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  • 1.
    Abbas, Khaled A
    et al.
    Egyptian National Institute of Transport.
    Al-Hosseiny, Ahmed T
    Egyptian National Institute of Transport.
    A generic approach for in depth statistical investigation of accident characteristics and causes2001In: Proceedings of the conference Traffic Safety on Three Continents: International conference in Moscow, Russia, 19-21 September, 2001 / [ed] Asp, Kenneth, Linköping: Statens väg- och transportforskningsinstitut, 2001, Vol. 18A:3, p. 13-Conference paper (Other academic)
    Abstract [en]

    The main aim of this research is to develop a generic approach for the utilization of statistical methods to conduct depth investigation of road accident characteristics and causes. This approach is applied in an effort to analyse the 1998 accident database for the main rural roads in Egypt. This database is composed of traffic accident data collected for 14 road sections representing nine major roads of the Egyptian rural road network. The proposed approach is composed of two main stages of analysis. Within each stage, several analytical steps are conducted. The first stage is mainly concerned with developing cluster bar charts, where different characteristics and causes of accidents are portrayed in relation to variations in the three main accident contributing factors, namely types of roads, vehicles and drivers. The second stage is concerned with conducting in-depth statistical analysis of the collected accident data. Within this stage, four levels of statistical investigations were conducted. These are meant to examine a number of issues.

  • 2.
    Abbaszadeh Shahri, Abbas
    et al.
    KTH, School of Architecture and the Built Environment (ABE), Civil and Architectural Engineering.
    Larsson, Stefan
    KTH, School of Architecture and the Built Environment (ABE), Civil and Architectural Engineering, Soil and Rock Mechanics.
    Johansson, Fredrik
    KTH, School of Architecture and the Built Environment (ABE), Civil and Architectural Engineering, Soil and Rock Mechanics.
    Updated relations for the uniaxial compressive strength of marlstones based on P-wave velocity and point load index test2016In: INNOVATIVE INFRASTRUCTURE SOLUTIONS, ISSN 2364-4176, Vol. 1, no 1, article id UNSP 17Article in journal (Refereed)
    Abstract [en]

    Although there are many proposed relations for different rock types to predict the uniaxial compressive strength (UCS) as a function of P-wave velocity (V-P) and point load index (Is), only a few of them are focused on marlstones. However, these studies have limitations in applicability since they are mainly based on local studies. In this paper, an attempt is therefore made to present updated relations for two previous proposed correlations for marlstones in Iran. The modification process is executed through multivariate regression analysis techniques using a provided comprehensive database for marlstones in Iran, including UCS, V-P and Is from publications and validated relevant sources comprising 119 datasets. The accuracy, appropriateness and applicability of the obtained modifications were tested by means of different statistical criteria and graph analyses. The conducted comparison between updated and previous proposed relations highlighted better applicability in the prediction of UCS using the updated correlations introduced in this study. However, the derived updated predictive models are dependent on rock types and test conditions, as they are in this study.

  • 3.
    Abdalmoaty, Mohamed
    KTH, School of Electrical Engineering (EES), Automatic Control.
    Learning Stochastic Nonlinear Dynamical Systems Using Non-stationary Linear Predictors2017Licentiate thesis, monograph (Other academic)
    Abstract [en]

    The estimation problem of stochastic nonlinear parametric models is recognized to be very challenging due to the intractability of the likelihood function. Recently, several methods have been developed to approximate the maximum likelihood estimator and the optimal mean-square error predictor using Monte Carlo methods. Albeit asymptotically optimal, these methods come with several computational challenges and fundamental limitations.

    The contributions of this thesis can be divided into two main parts. In the first part, approximate solutions to the maximum likelihood problem are explored. Both analytical and numerical approaches, based on the expectation-maximization algorithm and the quasi-Newton algorithm, are considered. While analytic approximations are difficult to analyze, asymptotic guarantees can be established for methods based on Monte Carlo approximations. Yet, Monte Carlo methods come with their own computational difficulties; sampling in high-dimensional spaces requires an efficient proposal distribution to reduce the number of required samples to a reasonable value.

