Sökning: "autoregressive random coefficients"

Hittade 2 uppsatser innehållade orden autoregressive random coefficients.

  1. 1. Infinite-Dimensional Linear Stochastic Systems with Random Coefficients and Local Interactions

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Henrik Bengtsson; [2018]
    Nyckelord :Stochastic processes; Local interaction; autoregressive random coefficients; probability the- ory.; Mathematics and Statistics;

    Sammanfattning : In this thesis some results for a model that is a merge between the random coefficient autoregressive model of order one and a stochastic process with local interaction in time and space are presented. The first part of the thesis deals with some result from the random coefficient model. LÄS MER

  2. 2. Return Models and Covariance Matrices

    Master-uppsats, Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysik

    Författare :Xiaolei Xie; [2014]
    Nyckelord :returns; stochastic volatility; GARCH; covariance matrix; random matrix; spectral distribution; Physics and Astronomy;

    Sammanfattning : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. LÄS MER