Sökning: "hierarchical shrinkage"
Hittade 2 uppsatser innehållade orden hierarchical shrinkage.
1. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures ContractsMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. LÄS MER
- Master-uppsats, Lunds universitet/Matematisk statistik
Sammanfattning : In this thesis a fully Bayesian hierarchical model that estimates the number of aggregated insurance claims per year for non-life insurances is constructed using Markov chain Monte Carlo based inference with Riemannian Langevin diffusion. Some versions of the model incorporate a spatial effect, viewed as the relative spatial insurance risk that originates from a policyholder's geographical location and where the relative spatial insurance risk is modelled as a continuous spatial field. LÄS MER