Search for dissertations about: "C Shephard"

Found 2 swedish dissertations containing the words C Shephard.

2. 1. Probabilistic modeling in sports, finance and weather

   Author : Jan Lennartsson; Göteborgs universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical modelling; Game theory; Team sport tactics; Modern portfolio theory; Gaussian fields; Team sport tactics;

   Abstract : In this thesis, we build mathematical and statistical models for a wide variety of real world applications. The mathematical models include applications in team sport tactics and optimal portfolio selection, while the statistical modeling concerns weather and specifically precipitation. READ MORE

4. 2. On Bounds and Asymptotics of Sequential Monte Carlo Methods for Filtering, Smoothing, and Maximum Likelihood Estimation in State Space Models

   Author : Jimmy Olsson; Matematisk statistik; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; Matematik; Mathematics; state space models; smoothing; sequential Monte Carlo; particle filter; EM algorithm; maximum likelihood; consistency; Asymptotic normality; Statistik; operationsanalys; programmering; aktuariematematik;

   Abstract : This thesis is based on four papers (A-D) treating filtering, smoothing, and maximum likelihood (ML) estimation in general state space models using stochastic particle filters (also referred to as sequential Monte Carlo (SMC) methods). The aim of Paper A is to study the bias of Monte Carlo integration estimates produced by the so-called bootstrap particle filter. READ MORE