Letteratura scientifica selezionata sul tema "Dependence modelling"

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Articoli di riviste sul tema "Dependence modelling"

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Kallenberg, Wilbert C. M. "Modelling dependence." Insurance: Mathematics and Economics 42, no. 1 (February 2008): 127–46. http://dx.doi.org/10.1016/j.insmatheco.2007.01.008.

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Aminuddin Jafry, Nurul Hanis, Ruzanna Ab Razak, and Noriszura Ismail. "Dependence Modelling using GARCH, EGARCH, and Copula Models:." Asia Proceedings of Social Sciences 2, no. 2 (December 3, 2018): 55–59. http://dx.doi.org/10.31580/apss.v2i2.317.

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Copula become a popular tool to measure the dependency between financial data due to its ability to capture the non-normal distributions. Hence, this paper will inspect the impact of input models towards the parameter estimation of marginal and copula models for KLCI and FBMHS returns series by considering the ARMA-GARCH model and the ARMA-EGARCH model. This study also investigates the dependency of Islamic-conventional pair for Malaysia indices by using static copula and time-varying copula approach. The closing prices of Malaysia indices represented by KLCI (conventional) index and FBMHS (Is
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Patton, Andrew J. "MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*." International Economic Review 47, no. 2 (May 2006): 527–56. http://dx.doi.org/10.1111/j.1468-2354.2006.00387.x.

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Wadsworth, J. L., J. A. Tawn, A. C. Davison, and D. M. Elton. "Modelling across extremal dependence classes." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 79, no. 1 (February 17, 2016): 149–75. http://dx.doi.org/10.1111/rssb.12157.

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Wadsworth, J. L., and J. A. Tawn. "Dependence modelling for spatial extremes." Biometrika 99, no. 2 (March 13, 2012): 253–72. http://dx.doi.org/10.1093/biomet/asr080.

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El Hannoun, Wafaa, Salah-Eddine El Adlouni, and Abdelhak Zoglat. "Vine-Copula-Based Quantile Regression for Cascade Reservoirs Management." Water 13, no. 7 (March 31, 2021): 964. http://dx.doi.org/10.3390/w13070964.

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Abstract (sommario):
This paper features an application of Regular Vine (R-vine) copulas, a recently developed statistical tool to assess composite risk. Copula-based dependence modelling is a popular tool in conditional risk assessment, but is usually applied to pairs of variables. By contrast, Vine copulas provide greater flexibility and permit the modelling of complex dependency patterns using a wide variety of bivariate copulas which may be arranged and analysed in a tree structure to explore multiple dependencies. This study emphasises the use of R-vine copulas in an analysis of the co-dependencies of five re
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Gitman, I. M., H. Askes, and L. J. Sluys. "Multiscale Modelling of Softening Materials." Key Engineering Materials 348-349 (September 2007): 1–4. http://dx.doi.org/10.4028/www.scientific.net/kem.348-349.1.

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A hierarchical multiscale procedure for softening materials is proposed in this paper. A standard multiscale model has been analysed with respect to macro-level mesh dependence and meso-level cell size dependence. In order to eliminate spurious macro-level mesh dependence and meso-level cell size dependence a coupled-volume approach has been proposed. A discussion on the various interacting length scales in the model is included.
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Lakner, G., J. Lakner, G. Racz, and M. Kłos. "Concentration dependence modelling of reverse osmosis." DESALINATION AND WATER TREATMENT 192 (2020): 437–43. http://dx.doi.org/10.5004/dwt.2020.25906.

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MONNEY, PAUL-ANDRE, and MOSES CHAN. "MODELLING DEPENDENCE IN DEMPSTER-SHAFER THEORY." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 15, no. 01 (February 2007): 93–114. http://dx.doi.org/10.1142/s021848850700439x.

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Belief functions can only be combined by Dempster's rule when they are based on independent items of evidence. This paper proposes a method for handling the case where there is some probabilistic dependence among the items of evidence. The method relies on compact representations of joint probability distributions on the assumption variables associated with the belief functions. These distributions are then used to compute degrees of support of hypotheses of interest. It is shown that the theory of hints is the appropriate general framework for this method.
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Ledford, Anthony W., and Jonathan A. Tawn. "Modelling Dependence within Joint Tail Regions." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 59, no. 2 (1997): 475–99. http://dx.doi.org/10.1111/1467-9868.00080.

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Tesi sul tema "Dependence modelling"

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Taku, Marie Manyi. "Modelling Dependence of Insurance Risks." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-9064.

