To see the other types of publications on this topic, follow the link: Simulační metoda Monte Carlo.
Dissertations / Theses on the topic 'Simulační metoda Monte Carlo'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 49 dissertations / theses for your research on the topic 'Simulační metoda Monte Carlo.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Zárubová, Radka. "Simulační model vývoje penzijního připojištění." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-73034.
Full textAbstract:
First, this thesis introduces the system of pension insurance with state contribution including its proposed amendment made in 2009. Its aim is to forecast and to analyse expected development in pension insurance with state contribution. The main part of the thesis is focused on the simulation model of this insurance product. Within this model, annual interest on contributions is randomly generated and the amount of money a client of a hypothetical pension fund would receive is calculated. To facilitate this simulation, I programmed and attached (as a part of the thesis) an application in VBA language which enables to run this simulation in the preset number of replications. The thesis gives four examples of simulation experiments -- a simulation of pension insurance, and a simulation of pension saving, both versions both with and without contributions made by client's employer. The comparison of the expected efficiency of the both systems from the point of view of the government and a client is drawn at the end of the thesis.
2
Šemnická, Eliška. "Simulační metody a řízení rizika ve firmě." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-81884.
Full textAbstract:
Project management is a field in which risk management can be applied. There must be a business case for any project to recognize its benefits for the company. A business case generally uses point estimation of input parameters and evaluates financial criteria for individual variants such as the net present value, pay-back period or internal rate of return. A simulation enables to design a model for the business case analysis while making use of the probability distribution. The model then turns from a deterministic into a stochastic one. The Monte Carlo simulation method, calculating a large number of variants, is employed in projects. The simulation can identify major risk factors, assess their probability and the significance of the impact on the evaluated financial criterion. The analysis outputs suggested by the simulation are the fundamentals of proper risk management. The Crystal Ball simulation software was employed for the calculation in this thesis.
3
Pospíšilová, Barbora. "Modelování a simulace rizik investičních záměrů." Doctoral thesis, Vysoké učení technické v Brně. Fakulta stavební, 2015. http://www.nusl.cz/ntk/nusl-234563.
Full textAbstract:
This doctoral thesis deals with modelling and simulation of investment projects and linking risk management with new trends in construction industry. Process of balancing of acceptable risk level and investment costs is really complex and is influenced by several uncertainties. Simulation methods are able to model future scenarios of project development and quantify impact of risk factors. The aim of the doctoral thesis is to find an optimal methodology for risk analysis during decision-making process using simulation methods. The methodology links modeling by simulation method Monte Carlo with CBA, with risk analysis respectively. The aim is to reach more effective process of planning of investment projects. An accurate project plan in preinvestment phase will influence effectiveness of life cycle costs significantly. This is proved also by BIM methodology which works on base of transfer and storage of actual and complete information about investment plan within its whole lifecycle. Expected output of the thesis is effective application of simulation methods in risk prediction for modeling of outputs of investment project. Data from model are useful for decision making process, risk management, controlling and postaudit of investments. Projects can be evaluated by their complex benefits and quality with respect to sustainability.
4
Paseka, Stanislav. "Analýza nejistot hydrologických a provozních parametrů na vodohospodářské řešení zásobní funkce nádrže." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240316.
Full textAbstract:
The aim of the thesis is to introduce the concept of Monte Carlo method for incorporating the uncertainties into the all hydrological and operational data inputs, which are needed to design and operation of large open water reservoir. Incorporating uncertainties into data inputs during calculation of reservoir storage capacity, then the consequent active conservation storage capacity is loaded by uncertainties. In the same way the values of outflow water from reservoir and hydrological reliability are affected by these uncertainties as well. For these kind of calculations the reservoir simulation model has been used, which simulate behavior operation of reservoir and is able to evaluate the results of simulations and help to reduction risk of storage capacity failure, respectively reduction of water shortages during reservoirs operation during low water and dry periods.
5
Adámek, Ondřej. "Ukazatele spolehlivosti v podmínkách různých typů distribučních sítí vn." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2012. http://www.nusl.cz/ntk/nusl-219387.
Full textAbstract:
The aim of my thesis was to clarify the basic concepts and calculations in the area of reliability of power distribution, as an important element for increase the quality of supplied electric power, this issue we examined in Chapter 3. In the previous chapter, we explained the fundamental solution of MV networks in the Czech Republic and Germany. In Chapter 4 we explained the difficulties in evaluating their values and comparisons between distributional companies, which follows that there should be a uniform procedure for the storage and collection of data for power outages. And the individual distribution companies should follow this standard.
6
Špaček, Miroslav. "Scénářové a simulační přístupy v analýze rizika investičních projektů." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-77858.
Full textAbstract:
Dissertation deals with the analysis of investment projects. Specifically it is focused on the utilization of probability approaches to analysis of investment projects. These approaches are represented by scenario analysis and Monte Carlo simulation.The treatis contains critical comparison of both approaches and offers the set of recommendation to the application of both methods. The inherent part of this work is postaudits analysis which are accompanied by the set of recommendation as well.
7
Appel, Martin. "Využití optimalizačních metod pro odhad parametrů simulačních modelů." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2016. http://www.nusl.cz/ntk/nusl-254435.
Full textAbstract:
This thesis deals with parameters estimation search problematics. Newly-made software is proposed within a frame of this work and it replaces and supplements the Parameter Estimation tool, which is a part of Matlab toolbox. New software proposes suitable visualisation and new functions, which may lead to better solutions than build-in tools in Matlab.
8
Felcman, Adam. "Value at Risk: Historická simulace, variančně kovarianční metoda a Monte Carlo simulace." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-124888.
Full textAbstract:
The diploma thesis "Value at Risk: Historical simulation, variance covariance method and Monte Carlo" aims to value the risk which real bond portfolio bears. The thesis is decomposed into two major chapters: Theoretical and Practical chapters. The first one speaks about VaR and conditional VaR theory including their advantages and disadvantages. Moreover, there are described three basic methods to calculate VaR and CVaR with adjustments to each method in order to increase the reliability of results. The last chapter brings results of VaR and CVaR computation. Many graphs, tables and images are added to the result section in order to make the outputs more visible and well-arranged.
