Sökning: "Markov Theory"

Visar resultat 1 - 5 av 48 uppsatser innehållade orden Markov Theory.

  1. 1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Oskar Fransson; [2023]
    Nyckelord :Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

    Sammanfattning : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. LÄS MER

  3. 2. A Statistical Approach to Understand the Evolution of Exotic Butterfly Species

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Elin Eliasson; Rebecka Haraldsson; [2023]
    Nyckelord :Phylogenetics; Tree reconstruction; COI barcoding; General Time Reversible Model; K80 Model; Evolution; Butterflies; Fylogenetik; Rekonstruktion av träd; COI barcoding; General Time Reversible modell; K80 modell; Evolution; Fjärilar;

    Sammanfattning : The alarming rate at which we see the decline in biodiversity due to human activity has raised concerns about the well-being of our planet. Butterflies which serve as pollinators are an essential part of many ecosystems and sensitive indicators of environmental changes and can provide valuable insight into how ecosystems function and evolve. LÄS MER

  4. 3. Analysing Regime-Switching and Cointegration with Hamiltonian Monte Carlo

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Jakob Brandt; [2023]
    Nyckelord :Time Series Econometrics; Regime-Switching; Cointegration; Markov Chain Monte Carlo; Hamiltonian Monte Carlo;

    Sammanfattning : The statistical analysis of cointegration is crucial for inferring shared stochastic trends between variables and is an important area of Econometrics for analyzing long-term equilibriums in the economy. Bayesian inference of cointegration involves the identification of cointegrating vectors that are determined up to arbitrary linear combinations, for which the Gibbs sampler is often used to simulate draws from the posterior distribution. LÄS MER

  5. 4. Adaptive random walks on graphs to sample rare events

    Master-uppsats, Stockholms universitet/Fysikum

    Författare :David Christoph Stuhrmann; [2023]
    Nyckelord :statistical physics; graphs; random walks; large deviation theory; adaptive power method; dynamical phase transition;

    Sammanfattning : In this thesis, I study fluctuations and rare events of time-additive observables of discrete-time Markov chains on finite state spaces. The observable of interest is the mean node connectivity visited by a random walk running on instances of an Erdős-Rényi (ER) random graph. LÄS MER

  7. 5. Perron-Frobenius' Theory and Applications

    Kandidat-uppsats, Linköpings universitet/Algebra, geometri och diskret matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Karl Eriksson; [2023]
    Nyckelord :Positive matrices; nonnegative matrices; Perron-Frobenius; linear dynamical systems; Leslie matrices; Markov chain; Google s PageRank algorithm; Positiva matriser; icke-negativa matriser; Perron-Frobenius; linjära dynamiska system; Leslie matris; Markov-kedja; Google s PageRank algoritm;

    Sammanfattning : This is a literature study, in linear algebra, about positive and nonnegative matrices and their special properties. We say that a matrix or a vector is positive/nonnegative if all of its entries are positive/nonnegative. First, we study some generalities and become acquainted with two types of nonnegative matrices; irreducible and reducible. LÄS MER