Sökning: "shiryaev"

Hittade 3 uppsatser innehållade ordet shiryaev.

  1. 1. Estimating Dependence Structures with Gaussian Graphical Models : A Simulation Study in R

    Kandidat-uppsats, Umeå universitet/Statistik

    Författare :Artem Angelchev Shiryaev; Johan Karlsson; [2021]
    Nyckelord :Simulation study; Graphical models; undirected Gaussian graphical model; Partial correlation; Precision matrix;

    Sammanfattning : Graphical models are powerful tools when estimating complex dependence structures among large sets of data. This thesis restricts the scope to undirected Gaussian graphical models. An initial predefined sparse precision matrix was specified to generate multivariate normally distributed data. LÄS MER

  3. 2. Detection of the Change Point and Optimal Stopping Time by Using Control Charts on Energy Derivatives

    Magister-uppsats, Tillämpad matematik och fysik (MPE-lab)

    Författare :Cihan AL; Kubra Koroglu; [2011]
    Nyckelord :change point detection; optimal stopping time; shiryaev; shewhart; ewma; cusum; statistical process control; SPC; Financial Mathematics; changepoint detection; optimalstopping time; Shiryaev metod; Cusum metod; Ewma metod;

    Sammanfattning : .... LÄS MER

  4. 3. On-line change-point detection procedures for Initial Public Offerings

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Författare :Evgenia Shcherbakova; Olga Gogoleva; [2010]
    Nyckelord :Financial Mathematics; cange-point detection; monitoring;

    Sammanfattning :   In this thesis we investigate the case of monitoring of stocks havingjust been introduced for public trading on the nancial market. Theempirical distribution of the change-point for 20 assets for 60 days was calculated to check the support for the assumption that the priceinitially drop or rise to some steady level. LÄS MER