9
Kučírek, Vojtěch. "Analýza spolehlivosti systémů metodou Monte Carlo." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2018. http://www.nusl.cz/ntk/nusl-376990.
Full textAbstract:
Master’s thesis is focused on the technical systems reliability analysis. The first part of the thesis contains the description of the most commonly used reliability parameters and random variable probability distributions. Reliability of a human operator is described in the separate chapter. In the next part of the thesis are mentioned different types of reliability diagrams and methods of reliability analysis. Reliability analysis using Monte Carlo approach is described in the extra chapter. In the thesis are described several software tools, which can be used for systems reliability analysis. Design of PLC system with a human operator is done in the thesis. Reliability analysis using Monte Carlo approach is done on the designed PLC system. Results of Monte Carlo approach are compared with analytically calculated values and with values from reliability software.
10
Gerold, Petr. "Zhodnocení investic s využitím metody Monte Carlo v programu Lumina Analytica." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-193755.
Full textAbstract:
This thesis focuses on investment, especially on the development of individual investments. It is concerned with stocks, bonds, mutual funds, saving accounts, real estates, commodities. The main objective is to create a model in Lumina Analytica. Interactive model should provides users (according to their filled values) the most likeliest appreciation of the selected portfolio investments. Supportive part of this thesis is an investment questionnaire. It obtains simplifield investment profile to potential investor and also a recommendation to which types of investments should investor invest. The purpose is to connect the subjective inestor view (the relationship of risk, return and liquidity) on investments with the real behavior of the individual investments with the help of analytical tools.
11
Novotný, Marek. "Programy pro výpočet nejistoty měření metodou Monte Carlo." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2015. http://www.nusl.cz/ntk/nusl-221220.
Full textAbstract:
The thesis deals with establishing uncertainties of indirect measurements. It focuses primarily on random number generators in software enabling the calculation of mea-surement uncertainties using Monte Carlo. Then it focuses on the uncertainty calculati-on indirect measurement as the Monte Carlo method and the classical numerical met-hod. The practical part deals with the verification of randomness generators numbers contained in various softwares. It also deals with the determination of uncertainties indi-rect current measurements by both above-mentioned methods and then comparing and evaluating the values achieved.
12
Krupa, Martin. "Porovnanie programových produktov pre simuláciu a možnosti ich využitia." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15747.
Full textAbstract:
Abstract (eng): This diploma paper compares available software for simulations. These are MATLAB, WITNESS, SIMUL8, SIMPROCESS and CRYSTAL BALL. In the first part, the dynamic simulations are explained, its methodic, purpose, areas of implementation and after that it describes the simulation of Monte Carlo type. These are the basic types of simulations used by programs mentioned in this paper. After a short introduction follows detailed description of the system requirements, user interface and the principles of working with these programs, that contains also a definition of basic function blocks. This paper also describes another important information like price, available licenses and in the attachment the pictures of the programs interface. The next part of my paper is based on analyze of observed articles, which concern this special area of interest. I try to describe the usage of this software on a market, area of application or eventually a type of simulation. The information from data assimilation are ordered in transparent tables and visualized on a graphs and diagrams. At the end is the final summary, which I believe will be beneficiary for the readers.
13
Brlica, Pavel. "Stanovení nejistoty měření nano-CMM." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2018. http://www.nusl.cz/ntk/nusl-377646.
Full textAbstract:
The topic of this master thesis is the issue of measurement uncertainty of nano-CMM, specifically SIOS NMM-1 machine. Theoretical part of the thesis consists of basic measurement uncertainty definitions, description of approaches to CMM measurement uncertainty and differences between classical CMM and nano-CMM. For measurement uncertainty calculation of nano-CMM, two method are chosen and adapted – substitution method and Monte Carlo method. These are applied in practical part for measurement uncertainty calculation of SIOS NMM-1 machine. Part of the practical part is performed measurement on machine in laboratory at the Czech Metrology institute in Brno. The outcome of this thesis is determination of measurement uncertainty of SIOS NMM-1.
14
Krzyžanek, Michal. "Ekonomické hodnocení a analýza rizika stavebních technologií." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-11046.
Full textAbstract:
Thesis is intent on economic analysis and risk analysis building technology, used at reducing energy costingness. Basic goal of this thesis is evaluating selection energy - saving building technology for concrete investment project at authority two principles. First principle is complying with time influence namely how in view of financial resources, so in view of price energy. Second principle is consequential complying with risk and uncertainties particular factors. In case of these thesis it means simulation crucial factors as a stochastic model. To these purposes will be used method Monte Carlo. Theoretical part of thesis be engaged in characterization economics analyses and risk analyses investment project. Information betray into theoretic parts will applied on concrete investment project, reconstruction residential building using energy - saving technology that contribute by to decrease energy costingness of all building. Fundamental of the investment project is reducing costs on heat a hot water. Goal of practical parts this thesis is give to data for decision making house owners about reconstruction house, regarding particular building technologies.
15
Vohlídal, Jiří. "Klasické a nově navržené popisné charakteristiky: porovnání výběrových vlastností na základě Monte Carlo simulace." Doctoral thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-1727.
