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Dissertations / Theses on the topic 'Model switching'

Author: Grafiati

Published: 4 June 2021

Last updated: 11 February 2022

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1

Bansal, Harvir S. "Service switching model, SSM, a model of customer switching behavior in the services industry." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq20548.pdf.

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2

Kaufmann, Sylvia, and Sylvia Frühwirth-Schnatter. "Bayesian Analysis of Switching ARCH Models." Department of Statistics and Mathematics, WU Vienna University of Economics and Business, 2000. http://epub.wu.ac.at/744/1/document.pdf.

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We consider a time series model with autoregressive conditional heteroskedasticity that is subject to changes in regime. The regimes evolve according to a multistate latent Markov switching process with unknown transition probabilities, and it is the constant in the variance process of the innovations that is subject to regime shifts. The joint estimation of the latent process and all model parameters is performed within a Bayesian framework using the method of Markov Chain Monte Carlo simulation. We perform model selection with respect to the number of states and the number of autoregressive

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3

Sime, Julie-Ann. "Model switching in intelligent training systems." Thesis, Heriot-Watt University, 1994. http://hdl.handle.net/10399/1396.

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Frühwirth-Schnatter, Sylvia. "Model Likelihoods and Bayes Factors for Switching and Mixture Models." Department of Statistics and Mathematics, WU Vienna University of Economics and Business, 2000. http://epub.wu.ac.at/1146/1/document.pdf.

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In the present paper we explore various approaches of computing model likelihoods from the MCMC output for mixture and switching models, among them the candidate's formula, importance sampling, reciprocal importance sampling and bridge sampling. We demonstrate that the candidate's formula is sensitive to label switching. It turns out that the best method to estimate the model likelihood is the bridge sampling technique, where the MCMC sample is combined with an iid sample from an importance density. The importance density is constructed in an unsupervised manner from the MCMC output using a mi

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5

Frühwirth-Schnatter, Sylvia. "Model Likelihoods and Bayes Factors for Switching and Mixture Models." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/474/1/document.pdf.

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In the present paper we discuss the problem of estimating model likelihoods from the MCMC output for a general mixture and switching model. Estimation is based on the method of bridge sampling (Meng and Wong, 1996), where the MCMC sample is combined with an iid sample from an importance density. The importance density is constructed in an unsupervised manner from the MCMC output using a mixture of complete data posteriors. Whereas the importance sampling estimator as well as the reciprocal importance sampling estimator are sensitive to the tail behaviour of the importance density, we demonstra

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Einarsson, Valur. "Model checking methods for mode switching systems /." Linköping : Univ, 2000. http://www.bibl.liu.se/liupubl/disp/disp2000/tek652s.htm.

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7

Frühwirth-Schnatter, Sylvia. "Fully Bayesian Analysis of Switching Gaussian State Space Models." Department of Statistics and Mathematics, WU Vienna University of Economics and Business, 2000. http://epub.wu.ac.at/812/1/document.pdf.

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In the present paper we study switching state space models from a Bayesian point of view. For estimation, the model is reformulated as a hierarchical model. We discuss various MCMC methods for Bayesian estimation, among them unconstrained Gibbs sampling, constrained sampling and permutation sampling. We address in detail the problem of unidentifiability, and discuss potential information available from an unidentified model. Furthermore the paper discusses issues in model selection such as selecting the number of states or testing for the presence of Markov switching heterogeneity. The model l

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8

Check, Adam. "REGIME SWITCHING AND THE MONETARY ECONOMY." Thesis, University of Oregon, 2016. http://hdl.handle.net/1794/20531.

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For the empirical macroeconomist, accounting for nonlinearities in data series by using regime switching techniques has a long history. Over the past 25 years, there have been tremendous advances in both the estimation of regime switching and the incorporation of regime switching into macroeconomic models. In this dissertation, I apply techniques from this literature to study two topics that are of particular relevance to the conduct of monetary policy: asset bubbles and the Federal Reserve’s policy reaction function. My first chapter utilizes a recently developed Markov-Switching model in ord

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9

Tissainayagam, Prithiviraj 1967. "Visual tracking : development, performance evaluation, and motion model switching." Monash University, Dept. of Electrical and Computer Systems Engineering, 2001. http://arrow.monash.edu.au/hdl/1959.1/8944.

