique des populations. Pour mener le
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23

Ferreira, Eduardo Vargas 1987. "Modelos da teoria de resposta ao item assimétricos de grupos múltiplos para respostas politômicas nominais e ordinais sob um enfoque bayesiano." [s.n.], 2014. http://repositorio.unicamp.br/jspui/handle/REPOSIP/306788.

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Orientador: Caio Lucidius Naberezny Azevedo<br>Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica<br>Made available in DSpace on 2018-08-24T12:51:18Z (GMT). No. of bitstreams: 1 Ferreira_EduardoVargas_M.pdf: 8131052 bytes, checksum: f344cd1f11e8d818f3aac90f48396cbc (MD5) Previous issue date: 2014<br>Resumo: No presente trabalho propõem-se novos modelos da Teoria de Resposta ao Item para respostas politômicas nominais e ordinais (graduais), via dados aumentados, para grupos múltiplos. Para a modelagem das distribuições dos t
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Carvalho, Silvia Viviane Oliveira. "Um modelo robusto assimétrico de análise fatorial." Universidade Federal do Amazonas, 2014. http://tede.ufam.edu.br/handle/tede/4775.

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Garay, Aldo William Medina. "Modelos de regressão para dados censurados sob distribuições simétricas." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-15062014-000915/.

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Este trabalho tem como objetivo principal apresentar uma abordagem clássica e Bayesiana dos modelos lineares com observações censuradas, que é uma nova área de pesquisa com grandes possibilidades de aplicações. Aqui, substituimos o uso convencional da distribuição normal para os erros por uma família de distribuições mais flexíveis, o que nos permite lidar de forma mais adequada com observações censuradas na presença de outliers. Esta família é obtida através de um mecanismo de fácil construção e possui como casos especiais as distribuições t de Student, Pearson tipo VII, slash, normal contami
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Rigouste, Loïs. "Méthodes probabilistes pour l'analyse exploratoire de données textuelles." Phd thesis, Télécom ParisTech, 2006. http://pastel.archives-ouvertes.fr/pastel-00002424.

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Nous abordons le problème de la classification non supervisée de documents par des méthodes probabilistes. Notre étude se concentre sur le modèle de mélange de lois multinomiales avec variables latentes thématiques au niveau des documents. La construction de groupes de documents thématiquement homogènes est une des technologies de base de la fouille de texte, et trouve de multiples applications, aussi bien en recherche documentaire qu'en catégorisation de documents, ou encore pour le suivi de thèmes et la construction de résumés. Diverses propositions récentes ont été faites de modèles probabi
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Uêda, Shirley Tieko. "Uso do processo gama para dados de sobrevivência." Universidade Federal de São Carlos, 2005. https://repositorio.ufscar.br/handle/ufscar/4580.

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Made available in DSpace on 2016-06-02T20:06:09Z (GMT). No. of bitstreams: 1 DissSTU.pdf: 632638 bytes, checksum: b51966b8476d470ced42e354cadf0a65 (MD5) Previous issue date: 2005-01-20<br>Financiadora de Estudos e Projetos<br>In this dissertation, we introduce classical and Bayesian approaches to get inferences on the parameters of interest, considering exponential and Weibull distributions for the lifetimes. For a Bayesian analysis, we assume a gamma process for the individual rates considering type II censoring data and the presence of covariates. We also consider ac- celerated life tests
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Cosma, Ioana Ada. "Dimension reduction of streaming data via random projections." Thesis, University of Oxford, 2009. http://ora.ox.ac.uk/objects/uuid:09eafd84-8cb3-4e54-8daf-18db7832bcfc.

