Search for dissertations about: "covariance parameters"

Showing result 1 - 5 of 96 swedish dissertations containing the words covariance parameters.

  2. 1. Contributions to Estimation and Testing Block Covariance Structures in Multivariate Normal Models

    Author : Yuli Liang; Tatjana von Rosen; Dietrich von Rosen; Ivan Žežula; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Block circular symmetry; covariance parameters; explicit maximum likelihood estimator; likelihood ratio test; restricted model; Toeplitz matrix; Statistics; statistik;

    Abstract : This thesis concerns inference problems in balanced random effects models with a so-called block circular Toeplitz covariance structure. This class of covariance structures describes the dependency of some specific multivariate two-level data when both compound symmetry and circular symmetry appear simultaneously. READ MORE

  4. 2. Essays on Mergers and Acquisitions and Event Studies

    Author : Mohammad Irani; Lars Nordén; Rickard Sandberg; Neslihan Ozkan; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; mergers and acquisitions; event study; prediction; payment method; conditional CAPM; time-varying parameters; structural change methodology; variance; covariance; företagsekonomi; Business Administration;

    Abstract : This dissertation consists of three studies on the anticipation of mergers and acquisitions (M&As) and its impact on takeover event studies. Article I investigates whether the market can anticipate both takeovers and their payment forms prior to their announcement dates. READ MORE

  5. 3. Modeling the covariance matrix of financial asset returns

    Author : Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Abstract : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. READ MORE

  6. 4. A study of multilevel models with block circular  symmetric covariance structures

    Author : Yuli Liang; Tatjana von Rosen; Dietrich von Rosen; Abdullah Almasri; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Block circular symmetry; Covariance matrix; Explicit solution; Maximum likelihood estimator; Multilevel model; Spectrum; statistik; Statistics; Matematik;

    Abstract : This thesis concerns the study of multilevel models with specific patterned covariance structures and addresses the issues of maximum likelihoodestimation. In particular, circular symmetric hierarchical datastructures are considered. READ MORE

  7. 5. Spectral Estimation by Geometric, Topological and Optimization Methods

    Author : Per Enqvist; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Spectral Estimation; ARMA models; Covariance analysis; Cepstral analysis; Markov parameters; Global analysis; Convex Optimization; Continuation methods; Entropy maximization; Optimization; systems theory; Optimeringslära; systemteori;

    Abstract : .... READ MORE