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10

Shami, Roland G. (Roland George) 1960. "Bayesian analysis of a structural model with regime switching." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9277.

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11

Srinivasan, Vivekanandan. "Real delay graphical probabilistic switching model for VLSI circuits." [Tampa, Fla.] : University of South Florida, 2004. http://purl.fcla.edu/fcla/etd/SFE0000538.

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12

Potechin, Aaron H. "Analyzing monotone space complexity via the switching network model." Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/99066.

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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Mathematics, 2015.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 177-179).<br>Space complexity is the study of how much space/memory it takes to solve problems. Unfortunately, proving general lower bounds on space complexity is notoriously hard. Thus, we instead consider the restricted case of monotone algorithms, which only make deductions based on what is in the input and not what is missing. In this thesis, we develop techniques for analyzing monotone space complexity via a model ca

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13

Fisher-Jeffes, Timothy Perrin. "Multiple-model switching control to achieve asymptotic robust performance." Thesis, University of Cambridge, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.615034.

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14

Selles, Anthony. "Hybrid model : investigating bilingual language production through code-switching." Thesis, University of Edinburgh, 2018. http://hdl.handle.net/1842/31373.

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Bilingual language production is an area of psycholinguistic research that has received recent attention. Experimental evidence from bilingual word production tasks has shown that both languages share representation at the mental lexicon, meaning that concepts will lead to the activation of the target lemma from both languages. Investigations into how bilinguals organise two grammatical systems has largely come from cross-linguistic syntactic priming. Syntactic priming is a phenomenon in which speakers are likely to repeat a syntactic structure in which they have recently experienced: cross-li

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15

Mora, Castro Andrés Felipe. "Optimal switching sequence model predictive control for power electronics." Tesis, Universidad de Chile, 2019. http://repositorio.uchile.cl/handle/2250/170522.

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Tesis para optar al grado de Doctor en Ingeniería Eléctrica<br>En este proyecto de tesis, se propone una estrategia de control predictivo (MPC, por sus siglas en inglés) basada en el concepto de secuencia de conmutación óptima (OSS) recientemente introducido para convertidores de punto neutro enclavado de tres niveles (3L-NPC) conectados a la red eléctrica. La metodología de control propuesta, llamada OSS-MPC en cascada (C-OSS-MPC), considera explícitamente el modulador en su formulación junto con el modelo del sistema. Como se verificó a lo largo de esta tesis, la estrategia C-OSS-MPC está f

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16

Basak, Hasan. "Robust switching recovery control of a quadcopter aerial vehicle model." Thesis, University of Leicester, 2018. http://hdl.handle.net/2381/41081.

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This thesis presents recovery control schemes that enable a quadcopter unmanned aerial vehicle (UAV) model to cope with a faulty actuation system. First, the computational aspects of the design of fixed-order H1 controllers are investigated along with the performance they provide for the quadcopter UAV. Double-loop control structures are developed to control the translational velocities of the UAV subject to two different intermittent actuation problems. Fixed-order H1 controllers are designed for the nominal and the faulty modes of operation. These closed-loop modes are modelled as a switched

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17

Toniato, Manuel <1980&gt. "Internal Model Principle: extension to the switching case and applications." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2009. http://amsdottorato.unibo.it/1660/.

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This thesis deals with a novel control approach based on the extension of the well-known Internal Model Principle to the case of periodic switched linear exosystems. This extension, inspired by power electronics applications, aims to provide an effective design method to robustly achieve the asymptotic tracking of periodic references with an infinite number of harmonics. In the first part of the thesis the basic components of the novel control scheme are described and preliminary results on stabilization are provided. In the second part, advanced control methods for two applications coming fro

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18

Park, Joonsuk Park. "HORTAS: A Horserace Model of Cognitive Control in Task Switching." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1471864081.

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ARREY-MBI, PASCAL EBOT. "VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-24587.