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A data stream is a transiently observed sequence of data elements that arrive unordered, with repetitions, and at very high rate of transmission. Examples include Internet traffic data, networks of banking and credit transactions, and radar derived meteorological data. Computer science and engineering communities have developed randomised, probabilistic algorithms to estimate statistics of interest over streaming data on the fly, with small computational complexity and storage requirements, by constructing low dimensional representations of the stream known as data sketches. This thesis combin
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Viallefont, Valérie. "Analyses bayesiennes du choix de modèles en épidémiologie : sélection de variables et modélisation de l'hétérogénéité pour des évènements." Paris 11, 2000. http://www.theses.fr/2000PA11T023.

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Cette thèse se décompose en deux parties qui traitent la question du choix modèles dans deux problématiques différentes. Dans la première partie, on s'intéresse, pour les modèles de régression logis multivariée, à différentes stratégies de sélection de variables associées à l'apparition d'une maladie. Les méthodes les plus fréquemment mises en œuvre à l'heure actuelle consistent à sélectionner certaines variables dans un modèle final unique, modèle dans lequel sont ensuite estimés les paramètres et leur variance. Différents critères de sélection existent et la plupart d'entre eux reposent sur
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Arribas, Gil Ana. "Estimation dans des modèles à variables cachées : alignement des séquences biologiques et modèles d'évolution." Paris 11, 2007. http://www.theses.fr/2007PA112054.

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Cette thèse est consacrée à l'estimation paramétrique dans certains modèles d'alignement de séquences biologiques. Ce sont des modèles construits à partir des considérations sur le processus d'évolution des séquences. Dans le cas de deux séquences, le processus d'évolution classique résulte dans un modèle d'alignement appelé pair-Hidden Markov Model (pair-HMM). Dans le pair-HMM les observations sont formées par le couple de séquences à aligner et l'alignement caché est une chaîne de Markov. D'un point de vue théorique nous donnons un cadre rigoureux pour ce modèle et étudions la consistance de
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Monteiro, Renata Evangelista, and 92-99124-4468. "Misturas de modelos de regressão linear com erros nas variáveis usando misturas de escala da normal assimétrica." Universidade Federal do Amazonas, 2018. https://tede.ufam.edu.br/handle/tede/6417.

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Donnet, Sophie. "Inversion de données IRMf : estimation et sélection de modèles." Paris 11, 2006. http://www.theses.fr/2006PA112193.

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Cette thèse est consacrée à l'analyse de données d'Imagerie par Résonance Magnétique fonctionnelle (IRMf). Dans le cadre du modèle classique de convolution, nous testons l'hypothèse de variabilité inter-occurrences des amplitudes des réponses hémodynamiques. L'estimation des paramètres de ce nouveau modèle requiert le recours à l'algorithme Expectation-Maximisation. Nous comparons ce modèle au modèle sans variabilité inter-occurrences par un test du rapport des vraisemblances, sur un grand nombre de jeu de données réelles. Le modèle linéaire souffrant d'un manque de fondement biologique, nous
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Ancelet, Sophie. "Exploiter l'approche hiérarchique bayésienne pour la modélisation statistique de structures spatiales: application en écologie des populations." Phd thesis, AgroParisTech, 2008. http://pastel.archives-ouvertes.fr/pastel-00004396.

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Dans la plupart des questions écologiques, les phénomènes aléatoires d'intérêt sont spatialement structurés et issus de l'effet combiné de multiples variables aléatoires, observées ou non, et inter-agissant à diverses échelles. En pratique, dès lors que les données de terrain ne peuvent être directement traitées avec des structures spatiales standards, les observations sont généralement considérées indépendantes. Par ailleurs, les modèles utilisés sont souvent basés sur des hypothèses simplificatrices trop fortes par rapport à la complexité des phénomènes étudiés. Dans ce travail, la démarche
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Diabaté, Modibo. "Modélisation stochastique et estimation de la croissance tumorale." Thesis, Université Grenoble Alpes (ComUE), 2019. http://www.theses.fr/2019GREAM040.

