Sökning: "time-varying parameters"
Visar resultat 1 - 5 av 37 uppsatser innehållade orden time-varying parameters.
1. Channel Estimation and Power Control Algorithms in the Presence of Channel Aging
Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : Power allocation algorithms that determine how much power should be allocated to pilot and data symbols play an important role in addressing the trade-off between accurate channel estimation and high high spectral efficiency for data symbols in the presence of time-varying fading channels. Dealing with this trade-off is highly non-trivial when the channel changes or ages rapidly in time. LÄS MER
2. What happened to R-star? : Estimating the natural rate of interest in Sweden in unconventional times
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : This study estimates the natural rate of interest in Sweden using two different models. One state-space model introduced by Holston et al. (2017b) and one vector autoregression model with time-varying parameters (TVP-VAR). The TVP-VAR model is then used to produce a forecast of the real interest rate 5 years out, for every point in time. LÄS MER
3. Forecasting monthly LME Copper returns
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : We evaluate if monthly LOCADY returns on the London Metal Exchange can be accurately predicted one, two and three months ahead. In total ten models are constructed using time-varying parameters and bandwidth optimization. LÄS MER
4. Oil Shocks and the Russian Economy: Inflation Perspective
D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomiSammanfattning : This paper aims to assess the effect of oil shocks on the Russian econ- omy, focusing on but not limited to inflation, throughout 2000-2019, with the following main points with respect to economic policy: switching to in- flation targeting in 2014 and undergoing several iterations of the fiscal rule. The paper focuses on estimating a Bayesian time-varying parameter VAR model, additionally calculating the oil price pass through to inflation using the Phillips curve approach and modelling impulse responses to oil shocks us- ing non-Bayesian vector autoregressions. LÄS MER
5. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. LÄS MER