Full textAbstract:
Na základě Monte Carlo simulace bylo provedeno porovnání estimátorů klasických a některých nově navržených měr variability, relativní variability, šikmosti a kurtozy. Z celkem 40 různých populací bylo pořízeno vždy 16 000 výběrů o rozsahu n = {7; 15; 23; 31; 47; 63; 100; 200; 350; 500; 1000}. Z každého výběru byly vypočteny hodnoty estimátorů měr založených na momentech, kvantilech, L momentech a jejich modifikacích a robustních měr založených na mediánu funkce lineární kombinace pořádkových statistik. Na základě experimentu bylo provedeno porovnání výběrových vlastností jednotlivých estimátorů z hlediska variability, vychýlení a rychlosti konvergence jejich výběrových rozdělení k normalitě. U estimátorů vybraných charakteristik byla dále na základě experimentálně odhadnuté průměrné síly testu posouzena vhodnost jejich použití jako testového kritéria při testu o rozdělení, z něhož výběr pochází. Zároveň byla porovnána síla závislosti estimátorů nově navržených charakteristik s estimátory momentovými s cílem posoudit, zda je možné danou charakteristiku skutečně považovat za vhodnou alternativu charakteristiky momentové. Výsledky ukazují, že estimátory momentových měr jsou vyhovující pro popis souboru pouze při výběrech z populací nepříliš odlišných od normálního rozdělení. S rostoucí odlišností od normality rychle roste relativní variabilita i vychýlení jejich estimátorů a projevují se různé anomálie v jejich chování. Vhodnou alternativou k mírám založeným na klasických momentech i kvantilech by se mohly stát míry založené na L momentech, jejichž estimátory vykazují ve většině případů nejlepší výběrové vlastnosti a zároveň vykazují vysokou míru závislosti s hodnotami estimátorů momentových charakteristik. Modifikace L-momentů, tzv. LQ- a TL-momenty, nepřinášejí oproti mírám založeným na L-momentech žádné zlepšení, v některých ohledech vykazují výrazně horší vlastnosti.
16
Štolc, Zdeněk. "Metody výpočtu VaR pro tržní a kreditní rizika." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4682.
Full textAbstract:
This thesis is focused on a theoretical explication of the basic methods of the calculation Value at Risk for the market and credit risk. For the market risk there is in detail developed the variance -- covariance method, historical simulation and Monte Carlo simulation, above all for the nonlinear portfolio. For all methods the assumptions of their applications are highlighted and the comparation of these methods is made too. For the credit risk there is made a theoretical description of CreditMetrics, CreditRisk+ and KMV models. Analytical part is concerned in the quantification of Value at Risk on two portfolios, namely nonlinear currency portfolio, which particular assumptions of the variance -- covariance method a Monte Carlo simulation are tested on. Then by these methods the calculation of Value at Risk is realized. The calculation of Credit Value at Risk is made on the portfolio of the US corporate bonds by the help of CreditMetrics model.
17
Winter, Lukáš. "Ocenění firmy podnikající v chemickém průmyslu." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-205633.
Full textAbstract:
The aim of the thesis is to valuate a company operating in the chemical industry using the income valuation approach as of January 1, 2015. At first, the company valuated will be analyzed from the perspective of strategic and financial analysis. Subsequently an opinion on the future prospects of the company will be issued, and provided that all the criteria needed for the usage of discounted cash flow methods are met, the company will be valuated using Discounted Cash Flows method, Economic Value Added method and Capitalization of earnings method. Book value method will be used as an additional method of valuation. In conclusion, a summary valuation of the company will be carried out, which will be subjected to a risk analysis using Monte Carlo simulation method.
18
Kučera, Ondřej. "Restrukturalizace skladu ve velkoobchodním podniku." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199748.
Full textAbstract:
This Thesis aims to conduct analysis and reengineering of work methodology and warehouse layout in specific wholesale company. Thesis is divided into phases. In first phase the suitability of existing warehouse is reviewed. There will be evaluated hypothesis that existing warehouse is dimensionally insufficient, with incorrect layout and insufficient intake and expedition area. In second stage, there are created possible variants of reengineering and those are regarding to the conditions of uncertainty analyzed with Monte Carlo method.
19
Kánová, Eliška. "Zhodnocení běžných účtů metodami operačního výzkumu." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-194229.
Full textAbstract:
The aim of this diploma thesis is a selection of the best current account. This thesis describes how the bank system functions in the Czech Republic. The characteristics of the banking institutions which provide current accounts and the characteristics of the compared current accounts are presented in this thesis. The Monte Carlo method and the methods multi-criteria assessment of variants are described theoretically. The selection is based on the methods of the operational research. The first part of the practical chapter focuses on the Monte Carlo method which selects the best account by charges for different types of clients. The methods of multi-criteria assessment of variants, specifically methods TOPSIS and PROMETHEE, are also applied. The calculations are carried out by add-in SANNA for MS Excel. In conclusion, both approaches to solution are compared and the current account according to the preferences of each client type is recommended.
20
Král, Lukáš. "Aplikace metod rizikového managementu při rozhodování o vstupu společnosti ComAp na trh hybridních systémů." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-162627.
Full textAbstract:
Decision making is one of the primary management activities, sometimes even referred to as the core of management. In order to survive in today's turbulent and competitive environment, the company places even greater demands on managers who control the firm through their decisions. Practice shows that the risk during their decisions is often underestimated, in many cases even ignored, threatening the business prosperity of companies. Such an unfavourable situation was the main reason why the author of this work decided to apply risk management methods for solving a decision problem in practice. For this purpose, author cooperated with company called ComAp, which is nowadays considering expanding its focus and eventually enter into new markets. The aim of this study is to assess the possibility of ComAp entering the market of hybrid systems and by using the methods of risk management to recommend a suitable alternative. Another objective of this work is to evaluate the contribution of the Monte Carlo method for solving the problem possible usage of this tool in ComAp in future.
21
Hašek, Jiří. "Riziková analýza v projektech dopravních staveb." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2019. http://www.nusl.cz/ntk/nusl-392166.
Full textAbstract:
The subject of the master’s thesis is a risk analysis in transport infrastructure projects. In the theoretical part, I deal with public sector, life cycle of the project, evaluation of public projects, conception of risk, clasification of risk, risk analysis and valuation of the risk. In the practical section I process risk analysis of the project in transport infrastucture.
22
Kouklík, Michal. "Zhodnocení investičního záměru dostavby JETE." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199563.