    In the second part, relatively simple prediction error method estimators are proposed. They are based on non-stationary one-step ahead predictors which are linear in the observed outputs, but are nonlinear in the (assumed known) input. These predictors rely only on the first two moments of the model and the computation of the likelihood function is not required. Consequently, the resulting estimators are defined via analytically tractable objective functions in several relevant cases. It is shown that, under mild assumptions, the estimators are consistent and asymptotically normal. In cases where the first two moments are analytically intractable due to the complexity of the model, it is possible to resort to vanilla Monte Carlo approximations. Several numerical examples demonstrate a good performance of the suggested estimators in several cases that are usually considered challenging.

  • 4.
    Abdumuminov, Shuhrat
    et al.
    Mälardalen University, School of Education, Culture and Communication.
    Esteky, David Emanuel
    Mälardalen University, School of Education, Culture and Communication.
    Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz Mean-Variance model. Although well-known model such as Mean-Variance is academically sound and popular, it is rarely used among asset managers due to its deficiencies. To put the discussion into context we shed light on the improvement made by Fisher Black and Robert Litterman by putting the performance and practicality of both Black- Litterman and Markowitz Mean-Variance models into test. We will illustrate detailed mathematical derivations of how the models are constructed and bring clarity and profound understanding of the intuition behind the models. We generate two different portfolios, composing data from 10-Swedish equities over the course of 10-year period and respectively select 30-days Swedish Treasury Bill as a risk-free rate. The resulting portfolios orientate our discussion towards the better comparison of the performance and applicability of these two models and we will theoretically and geometrically illustrate the differences. Finally, based on extracted results of the performance of both models we demonstrate the superiority and practicality of Black-Litterman model, which in our particular case outperform traditional Mean- Variance model.

  • 5.
    Abrahamson, Peter
    et al.
    Örebro University, Swedish Business School at Örebro University.
    Bodin, Daniel
    Örebro University, Swedish Business School at Örebro University.
    Behov av stödundervisning i grundskolan: En designbaserad analys av longitudinella data2008Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
  • 6.
    Abrahamsson, Linda
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Mathematical Statistics.
    Statistical models of breast cancer tumour growth for mammography screening data2012Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
  • 7.
    Abrahamsson, Per Anders
    et al.
    Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science. Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science.
    Adami, Hans Olov
    Taube, Adam
    Kim, KyungMann
    Zelen, Marvin
    Kulldorff, Martin
    Re: Long-term survival and mortality in prostate cancer treated with noncurative intent1995In: UROLGY, Vol. 154, p. 460-465Article in journal (Refereed)
  • 8.
    Abramowicz, Konrad
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Numerical analysis for random processes and fields and related design problems2011Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    In this thesis, we study numerical analysis for random processes and fields. We investigate the behavior of the approximation accuracy for specific linear methods based on a finite number of observations. Furthermore, we propose techniques for optimizing performance of the methods for particular classes of random functions. The thesis consists of an introductory survey of the subject and related theory and four papers (A-D).

    In paper A, we study a Hermite spline approximation of quadratic mean continuous and differentiable random processes with an isolated point singularity. We consider a piecewise polynomial approximation combining two different Hermite interpolation splines for the interval adjacent to the singularity point and for the remaining part. For locally stationary random processes, sequences of sampling designs eliminating asymptotically the effect of the singularity are constructed.

    In Paper B, we focus on approximation of quadratic mean continuous real-valued random fields by a multivariate piecewise linear interpolator based on a finite number of observations placed on a hyperrectangular grid. We extend the concept of local stationarity to random fields and for the fields from this class, we provide an exact asymptotics for the approximation accuracy. Some asymptotic optimization results are also provided.