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Volatility clustering is a stylized fact common in nance. Large changes in prices tend to cluster whereas small changes behave likewise. The higher the volatility of a market, the more risky it is said to be and vice versa . Below, we study volatility clustering using an agent-based model. This model looks at the reaction of agents as a result of the variation of asset prices. This is due to the irregular switching of agents between fundamentalist and chartist behaviors generating a time varying volatility. Switching depends on the performances of the various strategies. The expectations of th

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20

Emery, Martin Banking &amp Finance Australian School of Business UNSW. "Studies into global asset allocation strategies using the markov-switching model." Publisher:University of New South Wales. Banking & Finance, 2008. http://handle.unsw.edu.au/1959.4/43098.

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This thesis presents the potential opportunities of global asset allocation and the possible enhancement of these opportunities from using a Markov Switching Model. The thesis extends upon previous conditional asset pricing studies in global asset allocation, such as those done by Ilamnen (1995), Harvey, Solnik and Zhou (1992) and Bilson (1993), where expected future returns are forecast based on conditional variables. The finding of these studies, and many others, are combined with the works on Markov Switching models and market segmentation theories to create a uniform structure for analys

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21

Cheung, Ka-chun. "Optimal asset allocation problems under the discrete-time regime-switching model." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B31311234.

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22

Yang, Zijian. "Application of Regime Switching Model to Equity Market and Portfolio Selection." Thesis, University of Essex, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.517406.

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23

Cheung, Ka-chun, and 張家俊. "Optimal asset allocation problems under the discrete-time regime-switching model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31311234.

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Deshpande, Abhishek. "Beyond the two-state model of switching in biology and computation." Thesis, Imperial College London, 2018. http://hdl.handle.net/10044/1/62626.

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The thesis presents various perspectives on physical and biological computation. Our fundamental object of study in both these contexts is the notion of switching/erasing a bit. In a physical context, a bit is represented by a particle in a double well, whose dynamics is governed by the Langevin equation. We define the notions of reliability and erasing time-scales in addition to the work required to erase a bit for a given family of control protocols. We call bits “optimal” if they meet the required reliability and erasing time requirements with minimal work cost. We find that optimal bits al

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25

Hernandez, Vicente Bernardo Andres. "Model predictive control for linear systems : adaptive, distributed and switching implementations." Thesis, University of Sheffield, 2018. http://etheses.whiterose.ac.uk/22174/.

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Thanks to substantial past and recent developments, model predictive control has become one of the most relevant advanced control techniques. Nevertheless, many challenges associated to the reliance of MPC on a mathematical model that accurately depicts the controlled process still exist. This thesis is concerned with three of these challenges, placing the focus on constructing mathematically sound MPC controllers that are comparable in complexity to standard MPC implementations. The first part of this thesis tackles the challenge of model uncertainty in time-varying plants. A new dual MPC con

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Dzunic, Zoran Ph D. Massachusetts Institute of Technology. "A Bayesian latent time-series model for switching temporal interaction analysis." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/103723.

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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2016.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 153-157).<br>We introduce a Bayesian discrete-time framework for switching-interaction analysis under uncertainty, in which latent interactions, switching pattern and signal states and dynamics are inferred from noisy and possibly missing observations of these signals. We propose reasoning over posterior distribution of these latent variables as a means of combating and characterizing uncer

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27

Päivänsäde, V. (Ville). "Dynamic power estimation with a hardware emulation acquired switching activity model." Master's thesis, University of Oulu, 2016. http://urn.fi/URN:NBN:fi:oulu-201609082736.

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This thesis is a study of dynamic power estimation at register-transfer level using an activity model acquired with a hardware emulator. The thesis consists of a practical part that presents the studied flow and the testing work related to it and a theory part that supports the topics of the practical part. In the theory part, the common sources of power consumption in complementary metal-oxide-semiconductor logic are studied, along with brief introductions about their reduction techniques. The electronic design automation tool methodologies, commonly used for power estimation and analysis, ar

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Rabello, Mateus Nunes. "A dynamic model of price competition with switching and search costs." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8550.