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Abstract (sommario):
Modelling one-dimensional data can be performed by different wellknown ways. Modelling two-dimensional data is a more open question. There is no unique way to describe dependency of two dimensional data. In this thesis dependency is modelled by copulas. Insurance data from two different regions (Göinge and Kronoberg) in Southern Sweden is investigated. It is found that a suitable model is that marginal data are Normal Inverse Gaussian distributed and copula is a better dependence measure than the usual linear correlation together with Gaussian marginals.
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Lecei, Ivan [Verfasser]. "Modelling extremal dependence / Ivan Lecei." Ulm : Universität Ulm, 2018. http://d-nb.info/1173249745/34.

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Johnson, Jill Suzanne. ""Modelling Dependence in Extreme Environmental Events"." Thesis, University of Newcastle upon Tyne, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.525050.

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Yu, Lanhua. "Risk management : modelling dependence between asset returns." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.420966.

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Navarrete, Miguel A. Ancona. "Dependence modelling and spatial prediction for extreme values." Thesis, Lancaster University, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.369658.

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Kereszturi, Monika. "Assessing and modelling extremal dependence in spatial extremes." Thesis, Lancaster University, 2017. http://eprints.lancs.ac.uk/86369/.

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Offshore structures, such as oil platforms and vessels, must be built such that they can withstand extreme environmental conditions (e.g., high waves and strong winds) that may occur during their lifetime. This means that it is essential to quantify probabilities of the occurrence of such extreme events. However, a difficulty arises in that there are very limited data available at these levels. The statistical field of extreme value theory provides asymptotically motivated models for extreme events, hence allowing extrapolation to very rare events. In addition to the risk to a single site, we
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Menguturk, Levent Ali. "Information-based jumps, asymmetry and dependence in financial modelling." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/10953.

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In mathematical finance, economies are often presented with the specification of a probability space equipped with a filtration that encodes information flow. The information-based framework of Brody, Hughston and Macrina (BHM) emphasises the role of market information in deriving asset price dynamics, instead of assuming price behaviour from the start. We extend the BHM framework by (i) modelling the nature of access to information through information blockages and activations of new information sources, and (ii) introducing a new class of multivariate Markov processes that we call Generalise
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Carreira, Inês Duarte. "Modelling dependence between frequency and severity of insurance claims." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14631.

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Mestrado em Actuarial Science<br>A estimação da perda individual é uma importante tarefa para calcular os preços das apólices de seguro. A abordagem padrão assume independência entre a frequência e a severidade dos sinistros, o que pode não ser uma suposição realística. Neste texto, a dependência entre números e montantes de sinistros é explorada, num contexto de Modelos Lineares Generalizados. Um modelo de severidade condicional e um modelo de Cópula são apresentados como alternativas para modelar esta dependência e posteriormente aplicados a um conjunto de dados fornecido por uma seguradora
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Werner, Christoph. "Structured expert judgement for dependence in probabilistic modelling of uncertainty : advances along the dependence elicitation process." Thesis, University of Strathclyde, 2018. http://digitool.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=30519.

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Abstract (sommario):
In decision and risk analysis problems, modelling uncertainty probabilistically provides key insights and information for decision makers. A common challenge is that uncertainties are typically not isolated but interlinked which introduces complex (and often unexpected) effects on the model output. Therefore, dependence needs to be taken into account and modelled appropriately if simplifying assumptions, such as independence, are not sensible. Similar to the case of univariate uncertainty, relevant historical data to quantify a (dependence) model are often lacking or too costly to obtain. This
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Xia, Xinghua. "Essays on dependence modelling with vine copulas and its applications." Thesis, University of Leicester, 2018. http://hdl.handle.net/2381/42235.

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This thesis contains three essays on dependence modelling with high dimension vine copulas and its applications in credit portfolio risk, asset allocation and international financial contagion. In the first essay, we demonstrate the superiority of vine copulas over multivariate Gaussian copula when modelling the dependence structure of a credit portfolio risk factors. We introduce the vine copulas to modelling the dependence structure of multi risk factors log returns in the combined framework of both threshold model and mixture model credit risk modelling. The second essay studies asset alloc
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Libri sul tema "Dependence modelling"

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1942-, Cooke Roger, ed. Uncertainty analysis with high dimensional dependence modelling. Chichester, England: Wiley, 2006.

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Kurowicka, Dorota, and Roger Cooke. Uncertainty Analysis with High Dimensional Dependence Modelling. Chichester, UK: John Wiley & Sons, Ltd, 2006. http://dx.doi.org/10.1002/0470863072.