    In Paper C, we investigate numerical approximation of integrals (quadrature) of random functions over the unit hypercube. We study the asymptotics of a stratified Monte Carlo quadrature based on a finite number of randomly chosen observations in strata generated by a hyperrectangular grid. For the locally stationary random fields (introduced in Paper B), we derive exact asymptotic results together with some optimization methods. Moreover, for a certain class of random functions with an isolated singularity, we construct a sequence of designs eliminating the effect of the singularity.

    In Paper D, we consider a Monte Carlo pricing method for arithmetic Asian options. An estimator is constructed using a piecewise constant approximation of an underlying asset price process. For a wide class of Lévy market models, we provide upper bounds for the discretization error and the variance of the estimator. We construct an algorithm for accurate simulations with controlled discretization and Monte Carlo errors, andobtain the estimates of the option price with a predetermined accuracy at a given confidence level. Additionally, for the Black-Scholes model, we optimize the performance of the estimator by using a suitable variance reduction technique.

  • 9.
    Abramowicz, Konrad
    et al.
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Arnqvist, Per
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Sjöstedt de Luna, Sara
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Secchi, Piercesare
    Vantini, Simone
    Vitelli, Valeria
    Was it snowing on lake Kassjön in January 4486 BC? Functional data analysis of sediment data.2014In: Proceedings of the Third International Workshop on Functional and Operatorial Statistics (IWFOS 2014), Stresa, Italy, June 2014, 2014Conference paper (Refereed)
  • 10.
    Abramowicz, Konrad
    et al.
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Häger, Charlotte
    Umeå University, Faculty of Medicine, Department of Community Medicine and Rehabilitation, Physiotherapy.
    Hérbert-Losier, Kim
    National Sports Institute of Malaysia.
    Pini, Alessia
    MOX – Department of Mathematics, Politecnico di Milano.
    Schelin, Lina
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics. Umeå University, Faculty of Medicine, Department of Community Medicine and Rehabilitation, Physiotherapy.
    Strandberg, Johan
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Vantini, Simone
    MOX – Department of Mathematics, Politecnico di Milano.
    An inferential framework for domain selection in functional anova2014In: Contributions in infinite-dimensional statistics and related topics / [ed] Bongiorno, E.G., Salinelli, E., Goia, A., Vieu, P, Esculapio , 2014Conference paper (Refereed)
    Abstract [en]

    We present a procedure for performing an ANOVA test on functional data, including pairwise group comparisons. in a Scheff´e-like perspective. The test is based on the Interval Testing Procedure, and it selects intervals where the groups significantly differ. The procedure is applied on the 3D kinematic motion of the knee joint collected during a functional task (one leg hop) performed by three groups of individuals.

  • 11. Abramowicz, Konrad
    et al.
    Häger, Charlotte K.
    Pini, Alessia
    Schelin, Lina
    Sjöstedt de Luna, Sara
    Vantini, Simone
    Nonparametric inference for functional-on-scalar linear models applied to knee kinematic hop data after injury of the anterior cruciate ligament2018In: Scandinavian Journal of Statistics, Vol. 0, no 0Article in journal (Refereed)
    Abstract [en]

    Motivated by the analysis of the dependence of knee movement patterns during functional tasks on subject-specific covariates, we introduce a distribution-free procedure for testing a functional-on-scalar linear model with fixed effects. The procedure does not only test the global hypothesis on the entire domain but also selects the intervals where statistically significant effects are detected. We prove that the proposed tests are provided with an asymptotic control of the intervalwise error rate, that is, the probability of falsely rejecting any interval of true null hypotheses. The procedure is applied to one-leg hop data from a study on anterior cruciate ligament injury. We compare knee kinematics of three groups of individuals (two injured groups with different treatments and one group of healthy controls), taking individual-specific covariates into account.