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Submitted by Mateus Rabello (mateus_rabello@hotmail.com) on 2011-08-24T03:24:58Z No. of bitstreams: 1 Dissertação de Mestrado - Mateus Rabello.pdf: 425155 bytes, checksum: eb391a2f1f35ae446621fecfaf956f8b (MD5)<br>Approved for entry into archive by Andrea Virginio Machado (andrea.machado@fgv.br) on 2011-08-25T13:20:16Z (GMT) No. of bitstreams: 1 Dissertação de Mestrado - Mateus Rabello.pdf: 425155 bytes, checksum: eb391a2f1f35ae446621fecfaf956f8b (MD5)<br>Made available in DSpace on 2011-08-25T13:40:47Z (GMT). No. of bitstreams: 1 Dissertação de Mestrado - Mateus Rabello.pdf: 425155 bytes,

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McMullen, John G., Brittany F. Peterson, Steven Forst, Heidi Goodrich Blair, and S. Patricia Stock. "Fitness costs of symbiont switching using entomopathogenic nematodes as a model." BIOMED CENTRAL LTD, 2017. http://hdl.handle.net/10150/624078.

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Background: Steinernematid nematodes form obligate symbioses with bacteria from the genus Xenorhabdus. Together Steinernema nematodes and their bacterial symbionts successfully infect, kill, utilize, and exit their insect hosts. During this process the nematodes and bacteria disassociate requiring them to re-associate before emerging from the host. This interaction can be complicated when two different nematodes co-infect an insect host. Results: Non-cognate nematode-bacteria pairings result in reductions for multiple measures of success, including total progeny production and virulence. Addit

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Alaya, Oussama, and Maik Fiedler. "Optimal pressure control using switching solenoid valves." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-200545.

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This paper presents the mathematical modeling and the design of an optimal pressure tracking controller for an often used setup in pneumatic applications. Two pneumatic chambers are connected with a pneumatic tube. The pressure in the second chamber is to be controlled using two switching valves connected to the first chamber and based on the pressure measurement in the first chamber. The optimal control problem is formulated and solved using the MPC framework. The designed controller shows good tracking quality, while fulfilling hard constraints, like maintaining the pressure below a given up

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31

Liu, Tong. "Nonvolatile and Volatile Resistive Switching - Characterization, Modeling, Memristive Subcircuits." Diss., Virginia Tech, 2013. http://hdl.handle.net/10919/23141.

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Emerging memory technologies are being intensively investigated for extending Moore\'s law in the next decade. The conductive bridge random access memory (CBRAM) is one of the most promising candidates. CBRAM shows unique nanoionics-based filamentary switching mechanism. Compared to flash memory, the advantages of CBRAM include excellent scalability, low power consumption, high OFF-/ON-state resistance ratio, good endurance, and long retention. Besides the nonvolatile memory applications, resistive switching devices implement the function of memristor which is the fourth basic electrical compo

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32

Darmanjian, Shalom. "Switching Hidden-Markov Model and hardware implementation for a Brain-Machine Interface." [Gainesville, Fla.] : University of Florida, 2005. http://purl.fcla.edu/fcla/etd/UFE0009426.

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33

Grimm, Stefanie [Verfasser]. "An Interest-Rate Model with Regime-Switching Mean-Reversion Level / Stefanie Grimm." München : Verlag Dr. Hut, 2017. http://d-nb.info/1135596794/34.

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34

Marchewka, Astrid [Verfasser]. "A numerical simulation model of valence-change-based resistive switching / Astrid Marchewka." München : Verlag Dr. Hut, 2017. http://d-nb.info/1137023686/34.

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35

Boussofara-Omar, Naima. "Arabic diglossic switching in Tunisia : an application of Myers-Scotton's MLF model /." Digital version accessible at:, 1999. http://wwwlib.umi.com/cr/utexas/main.

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36

Stockel, Jakob, and Niklas Skantz. "Regime shifts in the Swedish housing market - A Markov-switching model analysis." Thesis, KTH, Fastigheter och byggande, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-190178.