Full textAbstract:
The thesis deals with the project of the construction of the Temelin Nuclear Power Plant, as an optimal new production source of electrical energy to ensure the majority of the coverage of the growing electric consumption in the Czech Republic and to ensure the state energy independence in the future. The main part of the thesis is dedicated to the methods of strategic investments evaluation. Emphasis is placed on the dynamic methods, which are also working with the factors of time and risk, which are relevant in this case, because the project time horizon is 70 years. The investment project is evaluated from the perspective of owners, as well as from the overall perspective of owners and creditors. The Monte-Carlo method was implemented into the model to support the decision-making process and to move closer to reality. The method assigns the relevant distribution division to the model input values. The output is the set of available values, and the probability of their occurrence. The main thesis objective lies in the decision of the decision maker with a neutral attitude to risk, whether accept the investment or not.
23
Cuesta, Cordoba Gustavo Andres. "Využití modelů neuronových sítí pro hodnocení kvality vody ve vodovodních sítích." Doctoral thesis, Vysoké učení technické v Brně. Fakulta stavební, 2013. http://www.nusl.cz/ntk/nusl-392295.
Full textAbstract:
A water distribution system (WDS) is based in a network of interconnected hydraulic components to transport the water directly to the customers. Water must be treated in a Water Treatment Plant (WTP) to provide safe drinking water to consumers, free from pathogenic and other undesirable organisms. The disinfection is an important aspect in achieving safe drinking water and preventing the spread of waterborne diseases. Chlorine is the most commonly used disinfectant in conventional water treatment processes because of its low cost, its capacity to deactivate bacteria, and because it ensures residual concentrations in WDS to prevent microbiological contamination. Chlorine residual concentration is affected by a phenomenon known as chlorine decay, which means that chlorine reacts with other components along the system and its concentration decrease. Chlorine is measured at the output of the WTP and also in several considered points within the WDS to control the water quality in the system. Simulation and modeling methods help to predict in an effective way the chlorine concentration in the WDS. The purpose of the thesis is to assess chlorine concentration in some strategic points within the WDS by using the historical measured data of some water quality parameters that influence chlorine decay. Recent investigations of the water quality have shown the need of the use of non-linear modeling for chlorine decay prediction. Chlorine decay in a pipeline is a complex phenomenon so it requires techniques that can provide reliable and efficient representation of the complexity of this behavior. Statistical models based on Artificial Neural Networks (ANN) have been found appropriated for the investigation and solution of problems related with non-linearity in the chlorine decay prediction offering advantages over more conventional modeling techniques. In this sense, this thesis uses a specific neural network application to solve the problem of forecasting the residual chlorine
24
Langr, Jan. "Ocenění společnosti Rodinný pivovar BERNARD a.s." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-124926.
Full textAbstract:
The aim of the thesis is to determine the value of equity of the company Rodinný pivovar BERNARD a.s as of July 31st, 2012. To assess the value of the company the DCF Entity approach is used. The thesis itself is divided into two separate parts. The first contains the theoretical basis for company valuation and general description of methods and procedures that are used. The second part introduces the business, analyses its relevant market and macro environment and sets the prognosis for its future development. This prognosis is essential to set up a financial plan which is then used to determine the value of the company for its owners. The final supplementary chapter describes the possibilities of using Monte Carlo simulation as an extension to the classical methods of company valuation.
25
Zapletal, Tomáš. "Ocenění společnosti ZAPA beton a.s." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-71770.
Full textAbstract:
The aim of this Master's thesis was to find out enterprise value dated 1.1. 2011, characterise risk connected with this value, for example as a variability of possible results and to judge how the enterprise was affected by the economic crises. I used method discounted cash flow in variant FCFF to calculate enterprise value. I used regression analysis as the basic method to predict the most significant value generator, sales, then I adjusted the results according to the predictions published in qualitative studies of the Czech building industry. The demand for enterprise production was reduced as a result of the economic crises; it enforced production reduction and led to decline in sales and profit in years 2009 and 2010, deteriorating of rentability indicators and long-term assets turnover. I found out the enterprise value with the help of software Crystal Ball also by the stochastic model. In this case I regarded the factors influencing the enterprise value as random quantities. Variability of the possible results ranges between upper and lower limit, i.e. between 1,8 and 3,2 billion crowns.
26
Kracík, Adam. "Matematický model rozložení tvrdosti na opěrném válci." Doctoral thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2011. http://www.nusl.cz/ntk/nusl-233957.
Full textAbstract:
The aim of this work is to get the best detailed knowledge about hardness distribution in first 60 mm below the surface of backing roll. To this end, a method for obtaining multi-dimensional polynomial regression was developed and then a computer program for its processing was written.Way of finding suitable regression surfaces and their subsequent interpretation, is a pivotal part of this work.
27
Hájek, Jan. "Ocenění společnosti König-Porzellan Sokolov, spol. s r.o." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-201826.
Full textAbstract:
This diploma thesis, entitled as evaluation of König-Porzellan Limited company, Sokolov, Czech Republic, aims to determine the objectified value of the König-Porzellan, Limited company to the date of December 31, 2015. This research is proceed especially for the needs of management and owners of the company. The work is divided into four main parts. The first part consists of the introduction, setting out the objectives and main preconditions for the creation of the work, as well as theoretical and methodological part which presents the methodology for individual instruments involved in the work. This is followed by a practical part, which contains the presentation of the award-winning company, defining the company's position in the market through strategic analysis. The economy aspect of the company will be represented by financial analysis. After compilation of the financial plan for the period 2015 - 2020 to approach to the actual evaluation of the company using the yield discounted cash flow method variant FCFF. The total value of the company to date of December 31, 2015 is 105 177 CZK. This value is further analyzed by Monte Carlo simulations.
28
Slouka, Petr. "Podnikatelský plán." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2011. http://www.nusl.cz/ntk/nusl-223159.
