Sökning: "Conditional Distribution"

Visar resultat 1 - 5 av 98 uppsatser innehållade orden Conditional Distribution.

1. 1. Volatility Forecasting - A comparative study of different forecasting models.

   Kandidat-uppsats,

   Författare :Emil Sturesson; Anton Wennström; [2023-06-29]
   Nyckelord :Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

   Sammanfattning : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. LÄS MER

3. 2. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Khaled Jrideh; [2023-05-26]
   Nyckelord :;

   Sammanfattning : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. LÄS MER

4. 3. Uncertainty Estimation in Radiation Dose Prediction U-Net

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

   Författare :Frida Skarf; [2023]
   Nyckelord :Radiation dose prediction models; U-net; quantile regression; Monte Carlo Dropout; epistemic uncertainty estimation; aleatoric uncertainty estimation; Stråldospredicerande modeller; U-net; kvantilregression; Monte Carlo Dropout; epistemisk osäkerhetsskattning; aletorisk osäkerhetsskattning;

   Sammanfattning : The ability to quantify uncertainties associated with neural network predictions is crucial when they are relied upon in decision-making processes, especially in safety-critical applications like radiation therapy. In this paper, a single-model estimator of both epistemic and aleatoric uncertainties in a regression 3D U-net used for radiation dose prediction is presented. LÄS MER

5. 4. Failure Probability and Lifetime Estimation for Industrial Robots : A Logistic Regression and Lifetime Analysis Approach

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Erik Fahlbeck Carlsson; Martin Herbert; [2023]
   Nyckelord :Lifetime Analysis; Logistic regression; Prediction; Lifetime estimation; Industrial robots; Livslängdsanalys; Logistisk regression; Prediktion; Livslängdsestimering; Industriella robotar;

   Sammanfattning : The ability to handle and process data for information extraction is getting more and more important. Using extracted data from the business to improve productivity is seen as an important part in developing the business processes. In this thesis, industrial robots and their survival times are analyzed. LÄS MER

7. 5. Exchange Rate Analysis Between the U.S. Dollar and the Japanese Yen

   Kandidat-uppsats, Uppsala universitet/Statistik, AI och data science

   Författare :Yuta Sakiyama; [2023]
   Nyckelord :;

   Sammanfattning : The exchange data between the U.S. Dollar and Japanese Yen are analyzed with three models called the Auto-Regressive Integrated Moving- Average (ARIMA) model, the Generalized Auto-Regressive Conditional Heteroscedastic (GARCH) model, and the Fractional Differencing model. LÄS MER