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Cette thèse porte sur la modélisation mathématique de la dynamique du cancer ; elle se divise en deux projets de recherche.Dans le premier projet, nous estimons les paramètres de la limite déterministe d'un processus stochastique modélisant la dynamique du mélanome (cancer de la peau) traité par immunothérapie. L'estimation est réalisée à l'aide d'un modèle statistique non-linéaire à effets mixtes et l'algorithme SAEM, à partir des données réelles de taille tumorale mesurée au cours du temps chez plusieurs patients. Avec ce modèle mathématique qui ajuste bien les données, nous évaluons la prob
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Bhering, Felipe Lunardi. "Confiabilidade em sistemas coerentes: um modelo bayesiano Weibull." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-01122013-155316/.

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O principal objetivo desse trabalho é introduzir um modelo geral bayesiano Weibull hierárquico para dados censurados que estima a função de confiabilidade de cada componente para sistemas de confiabilidade coerentes. São introduzidos formas de estimação mais sólidas, sem a inserção de estimativas médias nas funções de confiabilidade (estimador plug-in). Através desse modelo, são expostos e solucionados exemplos na área de confiabilidade como sistemas em série, sistemas em paralelo, sistemas k-de-n, sistemas bridge e um estudo clínico com dados censurados intervalares. As soluções consideram qu
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Paraiba, Carolina Costa Mota. "Modelos não lineares truncados mistos para locação e escala." Universidade Federal de São Carlos, 2015. https://repositorio.ufscar.br/handle/ufscar/4497.

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Made available in DSpace on 2016-06-02T20:04:53Z (GMT). No. of bitstreams: 1 6714.pdf: 1130315 bytes, checksum: 4ce881df9c6c0f6451cae6908855d277 (MD5) Previous issue date: 2015-01-14<br>Financiadora de Estudos e Projetos<br>We present a class of nonlinear truncated mixed-effects models where the truncation nature of the data is incorporated into the statistical model by assuming that the variable of interest, namely the truncated variable, follows a truncated distribution which, in turn, corresponds to a conditional distribution obtained by restricting the support of a given probability dist
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Gonzalez, Jhonny. "Modelling and controlling risk in energy systems." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/modelling-and-controlling-risk-in-energy-systems(b575d2c7-154f-4aca-b15e-4b99e0b3c661).html.

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The Autonomic Power System (APS) grand challenge was a multi-disciplinary EPSRC-funded research project that examined novel techniques that would enable the transition between today's and 2050's highly uncertain and complex energy network. Being part of the APS, this thesis reports on the sub-project 'RR2: Avoiding High-Impact Low Probability events'. The goal of RR2 is to develop new algorithms for controlling risk exposure to high-impact low probability (Hi-Lo) events through the provision of appropriate risk-sensitive control strategies. Additionally, RR2 is concerned with new techniques fo
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Alata, Olivier. "Contributions à la description de signaux, d'images et de volumes par l'approche probabiliste et statistique." Habilitation à diriger des recherches, Université de Poitiers, 2010. http://tel.archives-ouvertes.fr/tel-00573224.

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Les éléments principaux apparaissant dans ce document de synthèse sont les suivants : - La mise en exergue de la pertinence du critère d'information $\phi_\beta$ qui offre la possibilité d'être ``réglé'' par apprentissage de $\beta$ et cela quelque soit le problème de sélection de modèles pour lequel il est possible d'écrire un critère d'information, possibilité qui a été illustrée dans divers contextes applicatifs (supports de prédiction linéaire et dimension du modèle utilisé pour les cinétiques de $\dot VO_2$). - Une méthode d'estimation d'histogrammes pour décrire de manière non-paramé-tri
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Grenon-Godbout, Nicolas. "Partition adaptative de l’espace dans un algorithme MCMC avec adaptation régionale." Thèse, 2018. http://hdl.handle.net/1866/21288.

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Holotňáková, Dominika. "Pokročilé metody kalibrace modelů úrokových sazeb." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-321342.