  • 12.
    Abramowicz, Konrad
    et al.
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Seleznjev, Oleg
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    On the error of the Monte Carlo pricing method for Asian option2008In: Journal of Numerical and Applied Mathematics, ISSN 0868-6912, Vol. 96, no 1, p. 1-10Article in journal (Refereed)
    Abstract [en]

    We consider a Monte Carlo method to price a continuous arithmetic Asian option with a given precision. Piecewise constant approximation and plain simulation are used for a wide class of models based on L\'{e}vy processes. We give bounds of the possible discretization and simulation errors. The sufficient numbers of discretization points and simulations to obtain requested accuracy are derived. To demonstrate the general approach, the Black-Scholes model is studied in more detail. We undertake the case of continuous averaging and starting time zero,  but the obtained results can be applied to the discrete case  and generalized for any time before an execution date. Some numerical experiments and comparison to the PDE based method are also presented.

  • 13.
    Abramowicz, Konrad
    et al.
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Seleznjev, Oleg
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Piecewise multilinear interpolation of a random field2013In: Advances in Applied Probability, ISSN 0001-8678, E-ISSN 1475-6064, Vol. 45, no 4, p. 945-959Article in journal (Refereed)
    Abstract [en]

    We consider a piecewise-multilinear interpolation of a continuous random field on a d-dimensional cube. The approximation performance is measured using the integrated mean square error. Piecewise-multilinear interpolator is defined by N-field observations on a locations grid (or design). We investigate the class of locally stationary random fields whose local behavior is like a fractional Brownian field, in the mean square sense, and find the asymptotic approximation accuracy for a sequence of designs for large N. Moreover, for certain classes of continuous and continuously differentiable fields, we provide the upper bound for the approximation accuracy in the uniform mean square norm.

  • 14.
    Abramowicz, Konrad
    et al.
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Seleznjev, Oleg
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Stratified Monte Carlo quadrature for continuous random fields2015In: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 17, no 1, p. 59-72Article in journal (Refereed)
    Abstract [en]

    We consider the problem of numerical approximation of integrals of random fields over a unit hypercube. We use a stratified Monte Carlo quadrature and measure the approximation performance by the mean squared error. The quadrature is defined by a finite number of stratified randomly chosen observations with the partition generated by a rectangular grid (or design). We study the class of locally stationary random fields whose local behavior is like a fractional Brownian field in the mean square sense and find the asymptotic approximation accuracy for a sequence of designs for large number of the observations. For the H¨older class of random functions, we provide an upper bound for the approximation error. Additionally, for a certain class of isotropic random functions with an isolated singularity at the origin, we construct a sequence of designs eliminating the effect of the singularity point.

  • 15.
    Abramowizc, Konrad
    et al.
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Arnqvist, Per
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Secchi, Piercesare
    Politecnico di Milano, Italy.
    Sjöstedt de Luna, Sara
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Vantini, Simone
    Politecnico di Milano, Italy.
    Vitelli, Valeria
    Oslo University, Norway.
    Clustering misaligned dependent curves applied to varved lake sediment for climate reconstruction2017In: Stochastic environmental research and risk assessment (Print), ISSN 1436-3240, E-ISSN 1436-3259, Vol. 31, no 1, p. 71-85Article in journal (Refereed)
    Abstract [en]

    In this paper we introduce a novel functional clustering method, the Bagging Voronoi K-Medoid Aligment (BVKMA) algorithm, which simultaneously clusters and aligns spatially dependent curves. It is a nonparametric statistical method that does not rely on distributional or dependency structure assumptions. The method is motivated by and applied to varved (annually laminated) sediment data from lake Kassjön in northern Sweden, aiming to infer on past environmental and climate changes. The resulting clusters and their time dynamics show great potential for seasonal climate interpretation, in particular for winter climate changes.