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Problem statement: Accurate and reliable forecasts of trends in the housing market can be useful information for market participants as well as policy makers. This information may be useful to minimize risk related to market uncertainty. Since the burst of the housing bubble in the early 1990s the price level of single-family houses has risen sharply in Sweden. The Swedish housing market has experienced an unusually long period of high growth rates in transaction prices which has opened up for discussions about the risk of another housing bubble. Business and property cycles have shown to cont

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37

Guthmann, Rafael Roos. "A dynamic model of simultaneous price competition with switching and search costs." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10960.

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Submitted by Rafael Roos Guthmann (rguthmann@fgvmail.br) on 2013-07-03T20:42:37Z No. of bitstreams: 1 Dissertacao pronta para submeter.pdf: 687720 bytes, checksum: 11d78b5cdd5d770dff758f4e2800660b (MD5)<br>Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2013-07-05T19:13:36Z (GMT) No. of bitstreams: 1 Dissertacao pronta para submeter.pdf: 687720 bytes, checksum: 11d78b5cdd5d770dff758f4e2800660b (MD5)<br>Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-07-09T18:41:59Z (GMT) No. of bitstreams: 1 Dissertacao pronta para subm

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Okumu, Emmanuel Latim. "Non-linear prediction in the presence of macroeconomic regimes." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297222.

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This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. We perform recursive out-of-sample forecasting to study the predictive performance of the models. We also assess the in-sample dynamics correspondence to the forecast performance and find that there is not always a relationship. Furthermore, we seek to explore if these unrestricted models y

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Chen, Shi-Feng, and 陳石峯. "Landslide Prediction with Model Switching." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/96w8jm.

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碩士<br>國立中正大學<br>資訊工程研究所<br>105<br>Landslides could cause huge damages to properties and severe loss of lives. Landslides can be detected by analyzing the environment data collected via wireless sensor networks (WSN). However, environment data are usually complex and undergo rapid changes. Thus, if landslides can be predicted, people can leave the hazardous areas earlier. A good prediction mechanism is thus critical. Currently, a widely-used method is Artificial Neural Networks (ANNs), which give accurate predictions and exhibit high learning ability. Through training, the ANNs weight coefficie

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楊瑋勻. "Markov-Switching Model for Taiwan financial crises." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/51354153699664215607.

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Chen, Mei Yin, and 陳玫吟. "Analyzing Implied Volatility with Marcov Switching Model." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/22535858434870084211.

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碩士<br>國立政治大學<br>國際經營與貿易研究所<br>99<br>Implied volatility indices are forward-looking, and lots of researches discuss the relationship between the implied volatility and underlying stock market returns. Dif-ferent from other studies, we use Marcov switching model to examine the implied volatility indices: S&P 500 volatility index (VIX) and NASDAQ-100 volatility index (VXN), then we separately exploit the different regime behavior about the relationship between implied volatility change, technical indicators and stock market returns. As a result, S&P 500 index and NASDAQ-100 index respond in

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42

Jeon, Yoontae. "High Frequency Trading in a Regime-switching Model." Thesis, 2010. http://hdl.handle.net/1807/25636.

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One of the most famous problem of finding optimal weight to maximize an agent's expected terminal utility in finance literature is Merton's optimal portfolio problem. Classic solution to this problem is given by stochastic Hamilton-Jacobi-Bellman Equation where we briefly review it in chapter 1. Similar idea has found many applications in other finance literatures and we will focus on its application to the high-frequency trading using limit orders in this thesis. In [1], major analysis using the constant volatility arithmetic Brownian motion stock price model with exponential utility function

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43

Webb, Melanie Ann. "A switching Black-Scholes model and option pricing." 2003. http://thesis.library.adelaide.edu.au/public/adt-SUA20040201.173938.

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Includes bibliographical references. Electronic publication; full text available in PDF format; abstract in HTML format. In this thesis a switching Black-Scholes model of a price process is proposed. This model is based on the standard geometric Brownian motion (or Black-Scholes) model of a price process. However, the drift and volatility parameters are permitted to vary between a finite number of possible values at known times according to the state of a hidden Markov chain. This type of model has been found to replicate the Black-Scholes implied volatility smiles observed in the market and p

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Liu, Szu-Hsien, and 劉思賢. "MCMC Based Estimation of Markov Switching CARR Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/53145126574468084719.

