Search for dissertations about: "fractional statistics"

Showing result 1 - 5 of 20 swedish dissertations containing the words fractional statistics.

  2. 1. Testing for Periodicity and Trend in Long-Memory Processes

    Author : Abdullah Almasri; Statistiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; temperature data.; sunspots data; wind speed data; varve data; Siegel’s test; Fisher’s test; periodogram; Fractional difference process; Discrete wavelet transform; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik; Wavelets; Statistik;

    Abstract : This thesis presents methods of testing the periodicity and trend for the time series, which exhibit dependence over long periods of time. Many such processes can be modeled by a class of models called fractionally differenced processes. READ MORE

  4. 2. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

    Author : José Igor Morlanes; Andriy Andreev; Hans Nyquist; Henrik Hult; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; fractional Ornstein-Uhlenbeck process; insider information; simulation embedding method; jump times; least-squares estimator; likelihood process; Ito calculus; Malliavin calculus; stochastic calculus; Statistics; statistik;

    Abstract : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. READ MORE

  5. 3. Aspecte of Bayesian Cointegration

    Author : Mattias Villani; Daniel Thorburn; Rolf Larsson; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Bayesian inference; Cointegration; Estimation; Lag-length; Prediction; Restrictions; statistik; Statistics;

    Abstract : .... READ MORE

  6. 4. A Non-Gaussian Limit Process with Long-Range Dependence

    Author : Raimundas Gaigalas; Ingemar Kaj; Esko Valkeila; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; long-range dependence; traffic modelling; arrival process; self-similarity; heavy tails; fractional Brownian motion; stable processes; renewal processes; independently scattered random measure; weak convergence; 60F17; 60G18; 90B18; 60K05 ; Matematisk statistik; Mathematical statistics; Matematisk statistik;

    Abstract : This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. READ MORE

  7. 5. Numerical Approximation of Solutions to Stochastic Partial Differential Equations and Their Moments

    Author : Kristin Kirchner; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Petrov– Galerkin discretizations; Strong and weak convergence; Fractional operators; Finite element methods; Space-time variational problems; Tensor product spaces; Stochastic partial differential equations; White noise; Petrov– Galerkin discretizations;

    Abstract : The first part of this thesis focusses on the numerical approximation of the first two moments of solutions to parabolic stochastic partial differential equations (SPDEs) with additive or multiplicative noise. More precisely, in Paper I an earlier result (A. Lang, S. Larsson, and Ch. READ MORE