Search for dissertations about: "Vector autoregressive"

Showing result 1 - 5 of 24 swedish dissertations containing the words Vector autoregressive.

  2. 1. Bias approximation and reduction in vector autoregressive models

    Author : Tomas Brännström; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : In the last few decades, vector autoregressive (VAR) models have gained tremendous popularity as an all-purpose tool in econometrics and other disciplines. Some of their most prominent uses are for forecasting, causality tests, tests of economic theories, hypothesis-seeking, data characterisation, innovation accounting, policy analysis, and cointegration analysis. READ MORE

  4. 2. Common features in vector nonlinear time series models

    Author : Dao Li; Sune Karlsson; Kenneth Carling; Thomas Holgersson; Örebro universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; nonliearity; time series; econometrics; smooth transition; common features; cointegration; forecasting; residual-based; ppp; Statistics; Statistik; Complex Systems – Microdata Analysis;

    Abstract : This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in thesearea.Both stationary and nonstationary time series are concerned. READ MORE

  5. 3. Uncertainty quantification for time varying quantities in turbulent flows

    Author : Donnatella Xavier; Philipp Schlatter; Saleh Rezaeiravesh; Ricardo Vinuesa; David Moxey; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; uncertainty; variance estimator; autoregressive models; turbulence; computational fluid dynamics; Teknisk mekanik; Engineering Mechanics;

    Abstract : Quantification of uncertainty in results is crucial in both experiments and simulations of turbulence, yet this practice is notably underutilized. This thesis project delves into statistical tools within the framework of uncertainty quantification to systematically quantify uncertainties that occur in the time varying quantities of turbulence. READ MORE

  6. 4. A Bayesian approach to retrospective detection of change-points in road surface measurements

    Author : Fridtjof Thomas; Urban Hjort; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Change-point detection; retrospective view; autoregressive processes; minimal imaginary training sample; road surface measurements; international roughness index; rutting; Laser-RST vehicles; road maintenance; pavement management; statistik; Statistics;

    Abstract : First-order autoregressive processes are analysed for sudden changes in parameter value. In its most general form, a multivariate vector of measurements is allowed, and no prior knowledge about the involved parameters is required. READ MORE

  7. 5. VAR Models, Cointegration and Mixed-Frequency Data

    Author : Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

    Abstract : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. READ MORE