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This thesis is focused on the study of advanced methods of interest rate mo- dels calibration. The theoretical part provides introduction to basic terminology of financial mathematics, financial, concretely interest rate derivatives. It presents interest rate models, it is mainly aimed at HJM approach and describes in detail the Libor market model, then introduces the use of Bayesian principle in calcula- ting the probability of MCMC methods. At the end of this section the methods of calibration of volatility to market data are described. The last chapter consists of the practical application
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CHEN, CHIN-YU, and 陳金佑. "A COMPARATIVE ANALYSIS OF EM AND MCMC ALGORITHMS FOR MULTI–SOURCE INCOMPLETE TIME SERIES DATA." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/87035082898519417862.

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碩士<br>國立臺北大學<br>統計學系<br>96<br>Incomplete data are pervasive in scientific investigations and can occur for a variety of reasons. Moreover, data from different sources may not be consistent. This thesis aims to deal with the multi-source incomplete time series problems under a state-space model. Two methods, EM algorithm and Markov Chain Monte Carlo (MCMC) algorithms are used and compared to merge multiple sources incomplete time series data into a complete time series data. EM algorithm is used in conjunction with the conventional Kalman smoothed estimators to derive a simple recursive proced
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Neves, Bruno Miguel Bandarra das. "Desenvolvimento das técnicas de análise de espectros 3D de MCC-IMS." Master's thesis, 2013. http://hdl.handle.net/10362/18335.

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Recentemente, a técnica de Espectrometria de Mobilidade Iónica associada a uma coluna multicapilar (MCC-IMS) tem sido aplicada à análise do ar exalado dos seres humanos. O ar que é expelido na respiração contém compostos orgânicos voláteis (VOCs) que possuem informação importante relativa ao estado metabólico do sujeito. Existem inúmeras vantagens na utilização desta tecnologia relativamente às técnicas de rastreio através do sangue, designadamente o facto de ser um processo não doloroso, não invasivo e a recolha de amostras não necessita de ser efectuada por pessoal médico especializado. Esta
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(9158723), Supriyo Maji. "Efficient Minimum Cycle Mean Algorithms And Their Applications." Thesis, 2020.

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<p>Minimum cycle mean (MCM) is an important concept in directed graphs. From clock period optimization, timing analysis to layout optimization, minimum cycle mean algorithms have found widespread use in VLSI system design optimization. With transistor size scaling to 10nm and below, complexities and size of the systems have grown rapidly over the last decade. Scalability of the algorithms both in terms of their runtime and memory usage is therefore important. </p> <p><br></p> <p>Among the few classical MCM algorithms, the algorithm by Young, Tarjan, and Orlin (YTO), has been particularly popul
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Jung, Maarten Lars. "Reaction Time Modeling in Bayesian Cognitive Models of Sequential Decision-Making Using Markov Chain Monte Carlo Sampling." 2020. https://tud.qucosa.de/id/qucosa%3A74048.

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In this thesis, a new approach for generating reaction time predictions for Bayesian cognitive models of sequential decision-making is proposed. The method is based on a Markov chain Monte Carlo algorithm that, by utilizing prior distributions and likelihood functions of possible action sequences, generates predictions about the time needed to choose one of these sequences. The plausibility of the reaction time predictions produced by this algorithm was investigated for simple exemplary distributions as well as for prior distributions and likelihood functions of a Bayesian model of habit learn
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Bégin, Jean-François. "New simulation schemes for the Heston model." Thèse, 2012. http://hdl.handle.net/1866/8752.

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Les titres financiers sont souvent modélisés par des équations différentielles stochastiques (ÉDS). Ces équations peuvent décrire le comportement de l'actif, et aussi parfois certains paramètres du modèle. Par exemple, le modèle de Heston (1993), qui s'inscrit dans la catégorie des modèles à volatilité stochastique, décrit le comportement de l'actif et de la variance de ce dernier. Le modèle de Heston est très intéressant puisqu'il admet des formules semi-analytiques pour certains produits dérivés, ainsi qu'un certain réalisme. Cependant, la plupart des algorithmes de simulation pour ce modè
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