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Relevant bibliographies by topics / Serial autocorrelation / Dissertations / Theses

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Dissertations / Theses on the topic 'Serial autocorrelation'

Author: Grafiati

Published: 4 June 2025

Last updated: 1 August 2025

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1

Rubilar, Torrealba Rolando Luis. "Portfolio performance : the case of serial autocorrelation." Tesis, Universidad de Chile, 2018. http://repositorio.uchile.cl/handle/2250/147682.

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TESIS PARA OPTAR AL GRADO DE MAGISTER EN FINANZAS<br>The use of the Sharpe ratio for the measurement of the performance of the financial assets is widely generalized, although there is empirical evidence of serious problems with the assumptions behind the distribution functions. This paper explores the conditions under which the Sharpe ratio is efficient to analyze the performance of financial asset portfolios, a situation that is not true in the presence of strong autocorrelation. We demonstrate the effect that autocorrelation has in determining the best means of performance measurement,

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2

Zhao, Tao. "A new method for detection and classification of out-of-control signals in autocorrelated multivariate processes." Morgantown, W. Va. : [West Virginia University Libraries], 2008. https://eidr.wvu.edu/etd/documentdata.eTD?documentid=5615.

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Thesis (M.S.)--West Virginia University, 2008.<br>Title from document title page. Document formatted into pages; contains x, 111 p. : ill. Includes abstract. Includes bibliographical references (p. 102-106).

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3

Liu, Gang. "A New Approach to ANOVA Methods for Autocorrelated Data." University of Toledo / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1461226897.

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4

Paynter, Shayne. "Statistical changes in lakes in urbanizing watersheds and lake return frequencies adjusted for trend and initial stage utilizing generalized extreme value theory." [Tampa, Fla] : University of South Florida, 2009. http://purl.fcla.edu/usf/dc/et/SFE0002807.

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5

Malki, Rajaa. "Autocorrélations partielles empiriques d'une série vectorielle et application à la séparation de sources." Université Joseph Fourier (Grenoble), 1997. http://www.theses.fr/1997GRE10212.

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Cette these est consacree a l'etude des differentes formes d'autocorrelations partielles empiriques d'une serie chronologique vectorielle et a leur application a la separation aveugle d'un melange instantane de sources colorees. Dans la premiere partie, nous etudions les effets de la normalisation sur la definition des matrices d'autocorrelations partielles et sur leur estimation empirique dans le cas bivarie. Nous decrivons les principaux choix de racine carree des matrices de covariance et leurs consequences sur les differentes formes d'autocorrelation partielle theoriques. Nous analysons pa

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6

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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7

Jaskowak, Daniel Joseph. "Detecting Transient Changes in Gait Using Fractal Scaling of Gait Variability in Conjunction with Gaussian Continuous Wavelet Transform." Thesis, Virginia Tech, 2019. http://hdl.handle.net/10919/87393.

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Accelerometer data can be analyzed using a variety of methods which are effective in the clinical setting. Time-series analysis is used to analyze spatiotemporal variables in various populations. More recently, investigators have focused on gait complexity and the structure of spatiotemporal variations during walking and running. This study evaluated the use of time-series analyses to determine gait parameters during running. Subjects were college-age female soccer players. Accelerometer data were collected using GPS-embedded trunk-mounted accelerometers. Customized Matlab® programs were

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8

Lobban, Stacey, and Hana Klimsova. "Demand Forecasting : A study at Alfa Laval in Lund." Thesis, Växjö University, School of Management and Economics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-2127.

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<p>Accurate forecasting is a real problem at many companies and that includes Alfa Laval in Lund. Alfa Laval experiences problems forecasting for future raw material demand. Management is aware that the forecasting methods used today can be improved or replaced by others. A change could lead to better forecasting accuracy and lower errors which means less inventory, shorter cycle times and better customer service at lower costs.</p><p>The purpose of this study is to analyze Alfa Laval’s current forecasting models for demand of raw material used for pressed plates, and then determine if other m

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9

Strohe, Hans Gerhard. "Time series analysis : textbook for students of economics and business administration ; [part 2]." Universität Potsdam, 2004. http://stat.wiso.uni-potsdam.de/documents/zeitr/Time_Series_Analysis_Script2.pdf.

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10

Guarnieri, Jean Paulo. "EFICIÊNCIA DOS GRÁFICOS DE CONTROLE NA DETECÇÃO DE OUTLIERS EM PROCESSOS AUTORREGRESSIVOS E DE MÉDIAS MÓVEIS." Universidade Federal de Santa Maria, 2010. http://repositorio.ufsm.br/handle/1/8171.

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This research approaches the prediction models application along with the usage of residual control charts to evaluate productive processes with characteristics of autocorrelation in its samples. The overall objective was to determine the Individual Measurement Control Charts (IMCC) and the Exponentially Weighted Moving Average (EWMA) efficiency when applied to residuals of ARIMA class, to the outliers detection in autocorrelated processes, as well as identifying the autocorrelation influence and the amplitude of the outlier concerning the charts detection capacity. To each AR(1) and MA(1), 6

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11

Rech, Gianluigi. "Modelling and forecasting economic time series with single hidden-layer feedforward autoregressive artificial neural networks." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2001. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-591.

