Hittade 3 uppsatser innehållade ordet Vektorautoregression.
1. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?Master-uppsats, KTH/Optimeringslära och systemteori; KTH/Optimeringslära och systemteori
Sammanfattning : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. LÄS MER
2. Assessing the Effect of the Riksbank Repo Rate on National Output and Price Level in Sweden : Focusing on Employment and Housing PricesKandidat-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
Sammanfattning : There is no single commonly adapted model that explains the influence that various monetary policy instruments carry for the economy. During 2011-2017, the Swedish inflation rate has remained below the 2 percent target which has led the Riksbank to take measures aimed at stimulating the inflation. LÄS MER
3. Association Mining and Prediction of SystemPerformance Attributes in a large-scale ITinfrastructureMaster-uppsats, KTH/Skolan för datavetenskap och kommunikation (CSC)
Sammanfattning : The master thesis seeks to establish relationships between eleven system performance metrics in a large-scale IT infrastructure, and to predict their future behavior. The rst task was performed using multiple linear regression, with one of the eleven metrics being taken as a dependant variable measuring total system performance. LÄS MER