Search for dissertations about: "time-series data set"

Showing result 1 - 5 of 67 swedish dissertations containing the words time-series data set.

2. 1. 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

4. 2. Data Abstraction and Pattern Identification in Time-series Data

   Author : Prithiviraj Muthumanickam; Matthew Cooper; Katerina Vrotsou; Aida Nordman; Jimmy Johansson; Anders Ynnerman; Silvia Miksch; Linköpings universitet; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY;

   Abstract : Data sources such as simulations, sensor networks across many application domains generate large volumes of time-series data which exhibit characteristics that evolve over time. Visual data analysis methods can help us in exploring and understanding the underlying patterns present in time-series data but, due to their ever-increasing size, the visual data analysis process can become complex. READ MORE

5. 3. Modeling financial volatility : A functional approach with applications to Swedish limit order book data

   Author : Suad Elezovic; Xavier de Luna; Gunnar Rosenqvist; Umeå universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; Statistics; computer and systems science; Statistik; data- och systemvetenskap; ekonometri; Econometrics;

   Abstract : This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. READ MORE

6. 4. Some Contributions to Heteroscedastic Time Series Analysis and Computational Aspects of Bayesian VARs

   Author : Oskar Gustafsson; Pär Stockhammar; Domenico Giannone; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Time series; heteroscedasticity; variance stabilizing filters; Bayesian vector autoregressions; Bayesian optimization; variational inference; Statistics; statistik;

   Abstract : Time-dependent volatility clustering (or heteroscedasticity) in macroeconomic and financial time series has been analyzed for more than half a century. The inefficiencies it causes in various inference procedures are well known and understood. Despite this, heteroscedasticity is surprisingly often neglected in practical work. READ MORE

7. 5. Markov Regime Switching in Economic Time Series

   Author : Ulf Erlandsson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; forecasting; Markov switching; exchange rates; interest rates; business cycle; economic policy; economic systems; economic theory; econometrics; Economics; currency crisis;

   Abstract : This dissertation studies statistical properties and applications of the Markov switching models for economic time series in five separate papers. The two main statistical themes are (i) the task of choosing the number of states to use in the model, and (ii) inference on time-varying transition probabilities. READ MORE