Sökning: "Laplace distribution"

Visar resultat 1 - 5 av 12 uppsatser innehållade orden Laplace distribution.

  1. 1. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Ludvig Göransson; [2020]
    Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER

  3. 2. Quantified safety modeling of autonomous systems with hierarchical semi-Markov processes

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Olle Mattsson; [2020]
    Nyckelord :probability theory; stochastic processes; reliability engineering; applied mathematics; quantified safety; markov processes; markov chains; sannolikhetsteori; stokastiska processer; säkerhetsteknik; tillämpad matematik; markovprocesser; markovkedjor;

    Sammanfattning : In quantified safety engineering, mathematical probability models are used to predict the risk of failure or hazardous events in systems. Markov processes have commonly been utilized to analyze the safety of systems modeled as discrete-state stochastic processes. LÄS MER

  4. 3. An Analysis of Notions of Differential Privacy for Edge-Labeled Graphs

    Master-uppsats, Linköpings universitet/Institutionen för datavetenskap

    Författare :Robin Christensen; [2020]
    Nyckelord :Differential privacy; Analysis framework; Query mechanism; Graph databases; Graph neighbors; Neighborhood notions;

    Sammanfattning : The user data in social media platforms is an excellent source of information that is beneficial for both commercial and scientific purposes. However, recent times has seen that the user data is not always used for good, which has led to higher demands on user privacy. LÄS MER

  5. 4. Analysis of Cryptocurrency volatility and statistical distributions using ARMA and GARCH-type models

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Zhiyi You; [2019]
    Nyckelord :Cryptocurrency; Bitcoin; Litecoin; Ethereum; volatility; ARMA; GARCH-type models; eGARCH; Student s t-distribution; Laplace distribution; statistical distributions; Mathematics and Statistics;

    Sammanfattning : This study aims to investigate and model statistical properties of Bitcoin and other major cryptocurrencies. There were recent drastic changes in the level of Bitcoin prices as it moved from $740 in 2014 to $19,187 in 2017, and down to $3,830 in 2018. LÄS MER

  7. 5. Volatility of Bitcoin in a European Context

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Emilia Sjöberg; [2019]
    Nyckelord :GARCH; IGARCH; GRJ-GARCH; Jumps; Bitcoin; cryptocurrency; European market; Laplace distribution; Mathematics and Statistics;

    Sammanfattning : In 2009, Bitcoin was introduced to the world. Today, ten years later, there are still gaps in the research of how to model the cryptocurrency. In this thesis, the capacities of different volatility models to capture the high volatility of Bitcoin returns are investigated. LÄS MER