  • 16.
    Abramsson, Evelina
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Grind, Kajsa
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Skattning av kausala effekter med matchat fall-kontroll data2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
  • 17.
    Achcar, JA
    et al.
    Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science.
    Agrawal, MC
    Anand, KN
    Ali, MM
    Ali, MM
    Bagui, SC
    Baker, RD
    Balamurali, S
    Balasooriya, U
    Bansal, AK
    Barry, J
    Bonett, DG
    Box, G
    Carling, K
    Caudill, SB
    Chakraborti, S
    Chatfield, C
    Chatterjee, S
    Cornell, JA
    Cox, D
    Draper, NR
    Ehrenberg, A
    Finney, DJ
    25 years of applied statistics1998In: JOURNAL OF APPLIED STATISTICS, ISSN 0266-4763, Vol. 25, no 1, p. 3-22Article in journal (Refereed)
  • 18. Adami, Hans-Olov
    et al.
    Bergström, Reinhold
    Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science.
    Weiderpass, Elisabete
    Persson, Ingemar
    Barlow, Lotti
    McLaughlin, Joseph K.
    Risk for endometrial cancer following breast cancer: A prospective study in Sweden1997In: Cancer Causes & Control, Vol. 8, p. 821-827Article in journal (Refereed)
  • 19. Adami, H-O
    et al.
    Bergström, R
    Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science.
    Engholm, G
    Nyrén, O
    Wolk, A
    Ekbom, A
    Englund, A
    Baron, J
    A prospective study of smoking and risk of prostate cancer1996In: Int J Cancer, Vol. 67, p. 764-768Article in journal (Refereed)
  • 20.
    Adami, J
    et al.
    Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science.
    Nyren, O
    Bergstrom, R
    Ekbom, A
    McLaughlin, JK
    Hogman, C
    Fraumeni, JF
    Glimelius, B
    Blood transfusion and non-Hodgkin lymphoma: Lack of association1997In: ANNALS OF INTERNAL MEDICINE, ISSN 0003-4819, Vol. 127, no 5, p. 365-&Article in journal (Refereed)
  • 21.
    Adesina, Owolabi Abiona
    Blekinge Institute of Technology, School of Engineering.
    Statistical Modelling and the Fokker-Planck Equation2008Independent thesis Advanced level (degree of Master (One Year))Student thesis
    Abstract [en]

    A stochastic process or sometimes called random process is the counterpart to a deterministic process in theory. A stochastic process is a random field, whose domain is a region of space, in other words, a random function whose arguments are drawn from a range of continuously changing values. In this case, Instead of dealing only with one possible 'reality' of how the process might evolve under time (as is the case, for example, for solutions of an ordinary differential equation), in a stochastic or random process there is some indeterminacy in its future evolution described by probability distributions. This means that even if the initial condition (or starting point) is known, there are many possibilities the process might go to, but some paths are more probable and others less. However, in discrete time, a stochastic process amounts to a sequence of random variables known as a time series. Over the past decades, the problems of synergetic are concerned with the study of macroscopic quantitative changes of systems belonging to various disciplines such as natural science, physical science and electrical engineering. When such transition from one state to another take place, fluctuations i.e. (random process) may play an important role. Fluctuations in its sense are very common in a large number of fields and nearly every system is subjected to complicated external or internal influences that are often termed noise or fluctuations. Fokker-Planck equation has turned out to provide a powerful tool with which the effects of fluctuation or noise close to transition points can be adequately be treated. For this reason, in this thesis work analytical and numerical methods of solving Fokker-Planck equation, its derivation and some of its applications will be carefully treated. Emphasis will be on both for one variable and N- dimensional cases.

  • 22. Adolfson, Malin
    et al.
    Laseen, Stefan
    Linde, Jesper
    Villani, Mattias
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Empirical properties of closed- and open-economy DSGE models of the Euro area2008In: Macroeconomic dynamics (Print), ISSN 1365-1005, E-ISSN 1469-8056, Vol. 12, p. 2-19Article in journal (Refereed)
    Abstract [en]

    In this paper, we compare the empirical proper-ties of closed- and open-economy DSGE models estimated on Euro area data. The comparison is made along several dimensions; we examine the models in terms of their marginal likelihoods, forecasting performance, variance decompositions, and their transmission mechanisms of monetary policy.