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This dissertation consists of 3 essays In the first essay, A Simple Variable Selection Technique for Nonlinear Models, written in cooperation with Timo Teräsvirta and Rolf Tschernig, I propose a variable selection method based on a polynomial expansion of the unknown regression function and an appropriate model selection criterion. The hypothesis of linearity is tested by a Lagrange multiplier test based on this polynomial expansion. If rejected, a kth order general polynomial is used as a base for estimating all submodels by ordinary least squares. The combination of regressors leading to the

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12

Karangwa, Innocent. "Comparing South African financial markets behaviour to the geometric Brownian Motion Process." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_4787_1363778247.

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<p>This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more specifically the US dollar/Euro, JSE ALSI Total Returns Index, South African All Bond Index, Anglo American Corporation, Standard Bank, Sasol, US dollar Gold Price , Brent spot oil price, and South African white maize near future. The assumptions underlying the&nbsp<br>Geometric Brownian motion in finance, namely the stationa

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13

Klidzio, Regiane. "MODELOS DE PREVISÃO APLICADOS AO CONTROLE DE QUALIDADE COM DADOS AUTOCORRELACIONADOS." Universidade Federal de Santa Maria, 2009. http://repositorio.ufsm.br/handle/1/8128.

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This research has a topic forecast models applied to industrial productive processes with the objective of verifying the stability of the process through control charts applied to the residues originated from linear and non-linear model. In the presence of autocorrelation data, it was necessary to look for a mathematical model which are produce independent and identically distributed residues. This investigation about the stability of the process goes by the verification of the volatility is influence in the detection of points that are capable to affect the productive process performance. Thi

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14

Vítková, Lucie. "Vodohospodářské řešení zásobního objemu nádrže Vranov." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2020. http://www.nusl.cz/ntk/nusl-409738.

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The current persistent drought and changes in the climate system have raised water managers expert questions about how to manage water resources in the future. The manifestation of climate change in hydrological series and their influence on the magnitude of threats to the storage functions of reservoirs are more often investigated. Already today, long-term shortages of storage capacity in reservoirs lead to the introduction of special manipulations on water structures. The aim of the thesis is to perform the analysis of time series, respectively decomposition of hydrological series average an

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15

Aarts, Geert. "Modelling space-use and habitat preference from wildlife telemetry data." Thesis, St Andrews, 2007. http://hdl.handle.net/10023/327.

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16

Porto, Rogério de Faria. "Regressão não-paramétrica com erros correlacionados via ondaletas." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-27102008-101711/.

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Nesta tese, são obtidas taxas de convergência a zero, do risco de estimação obtido com regressão não-paramétrica via ondaletas, quando há erros correlacionados. Quatro métodos de regressão não-paramétrica via ondaletas, com delineamento desigualmente espaçado são estudados na presença de erros correlacionados, oriundos de processos estocásticos. São apresentadas condições sobre os erros e adaptações aos procedimentos necessárias à obtenção de taxas de convergência quase minimax, para os estimadores. Sempre que possível são obtidas taxas de convergência para os estimadores no domínio da função,

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17

Costa, Maria da Conceição Cristo Santos Lopes. "Optimal alarms systems and its application to financial time series." Doctoral thesis, Universidade de Aveiro, 2014. http://hdl.handle.net/10773/12872.

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Doutoramento em Matemática<br>This thesis focuses on the application of optimal alarm systems to non linear time series models. The most common classes of models in the analysis of real-valued and integer-valued time series are described. The construction of optimal alarm systems is covered and its applications explored. Considering models with conditional heteroscedasticity, particular attention is given to the Fractionally Integrated Asymmetric Power ARCH, FIAPARCH(p; d; q) model and an optimal alarm system is implemented, following both classical and Bayesian methodologies. Taking i

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18

Kamanu, Timothy Kevin Kuria. "Location-based estimation of the autoregressive coefficient in ARX(1) models." Thesis, University of the Western Cape, 2006. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_9551_1186751947.

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<p>In recent years, two estimators have been proposed to correct the bias exhibited by the leastsquares (LS) estimator of the lagged dependent variable (LDV) coefficient in dynamic regression models when the sample is finite. They have been termed as &lsquo<br>mean-unbiased&rsquo<br>and &lsquo<br>medianunbiased&rsquo<br>estimators. Relative to other similar procedures in the literature, the two locationbased estimators have the advantage that they offer an exact and uniform methodology for LS estimation of the LDV coefficient in a first order autoregressive model with or without exogenous regr

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19

Humphries, MA. "Stats, drugs and rock and roll : statistical applications to temporally autocorrelated substance use data." Thesis, 2017. https://eprints.utas.edu.au/27324/1/Humphries_whole_thesis_ex_pub_mat.pdf.