Full textAbstract:
This master’s thesis contains the basis for the business plan of the project – real property sales. An evaluation of the strong and weak points of the project along with the elaboration of a financial and time analysis result from the thesis. Furthermore, the thesis offers a proposal for the most convenient way to continue in this business intention. A particular stress was placed on the cost estimate using the Monte Carlo method.
29
Semerád, Jiří. "Simulace ukazatelů spolehlivosti městské distribuční sítě 22kV pro různé konfigurace vývodů." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2011. http://www.nusl.cz/ntk/nusl-219332.
Full textAbstract:
This work deals with simulation of the urban distribution network reliability. For the evaluation of these networks are used indicators of reliability which are described in the first part. Next methods of analysis and posibilities for capabilities reliability simulation of distribution network are described. The third part deals with the real value of the reliability of electricity distribution in Italy. These values are presented in tables and graphs. The last part is a simulation of the urban network. Effect of different configurations on the reliability of electricity supply are studied. Sensitivity analysis is done for failure rate and proportional of the number of sampling points; the simulated values are fiven in tables and graphically.
30
Nováková, Zachovalová Věra. "Přesná měření střídavých proudů." Doctoral thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2013. http://www.nusl.cz/ntk/nusl-233597.
Full textAbstract:
In recent years precision measurement of alternating currents goes through large progress especially because of improvements in metrology of electric power, which is related to reduction of electricity consumption. Therefore, more precise measurement of electric energy, power and power quality is required. Measurement range is extending and number of measured frequency points is growing up to 100 kHz. Development of current to voltage transducer with normalized output voltage (0,5 V - 1 V) is in progress because of their easy integration in different measuring systems.. From big area of alternating current metrology this dissertation focuses on development of improved cage shunts for measurement of alternating currents in range 10 mA - 100 A, 10 Hz - 100 kHz. Main objective of this dissertation is to develop theoretical model of existing cage shunts, which will assist design of new improved cage shunts construction. In this dissertation the analytical model of CMI’s cage shunts was established, based on calculating of trans-impedance from cascade matrix of passive two-port which is representing the shunt. Trans-impedance can be used for AC-DC difference and phase error calculation, which are two basic parameters of shunts. Uncertainty analysis of the model was done by means of Monte Carlo method. Next, this dissertation also concentrates on suitable measurement methods of phase error, AC-DC difference, and power a temperature coefficient of resistance. These measurements method were used for calibration of existing CMI’s cage shunts and so the model’s verification was made. Finally, theoretical optimization of existing CMI’s cage shunts constructions and theoretical designs of 20A, 50A and 100A shunts were done using sensitivity analysis results.
31
Szarková, Lucia. "Podnikateľské riziká v poisťovníctve a ich kvantifikácia." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-192614.
Full textAbstract:
Diploma thesis Business risks in insurance and their quantification describes the business risks to which insurance companies are exposed in their activities. Thesis is focused on market risk and quantification of market risk in insurance companies. It includes determination of the specifications for the activities of insurance companies, regulation and characteric of business risks in insurance. Large part of the thesis deals with the method of Value at Risk as a tool to measure market risk as well as individual methods to calculate it. In the conclusion, thesis describes the processes of quantification of market risk in Generali PPF Holding and in Česká poisťovňa, which gives a practical insight into the issues of market risk in insurance companies.
32
Buba, Ondřej. "Praktické testování metod analýzy spolehlivosti v konkrétních obvodových aplikacích." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2016. http://www.nusl.cz/ntk/nusl-241037.
Full textAbstract:
This diploma thesis deals with the method which are useful for analysis of reliability in specific circuit applications. It also deals with fault analysis in frequency, time and DC domain. Methods for these domains are described in other chapter of this thesis. Finally methods for diagnostics analog circuit are evaluated based on simulation and practical testing of selected methods.
33
Šrámek, Jan. "Stanovení přesnosti měření v nanometrologii." Doctoral thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-409079.
Full textAbstract:
The presented doctoral thesis deals with measurements of extremely small sizes in nanometrology using a touch probe, which constitutes a part of a three-coordinate measuring system. It addresses a newly developed method of exact measurements in nanometrology by touch probes. The aim of this work was to expand the measurement options of this device and design a methodology proposal for the measurement of small parts, including the determination of accuracy of measurement of this device when used in nanometrology. The work includes the new methodology for the calculation of uncertainty of measurement, which constitutes a keystone in determining the accuracy of measurement of a accuracy three coordinate measuring system (hereinafter only nano-CMM). The first part of the doctoral thesis analyzes the present situation in the area of evaluation of accuracy of measurement in very accurate length measurements. It defines and describes individual methods implemented in the determination of accuracy of measurement on the instrument nano-CMM. A great emphasis is placed on the methodology of the measurement uncertainty, which draws from the author’s experience as a metrologist working in the laboratories of the Department of Primary nanometrology and technical length, Czech Metrology Institute Brno (hereinafter only CMI Brno). The second part of the doctoral thesis focuses on the determination of accuracy of length measurement in nanometrology, using a large set of measurements that were carried out under the reproducibility and repeatability conditions. There is also described and tested a model procedure utilizing the Monte Carlo method to simulate the measuring system nano-CMM in order to extent the newly created methodology of the measurement of uncertainty using a touch probe on the instrument nano-CMM. A substantial part of this doctoral thesis provides a detailed evaluation of results obtained from experiments that were executed under the repeatability and reproducibility conditions, especially for the purposes of the determination of the uncertainty of measurement. In this doctoral thesis, the uncertainty of measurement is chosen to quantify the accuracy of measurement of the instrument nano-CMM. The final part of this thesis summarizes the knowledge obtained during the scientific research and provides its evaluation. For the methodology used to determine the accuracy of measurement in nanometrology, it also outlines the future development in the area of scientific research, including the practical use in metrological traceability and extremely accurate measurements for customers. Furthermore, it deals with the possible use of other scanning systems compatible with the instrument nano-CMM.