  • 23. Adolfson, Malin
    et al.
    Linde, Jesper
    Villani, Mattias
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Forecasting performance of an open economy DSGE model2007In: Econometric Reviews, ISSN 0747-4938, E-ISSN 1532-4168, Vol. 26, no 04-feb, p. 289-328Article in journal (Refereed)
    Abstract [en]

    This paper analyzes the forecasting performance of an open economy dynamic stochastic general equilibrium (DSGE) model, estimated with Bayesian methods, for the Euro area during 1994Q1-2002Q4. We compare the DSGE model and a few variants of this model to various reduced form forecasting models such as vector autoregressions (VARs) and vector error correction models (VECM), estimated both by maximum likelihood and, two different Bayesian approaches, and traditional benchmark models, e.g., the random. walk. The accuracy of point forecasts, interval forecasts and the predictive distribution as a whole are assessed in, an out-of-sample rolling event evaluation using several univariate and multivariate measures. The results show that the open economy DSGE model compares well with more empirical models and thus that the tension between, rigor and fit in older generations of DSGE models is no longer present. We also critically examine the role of Bayesian model probabilities and other frequently used low-dimensional summaries, e.g., the log determinant statistic, as measures of overall forecasting performance.

  • 24.
    Adolfsson, Chandra
    Örebro University, Department of Business, Economics, Statistics and Informatics.
    Utvärdering av granskningssystem för SCB:s undersökningar Kortperiodisk Sysselsättningsstatistik och Konjunkturstatistik över Vakanser2007Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [sv]

    I denna studie har undersökningarna Kortperiodisk Sysselsättningsstatistiks (KS) och Konjunkturstatistik över Vakansers (KV) befintliga granskningssystem utvärderats med avseende på hur effektivt det är. Processdata har framställts och analyserats. Resultaten tyder på att många av de inkomna blanketterna med misstänkt felaktiga uppgifter inte rättas upp, utan tvingas igenom trots att granskningssystemet ej accepterade uppgifterna. Det befintliga granskningssystemet har en högre träffsäkerhet avseende KS-undersökningen, men både KS och KV skulle kunnas granskas mer effektivt.

    För att utvärdera det befintliga granskningssystemet ytterligare användes en poängfunktion. Till studien fanns tillgång till både helt ogranskat material och helt granskat material och dessa material användes i poängfunktionen. Det uppräknade ogranskade värdet för varje objekt jämfördes med det uppräknade granskade värdet och ställdes i relation till respektive skattade branschtotal. De poängsatta blanketterna rangordnades sedan. Därefter analyserades materialet för att försöka finna var det skulle vara lämpligt att sätta det tröskelvärde som skulle skilja det material som ”egentligen” skulle ha behövts granskas från det som kunde ha lämnats orört. Att sätta tröskelvärdet är svårt. Här gjordes det godtyckligt utifrån kriterierna att det fel som införs i skattningarna för att allt material inte granskas skulle hållas så lågt som möjligt samt att antalet blanketter som skulle behöva granskas manuellt av produktionsgruppen också skulle hållas så lågt som möjligt. Även här visade det sig att det befintliga granskningssystemet inte är så effektivt som önskas. När resultaten från denna del av utvärderingen analyserades upptäcktes problem som beror på blankettutformningen. Skulle blanketterna ses över och åtgärdas skulle det fel som införs för att allt material inte granskas kunna minskas avsevärt. Genom att minska det införda felet kan tröskelvärdet förmodligen sättas på en ny nivå vilket medför att omfattningen av granskningen skulle minska ytterligare.