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The use of illicit drugs is an area of interest across a broad range of industries and fields including public policy, law enforcement and physical and mental health. Both the field of measuring drug use in the community and understanding its cognitive impacts are therefore the subject of constant research, development and innovation. This thesis examines statistical applications to temporally autocorrelated data in both the areas of drug use extent and cognitive impact. Specifically, sampling strategies for ascertaining drug use extent from waste water through the utilisation of patterns in w

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20

Γαζή, Σταυρούλα. "Γραμμικά μοντέλα χρονοσειρών και αυτοσυσχέτισης". Thesis, 2015. http://hdl.handle.net/10889/8633.

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Ο σκοπός αυτής της μεταπτυχιακής εργασίας είναι διπλός και συγκεκριμένα αφορά στη μελέτη του απλού / γενικευμένου πολλαπλού μοντέλου παλινδρόμησης όταν σε αυτό παραβιάζεται μια από τις συνθήκες των Gauss-Markov και πιο συγκεκριμένα όταν, Cov{ε_i,ε_j }≠0, ∀ i≠j και στην ανάλυση χρονοσειρών. Αρχικά, γίνεται συνοπτική αναφορά στο απλό και στο πολλαπλό γραμμικό μοντέλο παλινδρόμησης, στις ιδιότητες καθώς και στις εκτιμήσεις των συντελεστών παλινδρόμησης. Περιγράφονται οι ιδιότητες των τυχαίων όρων όπως μέση τιμή, διασπορά, συντελεστές συσχέτισης κ.α., εφόσον υπάρχει παραβίαση της ιδιότητας της σ

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21

Αντωνόπουλος, Γρηγόριος. "Ανάλυση μοντέλων χρονολογικών σειρών". Thesis, 2008. http://nemertes.lis.upatras.gr/jspui/handle/10889/1696.

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Στο πρώτο κεφάλαιο εισάγουμε τις βασικές έννοιες της διπλωματικής εργασίας. Αναφέρουμε τους ορισμούς και τον σκοπό της ανάλυσης χρονολογικών σειρών. Επίσης εισάγονται ορισμένα βασικά χαρακτηριστικά των χρονολογικών σειρών όπως η έννοια της στασιμότητας και της συνάρτησης αυτοσυσχέτισης και αναφέρουμε τις τρεις βασικές κατηγορίες στοχαστικών υποδειγμάτων χρονολογικών σειρών που αφορούν στις στάσιμες στοχαστικές διαδικασίες, οι οποίες θα αναλυθούν στα επόμενα κεφάλαια. Στο δεύτερο κεφάλαιο αναλύουμε τα αυτοπαλίνδρομα υποδείγματα, πρώτης, δεύτερης και γενικά p τάξης. Αναφέρονται παραδείγματ

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22

Agbor, Ayuk Sally. "Using GIS to map the spatial and temporal occurrence of cholera epidemic in Camaroon." Master's thesis, 2014. http://hdl.handle.net/10362/11547.

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Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies<br>Globally, Cholera has been a major infectious disease due to its intercontinental, environmental and cultural factors. This study focused on evaluating the climatic and fresh water proximity factors influencing Cholera epidemic in Cameroon. To this effect, Cholera and climatic datasets in 2004, 2010, 2011 and 2012 to June 2013 were collected and mapped. Both high and low rainfall and temperature extremes were designated as promoters of V. Cholerae development and

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23

Lain, Michal. "Robustní odhady autokorelační funkce." Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-415917.

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The autocorrelation function is a basic tool for time series analysis. The clas- sical estimation is very sensitive to outliers and can lead to misleading results. This thesis deals with robust estimations of the autocorrelation function, which is more resistant to the outliers than the classical estimation. There are presen- ted following approaches: leaving out the outliers from the data, replacement the average with the median, data transformation, the estimation of another coeffici- ent, robust estimation of the partial autocorrelation function or linear regression. The thesis describes th

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24

Ursu, Eugen. "Contributions dans l'analyse des modèles vectoriels de séries chronologiques saisonnières et périodiques." Thèse, 2009. http://hdl.handle.net/1866/6539.

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25

Látová, Lenka. "Analýza a prognóza závodní výkonnosti elitních závodníků a závodnic na mistrovství světa ITU v letech 1989-2016 v olympijském triatlonu." Master's thesis, 2017. http://www.nusl.cz/ntk/nusl-367626.

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Title: Analysis and prognosis of elite male and female triathletes performance at the ITU World Triathlon Championships in 1989-2016 in Olympic triathlon Objectives: To analyse male and female performance in individual parts of the triathlon (swim, bike, run) as well as the whole race performance during the years 1989 - 2016. To determine the performance prediction of racers using the time series analysis for Olympic triathlon in ITU World Triathlon Championship in 2028. Methods: For statistical data processing we will apply the time series analysis using SPSS Statistics 22 software. We will t

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