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Breeze, Jonathan. Temperature and Frequency Dependence of Complex Permittivity in Metal Oxide Dielectrics: Theory, Modelling and Measurement. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-44547-2.

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Shaw, Michelle. Temperature dependence of conformationally-averaged molecular surface areas and volumes for modelling log pow values. Sudbury, Ont: Laurentian University, 1998.

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Müller, Gereon, Artemis Alexiadou, and Tibor Kiss. Local Modelling of Non-local Dependencies in Syntax. Berlin: De Gruyter, 2013.

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Kähkönen, Kalle. Modelling activity dependencies for building construction project scheduling. Espoo: Technical Research Centre of Finland, 1993.

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Alexiadou, Artemis, Tibor Kiss, and Gereon Müller, eds. Local Modelling of Non-Local Dependencies in Syntax. Berlin, Boston: DE GRUYTER, 2012. http://dx.doi.org/10.1515/9783110294774.

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Habib, Ammari, Capdeboscq Yves 1971-, and Kang Hyeonbae, eds. Multi-scale and high-contrast PDE: From modelling, to mathematical analysis, to inversion : Conference on Multi-scale and High-contrast PDE:from Modelling, to Mathematical Analysis, to Inversion, June 28-July 1, 2011, University of Oxford, United Kingdom. Providence, R.I: American Mathematical Society, 2010.

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Awrejcewicz, Jan, Anton V. Krysko, Maxim V. Zhigalov, and Vadim A. Krysko. Mathematical Modelling and Numerical Analysis of Size-Dependent Structural Members in Temperature Fields. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-55993-9.

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England) International DSM Conference (12th 2010 Cambridge. Managing complexity by modelling dependencies: Proceedings of the 12th International DSM Conference, Cambridge, UK, 22-23 July 2010. Munich, Germany: Hanser, 2010.

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Capitoli di libri sul tema "Dependence modelling"

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Shevchenko, Pavel V. "Modelling Dependence." In Modelling Operational Risk Using Bayesian Inference, 235–71. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-15923-7_7.

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Kushner, Harold J. "State Dependence." In Stochastic Modelling and Applied Probability, 305–39. New York, NY: Springer New York, 2001. http://dx.doi.org/10.1007/978-1-4613-0005-2_8.

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Benedini, Marcello, and George Tsakiris. "Temperature Dependence." In Water Quality Modelling for Rivers and Streams, 87–89. Dordrecht: Springer Netherlands, 2012. http://dx.doi.org/10.1007/978-94-007-5509-3_8.

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Ellner, Stephen P., Dylan Z. Childs, and Mark Rees. "Density Dependence." In Lecture Notes on Mathematical Modelling in the Life Sciences, 111–38. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-28893-2_5.

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Boland, Philip J. "Modelling Dependence in Coherent Systems." In Reliability and Decision Making, 287–99. Boston, MA: Springer US, 1993. http://dx.doi.org/10.1007/978-1-4899-4459-7_16.

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Roy, Sisir. "Quantum Ontology and Context Dependence." In Decision Making and Modelling in Cognitive Science, 141–52. New Delhi: Springer India, 2016. http://dx.doi.org/10.1007/978-81-322-3622-1_8.

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D'Inverno, Mark, and Michael Luck. "A formal view of social dependence networks." In Distributed Artificial Intelligence Architecture and Modelling, 115–29. Berlin, Heidelberg: Springer Berlin Heidelberg, 1996. http://dx.doi.org/10.1007/3-540-61314-5_25.

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Kempson, Ruth. "Modelling Context-Dependence: Ellipsis in Conversational Dialogue." In Modeling and Using Context, 1–4. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-24279-3_1.

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Koshelev, V. V., and N. N. Kolpakidi. "An Investigation of the Dependence of Structural Parameters of the Middle Atmosphere on the Intensity of Photochemical and Dynamical Processes." In Ionospheric Modelling, 381–401. Basel: Birkhäuser Basel, 1988. http://dx.doi.org/10.1007/978-3-0348-6532-6_9.

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Munková, Daša, Michal Munk, and L’udmila Adamová. "Modelling of Language Processing Dependence on Morphological Features." In ICT Innovations 2013, 77–86. Heidelberg: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-01466-1_7.

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Atti di convegni sul tema "Dependence modelling"

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Eickhoff, Carsten, Arjen P. de Vries, and Thomas Hofmann. "Modelling Term Dependence with Copulas." In SIGIR '15: The 38th International ACM SIGIR conference on research and development in Information Retrieval. New York, NY, USA: ACM, 2015. http://dx.doi.org/10.1145/2766462.2767831.