    Hur skulle då ett mer effektivt granskningssystem kunna se ut? I den här studien har valet fallit på att testa ”significance editing” på KS-undersökningen, det som på svenska kallas för effektgranskning. En poängfunktion användes även här, denna tilldelar de inkomna blanketterna varsin poäng och dessa poäng rangordnas därefter. Efter att poängen rangordnats bestäms en gräns, ett tröskelvärde, och de blanketter med en poäng som överstiger tröskelvärdet granskas och rättas upp av produktionsgruppen. De blanketter med en poäng som understiger det satta tröskelvärdet rättas inte upp, utan behåller sina originalvärden. Poängfunktionen jämför det inkomna ogranskade, uppräknade, värdet med ett uppräknat ”förväntat” värde och ställer denna differens i relation till den skattade branschtotalen. Svårigheten ligger ofta i att hitta ett bra förväntat värde och detta problem uppstår ideligen i urvalsundersökningar. Tanken med effektgranskning är att omfattningen av granskningen ska minska och den granskning som utförs ska ha effekt på slutresultatet.

    Det var inte lätt att hitta ett bra förväntat värde på den tid som stod till förfogande. Två problem som snabbt upptäcktes var dels att i KS-undersökningen finns inte uträknade säsongs- eller trendfaktorer per variabel. Dessutom byttes en mycket stor del av urvalet ut till kvartal 2 (som denna studie har avgränsats till att behandla). Detta har fått till följd att cirka hälften av objekten i urvalet inte går att följa bakåt i tiden eftersom de inte ingått i urvalet tidigare. I studien har respektive stratums medelvärde använts som förväntat värde. Resultaten visar att det valda förväntade värdet inte skulle ha använts i praktiken, men det fungerar bra i syfte att illustrera hur det i praktiken skulle kunna gå till att införa en mer effektiv granskning.

  • 25.
    Adolfsson, Per
    et al.
    Örebro University, Örebro University School of Business.
    Ivic, Marijo
    Örebro University, Örebro University School of Business.
    Ett försök till att statistiskt modellera matchutfall för fotbollens division 1 för herrar i Sverige2012Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
  • 26.
    Adriansson, Nils
    et al.
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Mattsson, Ingrid
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Forecasting GDP Growth, or How Can Random Forests Improve Predictions in Economics?2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    GDP is used to measure the economic state of a country and accurate forecasts of it is therefore important. Using the Economic Tendency Survey we investigate forecasting quarterly GDP growth using the data mining technique Random Forest. Comparisons are made with a benchmark AR(1) and an ad hoc linear model built on the most important variables suggested by the Random Forest. Evaluation by forecasting shows that the Random Forest makes the most accurate forecast supporting the theory that there are benefits to using Random Forests on economic time series. 

  • 27.
    Agering, Harald
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
    True risk of illiquid investments2018Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Alternative assets are becoming a considerable portion of global financial markets. Some of these alternative assets are highly illiquid, and as such they may require more intricate methods for calculating risk and performance statistics accurately. Research on hedge funds has established a pattern of risk being understated and various measures of performance being overstated due to illiquidity of the assets. This paper sets out to prove the existence of such bias and presents methods for removing it. Four mathematical methods aiming to adjust statistics for sparse return series were considered, and an implementation was carried out for data on private equity, real estate and infrastructure assets. The results indicate that there are in general substantial adjustments made to the risk and performance statistics of the illiquid assets when using these methods. In particular, the volatility and market exposure were adjusted upwards while manager skill and risk-adjusted performance were adjusted downwards.

  • 28.
    Aghababa, Somayeh
    Linnaeus University, Faculty of Engineering and Technology, Department of Mathematics.
    Extremal dependency:The GARCH(1,1) model and an Agent based model2013Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    This thesis focuses on stochastic processes and some of their properties are investigated which are necessary to determine the tools, the extremal index and the extremogram. Both mathematical tools measure extremal dependency within random time series. Two different models are introduced and related properties are discussed. The probability function of the Agent based model is surveyed explicitly and strong stationarity is proven. Data sets for both processes are simulated and clustering of the data is investigated with two different methods. Finally an estimation of the extremogram is used to interpret dependency of extremes within the data.

