Sökning: "Autoregressive modelling"

Visar resultat 1 - 5 av 24 uppsatser innehållade orden Autoregressive modelling.

1. 1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Anny Eklund; Markus Sallkvist; [2024]
   Nyckelord :Quantitative easing; Exchange rate; Bayesian VAR model; Small open economy; Triangular factorisation;

   Sammanfattning : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. LÄS MER

3. 2. On modelling OMXS30 stocks - comparison between ARMA models and neural networks

   Master-uppsats, Uppsala universitet/Matematiska institutionen

   Författare :Irina Zarankina; [2023]
   Nyckelord :ARMA; ARIMA; LSTM; time series; statistics;

   Sammanfattning : This thesis compares the results of the performance of the statistical Autoregressive integrated moving average (ARIMA) model and the neural network Long short-term model (LSTM) on a data set, which represents a market index. Both models are used to predict monthly, daily, and minute close prices of the OMX Stockholm 30 Index. LÄS MER

4. 3. Transformer Offline Reinforcement Learning for Downlink Link Adaptation

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Alexander Mo; [2023]
   Nyckelord :Link Adaptation; Transformers; Reinforcement Learning; Sequence Modelling; Decision Transformer; Deep Neural Networks; Radio Resource Management; Telecommunication; Länkanpassning; Transformers; Reinforcement Learning; Sekvensmodellering; Beslutsstöd; Djupa neurala nätverk; Dataresurshantering; Telekommunikation;

   Sammanfattning : Recent advancements in Transformers have unlocked a new relational analysis technique for Reinforcement Learning (RL). This thesis researches the models for DownLink Link Adaptation (DLLA). LÄS MER

5. 4. Portfolio Risk Modelling in Venture Debt

   Master-uppsats, KTH/Matematisk statistik

   Författare :John Eriksson; Jacob Holmberg; [2023]
   Nyckelord :Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

   Sammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER

7. 5. Towards predictive modelling of solar power productionHandledare: Hadi BanaeeExaminer: Andrey Kiselev© Hadi

   Uppsats för yrkesexamina på grundnivå, Örebro universitet/Institutionen för naturvetenskap och teknik

   Författare :Hadi Ilani; [2022]
   Nyckelord :solar power production; Machine learning; Predictive models; solenergiproduktion; maskininlärning; prediktiv modell;

   Sammanfattning : In 2019, 732 solar panels were installed on the roof of a building at Örebro University. Thesolar power production of the facility has been collected in a database in Akademiska Hus,along with several parameters from a weather station in the same building. LÄS MER