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Kulakowski, Krzysztof, Krzysztof Malarz, and Malgorzata J. Krawczyk. "Heavy Context Dependence — Decisions Of Underground Soldiers." In 29th Conference on Modelling and Simulation. ECMS, 2015. http://dx.doi.org/10.7148/2015-0125.

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Petermann, Arne, and Alexander Simon. "Path Dependence In Hierarchical Organizations: The Influence Of Environmental Dynamics." In 30th Conference on Modelling and Simulation. ECMS, 2016. http://dx.doi.org/10.7148/2016-0040.

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Petermann, Arne, and Alexander Simon. "Path Dependence In Hierarchical Organizations: The Influence Of Environmental Dynamics." In 30th Conference on Modelling and Simulation. ECMS, 2016. http://dx.doi.org/10.7148/2016-0041.

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Petermann, Arne, and Alexander Simon. "The Influence Of Changing Environment For Path Dependence In Hierarchical Organizations." In 28th Conference on Modelling and Simulation. ECMS, 2014. http://dx.doi.org/10.7148/2014-0202.

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"Evaluating extremal dependence in stock markets using Extreme Value Theory." In 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand (MSSANZ), Inc., 2011. http://dx.doi.org/10.36334/modsim.2011.d6.singh2.

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Petermann, Arne, Stefan Klaußner, and Natalie Senf. "Organizational Path Dependence: The Prevalence Of Positive Feedback Economics In Hierarchical Organizations." In 26th Conference on Modelling and Simulation. ECMS, 2012. http://dx.doi.org/10.7148/2012-0721-0730.

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Clegg, Richard G., Raul Landa, and Miguel Rio. "Criticisms of Modelling Packet Traffic Using Long-Range Dependence." In 2009 Proceedings of 18th International Conference on Computer Communications and Networks - ICCCN 2009. IEEE, 2009. http://dx.doi.org/10.1109/icccn.2009.5235309.

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Kwon, Han-Seung, Artem Lenskiy, and Kseniya Koneva. "Trading Foreign Currencies Based on Long Range Dependence." In 2012 Fourth International Conference on Computational Intelligence, Modelling and Simulation (CIMSiM). IEEE, 2012. http://dx.doi.org/10.1109/cimsim.2012.73.

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Fuerstenau, Daniel. "Agent-Based Simulation Analysis Of Path Dependence In Corporate IS Networks For Strategic IT Management." In 27th Conference on Modelling and Simulation. ECMS, 2013. http://dx.doi.org/10.7148/2013-0340.

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Rapporti di organizzazioni sul tema "Dependence modelling"

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Haslett, John, and Adrian E. Raftery. Reply to the Discussion of Space-Time Modelling with Long-Memory Dependence: Assessing Ireland's Wind Resource. Fort Belvoir, VA: Defense Technical Information Center, October 1988. http://dx.doi.org/10.21236/ada201678.

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Phillips, Michael, James Glass, and Victor Zue. Modelling Context Dependency in Acoustic-Phonetic and Lexical Representations. Fort Belvoir, VA: Defense Technical Information Center, January 1991. http://dx.doi.org/10.21236/ada460564.

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Rai, Suresh. Multiprocessing Systems: Reliability Modelling and Analysis Using Multimode Components and Dependent Failures. Fort Belvoir, VA: Defense Technical Information Center, October 1992. http://dx.doi.org/10.21236/ada264230.

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Ren, W. Time-Dependent Deformation Modelling for a Chopped-Glass Fiber Composite for Automotive Durability Design Criteria. Office of Scientific and Technical Information (OSTI), August 2001. http://dx.doi.org/10.2172/788361.

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Sandermann, Heinrich, Duncan Jr., and Thomas M. Lipid-Dependent Membrane Enzymes. Kinetic Modelling of the Activation of Protein Kinase C by Phosphatidylserine. Fort Belvoir, VA: Defense Technical Information Center, January 1991. http://dx.doi.org/10.21236/ada302987.

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African Open Science Platform Part 1: Landscape Study. Academy of Science of South Africa (ASSAf), 2019. http://dx.doi.org/10.17159/assaf.2019/0047.

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This report maps the African landscape of Open Science – with a focus on Open Data as a sub-set of Open Science. Data to inform the landscape study were collected through a variety of methods, including surveys, desk research, engagement with a community of practice, networking with stakeholders, participation in conferences, case study presentations, and workshops hosted. Although the majority of African countries (35 of 54) demonstrates commitment to science through its investment in research and development (R&amp;D), academies of science, ministries of science and technology, policies, rec
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