Sökning: "Markov modeling."

Visar resultat 1 - 5 av 54 uppsatser innehållade orden Markov modeling..

  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. 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

  4. 3. Spatial modeling with INLA for analysis of unequal care in Skåne

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

    Författare :Julia Wierzchoslawska; [2023]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The objective of this thesis is to extend on a previous analysis of health care accessibility for patients diagnosed with a chronic disease in Region Skåne. The previous analysis resulted in a logistic mixed effects model having municipality as a random effect and age as a first-degree spline-function. LÄS MER

  5. 4. Stationary Distribution of Markov Chain

    Magister-uppsats, Uppsala universitet/Matematiska institutionen

    Författare :Eleazar Neamat; [2023]
    Nyckelord :;

    Sammanfattning : Markov chain is a mathematical tool for modeling systems that evolve over time and hasbeen used in many fields such as physics, chemistry, economics, biology, and data science.This thesis contains an introduction to the theory and the applications of Markov chains,focusing on those with finite state spaces. LÄS MER

  7. 5. Open quantum systems

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Anton Granlund Gustafsson; [2023]
    Nyckelord :quantum physics; quantum mechanics; open quantum systems; Lindblad equation; density matrix theory; qubit;

    Sammanfattning : In this Bachelor thesis project, the Lindblad master equation is derived, both as the most general way of modeling interaction with an environment that lacks memory, and through microscopic derivations focused on assumptions about the way the system interacts with its environment (weak-coupling, Born-Markov and rotating wave approximations). It is then applied to a two-level system (qubit). LÄS MER