34
Sokl, Antonín. "Návrh modernizace přístroje Mesing pro kalibraci koncových měrek nad 100 mm." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-402561.
Full textAbstract:
The aim of this thesis, which deals with the modernization of the Zeiss/Tesa device, which is designed to calibrate the gauge blocks, is to provide a detailed analysis of the current state of the art of this instrument and to search for gauge blocks calibration requirements. The introductory part of the thesis is devoted to the definition of basic metrological concepts and terms. One of the separate chapters contains a elaborate description of the Zeiss/Tesa device and the possibilities of its modernization. A qualified estimation of the measurement uncertainty is determined in the practical part of the thesis and a simulation of the measurement uncertainty is performed using the Monte Carlo method. The final chapter contains the technical documentation of the proposed modernization.
35
Šimík, Marcel. "Specifika nastavení řešiče v systému Ansys Fluent pro nízké tlaky v EREM." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2017. http://www.nusl.cz/ntk/nusl-319633.
Full textAbstract:
This thesis is focused on electron microscopy which issue is discussed at the beginning of work. The main attention is dedicated to the Environmental electron microscope, especially the differentially pumped chamber, which the thesis deals with. There is a production of an experimental chamber for analysis of shock waves on going therefore main goal of this thesis was to analyze the flow pattern in this chamber. Using the Ansys Fluent program, simulations of the characteristic flow that arises from the pumping of the vacuum chambers namely the ultrasonic flow at low pressures on which the most suitable turbulent module was applied as well as the degree of discretization was performed. The final analysis of this flow pattern is primarily focused on the localization of the shock wave which experimental evidence is to be lodged by shadow optical method as a part of the new concept of the chamber. The basis for the simulation of the chamber was taken over by Dr. Danilatos, with which the results were compared.
36
Dědič, Martin. "Predikce chaotických časových řad." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-19158.
Full textAbstract:
This thesis focuses on possibility of chaotic (specially economic) time-series prediction. Chaotic time-series are unpredictable in long-term due to their high sensitivity on initial conditions. Nevertheless, their behavior should be more or less predictable in short-term. Goal of this thesis is to show, how much and if any prediction, is possible by non-linear prediction method, and try to reveal or to reject presence of chaotic behavior in them. Work is split into three chapters. Chapter One briefly introduces chosen important concepts and methods from this area. In addition, to describe some prediction methods, there are outlined which indicators and methods are possible to use in order to find possibilities and boundaries of this prediction. Chapter Two is focused on modifications of FracLab software, which is used for create this prediction. Last chapter is experimental. Besides the description of examined time-series and methods, it includes discussion of results.
37
Turza, Vladimír. "Ocenění společnosti PEBAL s.r.o." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-262309.
Full textAbstract:
The thesis aims to determine the equity value of the company PEBAL s. r. o. as of January 1st 2016. It is not separated into theoretical and practical part, because it is considered as fake appraisal of an expert. That is the reason why the whole thesis is practical with occasional theoretical background explanations. In the first part there is basic information provided about the appraised company along with its characteristics. Then financial analysis is carried out which will provide an overall picture of financial health of the company along with determination of competitors. Followed by strategical analysis which deals with the market as whole and predicts its future development as well as development of sales of the valued company. The next part consists of analysing and predicting value drivers and the overall financial plan. Result of the last part is the valuation itself applying discounted cash flow (DCF) method using discounts rate calculated earlier in the chapter. The final chapter also contains market valuation using method of comparable companies along with Monte Carlo simulation, that provides probability distribution of the value of the company.
38
Podolský, Jiří. "Ocenění společnosti Únětický pivovar a.s." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-192734.
Full textAbstract:
The thesis aims to determine the value of equity of the company Únětický pivovar, a. s. as of January 1st, 2014. It does not have a theoretical and practical part as usual. It is a complex unit, in which the concepts and methods are explained straight away. The paper is divided into five main parts. Introduction of company profile is followed by strategic analysis, which deals with analysis of the external potential of beer market and internal potential of the company. The next part, financial analysis, gives a picture of financial results, health and stability of the company and other comparable breweries. The output of the chapter Value drivers is the financial plan, which is crucial for company valuation using the method of discounted cash flow (DCF). The final chapter contains an application of Monte Carlo simulations, which enriches the conclusions by offering probability distribution of the value of the company.
39
Mrázková, Eva. "Approximations in Stochastic Optimization and Their Applications." Doctoral thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2010. http://www.nusl.cz/ntk/nusl-233932.
Full textAbstract:
Mnoho inženýrských úloh vede na optimalizační modely s~omezeními ve tvaru obyčejných (ODR) nebo parciálních (PDR) diferenciálních rovnic, přičemž jsou v praxi často některé parametry neurčité. V práci jsou uvažovány tři inženýrské problémy týkající se optimalizace vibrací a optimálního návrhu rozměrů nosníku. Neurčitost je v nich zahrnuta ve formě náhodného zatížení nebo náhodného Youngova modulu. Je zde ukázáno, že dvoustupňové stochastické programování nabízí slibný přístup k řešení úloh daného typu. Odpovídající matematické modely, zahrnující ODR nebo PDR omezení, neurčité parametry a více kritérií, vedou na (vícekriteriální) stochastické nelineární optimalizační modely. Dále je dokázáno, pro jaký typ úloh je nutné použít stochastické programování (EO reformulace), a kdy naopak stačí řešit jednodušší deterministickou úlohu (EV reformulace), což má v praxi význam z hlediska výpočetní náročnosti. Jsou navržena výpočetní schémata zahrnující diskretizační metody pro náhodné proměnné a ODR nebo PDR omezení. Matematické modely odvozené pomocí těchto aproximací jsou implementovány a řešeny v softwaru GAMS. Kvalita řešení je určena na základě intervalových odhadů "optimality gapu" spočtených pomocí metody Monte Carlo. Parametrická analýza vícekriteriálního modelu vede na výpočet "efficient frontier". Jsou studovány možnosti aproximace modelu zahrnujícího pravděpodobnostní členy související se spolehlivostí pomocí smíšeného celočíselného nelineárního programování a reformulace pomocí penalizační funkce. Dále je vzhledem k budoucím možnostem paralelních výpočtů rozsáhlých inženýrských úloh implementován a testován PHA algoritmus. Výsledky ukazují, že lze tento algoritmus použít, i když nejsou splněny matematické podmínky zaručující konvergenci. Na závěr je pro deterministickou verzi jedné z úloh porovnána metoda konečných diferencí s metodou konečných prvků za použití softwarů GAMS a ANSYS se zcela srovnatelnými výsledky.