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碩士<br>國立交通大學<br>財務金融研究所<br>95<br>It is well know that volatility plays an important role in finance. Chou (2005) has proposed the CARR (Conditional Autoregressive Range) model as an alternative volatility model. Markov Switching models are a promising way to capture nonlinearities in time series. Combining the elements of Markov Switching models with CARR model poses severe difficulties for the computation of parameter estimators. Thus, we develop a Bayesian analysis for Markov Switching Conditional Autoregressive Range model (MS-CARR), bases on a Markov Chain Monte Carlo algorithm. The main m

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pei-chun, Chu, and 朱佩君. "Hog Price Forecasting:An Application of Markov-Switching Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/03376289250321686740.

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碩士<br>國立臺北大學<br>統計學系<br>97<br>Hog industry plays an important role in Taiwan agricultural sector, while pork is also major meat consumption in Taiwan. Therefore, it’s very important to forecast related prices of hog. Pervious studies have show that Markov switching model has a better performance than other nonlinear time series models on forecasting for the time series data with structural changes. The study thus uses the Markov switching model to analyze and forecast hog related prices, farm gate prices of hog, retail prices and import prices of pork belly, and import prices of feeding used c

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Hsu, Yi-Fan, and 許一凡. "A regime-switching model of Taiwan stock market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/11070840095257543067.

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47

Chimklai, Suthep. "High-frequency transformer model for switching transient studies." Thesis, 1995. http://hdl.handle.net/2429/8775.

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The objective of this thesis is to develop a simplified high-frequency model for three-phase, two- and three-winding transformers. The model is an extension of the classical 60 Hz model which includes two important factors prevailing in transformers under transient conditions: stray capacitances which cause transformers to resonate and frequency dependent characteristics of the leakage flux and winding resistances due to skin effects. The model is not aimed to represent internal details of the transformer and only lumped circuit parameters are used in order to simulate terminal behaviour

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Yeh, Huei-Hsuan, and 葉惠瑄. "A Multivariate Markov Switching Model for Portfolio Optimization." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/y3ez46.

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碩士<br>國立中央大學<br>統計研究所<br>105<br>This thesis proposes a multivariate Markov switching model with two regimes indicating the bull and bear market, respectively. Following the seminal mean-variance analysis framework \cite{Mark}, we propose a method to calculate the optimal portfolio weight based on the conditional means and variance under specific regimes, and provide a Quasi likelihood estimation for parameter estimation in the proposed Markov switching model. For comparison, we consider the equal-weighted portfolio, the standard mean-variance portfolio, and the mean-variance portfolio with th

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Yu, Shu-Ting, and 喻書庭. "Option Pricing Forecasting under Regime-Switching GARCH Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/57063419804727017083.

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碩士<br>東海大學<br>經濟系<br>98<br>In this article we will present an empirical analysis by comparing different implied volatility results forecast under GARCH Model. For dealing with the structural changes occurring in Taiwan financial market, we apply Taiwan Weighted Stock Index-Option (TXO) to parameter regimes of different probability levels. In addition, Innovation Outliers Model is also considered for reason that the presence of breaking events always impacts market participants’ investment performance. The conclusion of this study is that the Regime-Switching GARCH Option Pricing Model having i

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Fang, Po-Hong, and 方博弘. "Testing exchange rate bubbles using switching regression model." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/40010891638129082560.

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碩士<br>淡江大學<br>產業經濟學系<br>85<br>We test exchange rate - New Taiwan dollar measured relative to U.S. dollar- rational bubbles from Taiwan''s forward exchange rate market reopening till 1996. Using test policy of van Norden (1996) to verify whether the regime switching stochastic bub. Given relative purchasing power parity hold, real exchange ratecoostructed by consumer price index measures relative bubble size. Under thisbubble measure possible misspecified a

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