Search for dissertations about: "Markov Chain Monte Carlo"

Showing result 1 - 5 of 67 swedish dissertations containing the words Markov Chain Monte Carlo.

  1. 1. Semi Markov chain Monte Carlo

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Håkan Ljung; [1999]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics; Adaptive simulation; error-in-the-variables; Kullback-Leibler divergence; Markov chain simulation; Markov chain Monte Carlo; semi-regenerative; MATEMATIK; MATHEMATICS; MATEMATIK; matematisk statistik; Mathematical Statistics;

    Abstract : The first paper introduces a new simulation technique, called semi Markov chain Monte Carlo, suitable for estimating the expectation of a fixed function over a distribution π, Eπf(χ). Given a Markov chain with stationary distribution p, for example a Markov chain corresponding to a Markov chain Monte Carlo algorithm, an embedded Markov renewal process is used to divide the trajectory into different parts. READ MORE

  2. 2. Financial Applications of Markov Chain Monte Carlo Methods

    University dissertation from Department of Economics, Lund Universtiy

    Author : Andreas Graflund; [2002]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finansiering; Financial science; ekonomiska system; ekonomisk politik; ekonomisk teori; Nationalekonomi; economic policy; economic systems; economic theory; Economics; econometrics; Mean Reversion; Diversification; Real Estate Stocks; Markov Chain Monte Carlo Methods; Stock Markets; ekonometri;

    Abstract : This thesis consists of four empirical studies on financial economics. The first chapter contains a short summary of the thesis. READ MORE

  3. 3. Rare-event simulation with Markov chain Monte Carlo

    University dissertation from Stockholm : KTH Royal Institute of Technology

    Author : Thorbjörn Gudmundsson; Henrik Hult; Ad Ridder; [2015]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Abstract : Stochastic simulation is a popular method for computing probabilities or expecta- tions where analytical answers are difficult to derive. It is well known that standard methods of simulation are inefficient for computing rare-event probabilities and there- fore more advanced methods are needed to those problems. READ MORE

  4. 4. Particle filters and Markov chains for learning of dynamical systems

    University dissertation from Stockholm : KTH Royal Institute of Technology

    Author : Fredrik Lindsten; Thomas B. Schön; Lennart Ljung; Fredrik Gustafsson; Arnaud Doucet; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; Bayesian learning; System identification; Sequential Monte Carlo; Markov chain Monte Carlo; Particle MCMC; Particle filters; Particle smoothers;

    Abstract : Sequential Monte Carlo (SMC) and Markov chain Monte Carlo (MCMC) methods provide computational tools for systematic inference and learning in complex dynamical systems, such as nonlinear and non-Gaussian state-space models. This thesis builds upon several methodological advances within these classes of Monte Carlo methods. READ MORE

  5. 5. On Bayesian graphical model determination

    University dissertation from Stockholm : Statistiska institutionen

    Author : Jukka Corander; Carlo Berzuini; [2000]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Bayesian inference; Entropy; Exponential models; Graphical models; Logarithmic utility; SOCIAL SCIENCES Statistics; computer and systems science Statistics; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap Statistik; statistik; Statistics;

    Abstract : A graphical model specifies a graph representation of the independence structure of a multivariate distribution, where nodes represent variables and edges association between variables.This thesis introduces methodology for determination of graphical models for multivariate distributions within the exponential family. READ MORE