40
Svobodová, Miriam. "Dynamika soustav těles s neurčitostním modelem vzájemné vazby." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2020. http://www.nusl.cz/ntk/nusl-418197.
Full textAbstract:
This diploma thesis deal with evaluation of the impact in the scale of uncertaintly stiffness on the tool deviation during grooving process. By the affect of the insufficient stiffness in each parts of the machine, there is presented a mechanical vibration during the cutting process which may cause a damage to the surface of the workpiece, to the tool or to the processing machine. The change of the stiffness is caused in the result of tool wear, impact of setted cutting conditions and many others. In the first part includes teoretical introduction to field of the uncertainty and choosing suitable methods for the solutions. Chosen methods are Monte Carlo and polynomial chaos expansion which are procced in the interface of MATLAB. Both of the methods are primery tested on the simple systems with the indefinited enters of the stiffness. These systems replace the parts of the stiffness characteristics of the each support parts. After that, the model is defined for the turning during the process of grooving with the 3 degrees of freedom. Then the analyses of the uncertainity and also sensibility analyses for uncertainity entering data of the stiffness are carried out again by both methods. At the end are both methods compared in the points of view by the time consuption and also by precission. Judging by gathered data it is clear that the change of the stiffness has significant impact on vibration in all degrees of freedome of the analysed model. As the example a maximum and a minimum calculated deviation of the workpiece stiffness was calculated via methode of Monte Carlo. The biggest impact on the finall vibration of the tool is found by stiffness of the ball screw. The solution was developed for the more stabile cutting process.
41
Janošek, Radek. "Výpočet vyhořívání jaderného paliva reaktoru VVER 1000 pomoci programu KENO." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2016. http://www.nusl.cz/ntk/nusl-241979.
Full textAbstract:
The introduction to operational nuclear reactors focusing on light-water pressurized reactor VVER 1000 is in the beginning of this Master´s thesis. This thesis covers basic technology of VVER 1000 reactor with focus on reactor core and nuclear fuel TVSA-T. A significant part of the thesis deal with basic concepts of nuclear safety and its methods. The main goal is to create a model of VVER 1000 reactor, which can be used in nuclear burn-up calculations using KENO code. Therefore a part of this thesis deals with explanation of statistical Monte Carlo method and the KENO code.
42
Sláma, David. "Pevnostní posouzení konstrukce výřezu dveří přetlakovatelného habitatu pro extrémní prostředí." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2017. http://www.nusl.cz/ntk/nusl-317003.
Full textAbstract:
Main goals of this master thesis are following: to perform the state of the art research of overpressure constructions (especially space habitats, plane fuselages); to create an own concept of the functional inside ending (hole) in the sandwich panel for a door; to perform stress-strain analysis of this concept; to perform the design optimalization of this concept in order to minimise the weight. To solve the problems above software Ansys 17.2 is chosen, because it allows to: model the material of the honeycomb core of sandwich panel as homogenous linear orthotropic material; evaluate reserve factors of all critical limit states; perform the design optimalization; perform Monte Carlo simulation. First and second design optimalizations discover, that with defined parameters: 0,635 mm width of aluminium sandwich face sheets and inner overpressure 0,1 MPa, a creation of the model, that would be safe by changing the values of design variables is not possible. Specifically, the maximum value of shear stress on the glued areas between aluminium face sheets and honeycomb core is higher than the shear strength of the glue. Therefore, two new concepts are created. First for inner pressure 0,03 MPa and bigger width of aluminium face sheets 3,175 mm, second for inner pressure 0,02 MPa and same width of aluminium face sheets 0,635 mm. For both these concepts, an overall reserve factor is calculated. First, the value of an overall reserve factor is calculated deterministically. Secondly, the value of an overall reserve factor is calculated stochastically considering the variance of material properties of the honeycomb core ± 10 % by Monte Carlo simulation. An overall reserve factor of the concept with inner pressure 0,02 MPa is determined as 1,21. An overall reserve factor of the concept with inner pressure 0,03 MPa is determined as 1,20. The weight of the concept for inner pressure 0,03 MPa is though 4 times bigger than the weight of the concept for inner pressure 0,02 MPa. In the concept for inner pressure 0,02 MPa the maximum value of HMH stress in aluminium components is critical, stochastically considered material properties of the honeycomb core don’t have a significant influence on this value. In the concept for inner pressure 0,03 MPa the value of maximum shear stress on the glued areas between aluminium face sheets and the honeycomb core is critical, stochastically considered material properties of the honeycomb core have a significant influence on this value. In the concept for inner pressure 0,03 MPa an absolute error of overall reserve factor is 8 % (overall reserve factor calculated deterministically was 1,28) which is significant. Monte Carlo simulation is also used to find that the value of Poisson ratio XY of the honeycomb core doesn’t have statistically significant influence on all limit states. Value of the reserve factor of the honeycomb core is higher than 2 in both concepts. Monte Carlo simulation discovers that this value can be significantly lower. Using Tsai-Wu failure criteria the reserve factor in the concept for inner pressure 0,02 MPa is determined as 2,72 deterministically x 2,41 stochastically (absolute error 31 %), in the concept for inner pressure 0,03 MPa the reserve factor is determined as 6,85 deterministically x 6,17 stochastically (absolute error 68 %).
43
Hošek, Václav. "Distributed Ray Tracing." Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2008. http://www.nusl.cz/ntk/nusl-235956.
Full textAbstract:
VYSOKÉ UČENÍ TECHNICKÉ V BRNĚ Distributed Ray Tracing, also called distribution ray tracing and stochastic ray tracing, is a refinement of ray tracing that allows for the rendering of "soft" phenomena, area light, depth of field and motion blur.
44
Kocák, Jakub. "Nová metoda řešení Schrödingerovy rovnice." Master's thesis, 2017. http://www.nusl.cz/ntk/nusl-365119.
Full textAbstract:
Title: A new method for the solution of the Schrödinger equation Author: Jakub Kocák Department: Department of Physical and Macromolecular Chemistry Supervisor: doc. RNDr. Filip Uhlík, Ph.D. Abstract: In this thesis we study method for the solution of time-independent Schrö- dinger equation for ground state. The wave function, interpreted as probability density, is represented by samples. In each iteration we applied approximant of imaginary time propagator. Acting of the operator is implemented by Monte Carlo simulation. Part of the thesis is dedicated to methods of energy calculation from samples of wave function: method based on estimation of value of wave function, method of convolution with heat kernel, method of averaged energy weighed by wave function and exponential de- cay method. The method for the solution was used to find ground state and energy for 6-dimensional harmonic oscillator, anharmonic 3-dimensional octic oscillator and hydrogen atom. Keywords: imaginary time propagation, Monte Carlo method, variational principle, ground state 1
45
Kudlík, Michal. "Testy nezávislosti pro mnohorozměrná data." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-352745.
Full textAbstract:
Title: Tests of independence for multivariate data Author: Bc. Michal Kudlík Department: Department of Probability and Mathematical Statistics Supervisor: Ing. Marek Omelka, PhD., Department of Probability and Mathema- tical Statistics Abstract: This thesis is an overview of tests of independence for multidimensi- onal data. The report includes tests on independence of categorical and conti- nuous random variables, tests assuming normal distribution of data, asymptotic nonparametric tests and permutation tests with application of the Monte Carlo method. This thesis shows the suitability of tests with properly chosen real data and checks significance level and compares the strength of the selected tests by simulation study while using appropriate statistical software. Based on the simu- lation study the thesis discusses an appropriateness of the use of different tests for different situations. Keywords: independence, permutation and asymptotic tests of independence, Monte Carlo method, simulation study 1
46
Pipek, Jindřich. "Transport náboje v polovodičových detektorech záření." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-387754.
Full textAbstract:
This thesis is focused on study of charge transport in semiconducting radiation detectors. Theoretical calculations of current waveforms based on continuity equation and drift-diffusion equation are done. Useful approximations of current waveforms for detector with shallow electron trap are discussed. Monte Carlo simulation of the current waveforms is proposed and applied to fit experimental current waveforms measured using laser-induced transient current technique and for evaluation of charge transport parameters of the detector such as electric field profile, trapping and detrapping time of traps, drift mobility and other parameters. Detectors prepared from semi-insulating GaAs and CdZnTe single crystals are tested using electrical, spectroscopic and optical characterization techniques.
47
Vícenová, Barbora. "Prostorový bodový proces s interakcemi." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-331733.
Full textAbstract:
This thesis deals with the estimation of model parameters of the interacting segments process in plane. The motivation is application on the system of stress fibers in human mesenchymal stem cells, which are detected by fluorescent microscopy. The model of segments is defined as a spatial Gibbs point process with marks. We use two methods for parameter estimation: moment method and Takacs-Fiksel method. Further, we implement algorithm for these estimation methods in software Mathematica. Also we are able to simulate the model structure by Markov Chain Monte Carlo, using birth-death process. Numerical results are presented for real and simulated data. Match of model and data is considered by descriptive statistics. Powered by TCPDF (www.tcpdf.org)
48
Drobuliak, Matúš. "Pojistně-matematické a expoziční modely pro riziko krupobití." Master's thesis, 2019. http://www.nusl.cz/ntk/nusl-404286.
Full textAbstract:
Title: Actuarial and Exposure-based Models for Hail Peril Author: Bc. Matúš Drobuliak Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Michal Pešta, Ph.D., Department of Probability and Mathe- matical Statistics Abstract: This thesis covers an introduction to catastrophe modelling and focuses on statistical methods for extreme events. This includes methods of estimating parameters of claim distribution with a focus on probability weighted moments estimation technique. Furthermore, times series modelling, skew t-distribution, and two model clustering techniques are examined as well. This is later utilised in the practical application part of this thesis, which uses real data provided by an insurance company operating in the Czech Republic. Probability distribution fitting of large claims caused by hailstorms and Monte Carlo simulation of future losses are demonstrated later. Keywords: Catastrophe modelling, Hail peril, Probability weighted moments, Extreme events, ARMA-GARCH, Monte Carlo simulation iii
49
Křepinská, Dana. "Statistické úlohy pro Markovské procesy se spojitým časem." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-340760.
Full textAbstract:
Tato diplomová práce se zabývá odhadováním matice intenzit Markovova pro- cesu se spojitým časem na základě diskrétně pozorovaných dat. Začátek práce je věnován jednoduššímu odhadu ze spojité trajektorie pomocí metody maximální věrohodnosti. Dále je zde popsán odhad z diskrétní trajektorie přes výpočet ma- tice pravděpodobností přechodu. Následně je velmi podrobně rozebrán EM al- goritmus, který předchozí odhad zpřesňuje. Na závěr teoretické části je uvedena metoda odhadu zvaná Monte Carlo Markov Chain. Všechny postupy jsou zároveň implementovány v počítačovém softwaru a prezentace jejich výsledk· je obsahem druhé části práce. V té jsou porovnané odhady pro denní, týdenní a měsíční po- zorování a také pro pětiletou a desetiletou pozorovanou trajektorii. K výsledk·m jsou připojeny odhady rozptyl· a intervaly spolehlivosti. 1