  • 29.
    Aghanavesi, Somayeh
    et al.
    Dalarna University, School of Technology and Business Studies, Microdata Analysis.
    Memedi, Mevludin
    Dalarna University, School of Technology and Business Studies, Computer Engineering. Örebro universitet.
    Dougherty, Mark
    Dalarna University, School of Technology and Business Studies, Microdata Analysis.
    Nyholm, Dag
    Uppsala universitet.
    Westin, Jerker
    Dalarna University, School of Technology and Business Studies, Computer Engineering.
    Verification of a method for measuring Parkinson's disease related temporal irregularity in spiral drawings2017In: Sensors, ISSN 1424-8220, E-ISSN 1424-8220, Vol. 17, no 10, article id E2341Article in journal (Refereed)
    Abstract [en]

    Parkinson's disease (PD) is a progressive movement disorder caused by the death of dopamine-producing cells in the midbrain. There is a need for frequent symptom assessment, since the treatment needs to be individualized as the disease progresses. The aim of this paper was to verify and further investigate the clinimetric properties of an entropy-based method for measuring PD-related upper limb temporal irregularities during spiral drawing tasks. More specifically, properties of a temporal irregularity score (TIS) for patients at different stages of PD, and medication time points were investigated. Nineteen PD patients and 22 healthy controls performed repeated spiral drawing tasks on a smartphone. Patients performed the tests before a single levodopa dose and at specific time intervals after the dose was given. Three movement disorder specialists rated videos of the patients based on the unified PD rating scale (UPDRS) and the Dyskinesia scale. Differences in mean TIS between the groups of patients and healthy subjects were assessed. Test-retest reliability of the TIS was measured. The ability of TIS to detect changes from baseline (before medication) to later time points was investigated. Correlations between TIS and clinical rating scores were assessed. The mean TIS was significantly different between healthy subjects and patients in advanced groups (p-value = 0.02). Test-retest reliability of TIS was good with Intra-class Correlation Coefficient of 0.81. When assessing changes in relation to treatment, TIS contained some information to capture changes from Off to On and wearing off effects. However, the correlations between TIS and clinical scores (UPDRS and Dyskinesia) were weak. TIS was able to differentiate spiral drawings drawn by patients in an advanced stage from those drawn by healthy subjects, and TIS had good test-retest reliability. TIS was somewhat responsive to single-dose levodopa treatment. Since TIS is an upper limb high-frequency-based measure, it cannot be detected during clinical assessment.

  • 30.
    Ahlberg, Daniel
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Probability Theory. Inst Nacl Matemat Pura & Aplicada, Estr Dona Castorina 110, BR-22460320 Rio De Janeiro, Brazil.;Uppsala Univ, Dept Math, SE-75106 Uppsala, Sweden..
    Steif, Jeffrey E.
    Univ Gothenburg, Chalmers Univ Technol, Math Sci, SE-41296 Gothenburg, Sweden..
    Pete, Gabor
    Hungarian Acad Sci, Renyi Inst, 13-15 Realtanoda U, H-1053 Budapest, Hungary.;Budapest Univ Technol & Econ, Inst Math, 1 Egry Jozsef U, H-1111 Budapest, Hungary..
    Scaling limits for the threshold window: When does a monotone Boolean function flip its outcome?2017In: Annales de l'I.H.P. Probabilites et statistiques, ISSN 0246-0203, E-ISSN 1778-7017, Vol. 53, no 4, p. 2135-2161Article in journal (Refereed)
    Abstract [en]

    Consider a monotone Boolean function f : {0, 1}(n) -> {0, 1} and the canonical monotone coupling {eta(p) : p is an element of [0, 1]} of an element in {0, 1}(n) chosen according to product measure with intensity p is an element of [0, 1]. The random point p is an element of [0, 1] where f (eta(p)) flips from 0 to 1 is often concentrated near a particular point, thus exhibiting a threshold phenomenon. For a sequence of such Boolean functions, we peer closely into this threshold window and consider, for large n, the limiting distribution (properly normalized to be nondegenerate) of this random point where the Boolean function switches from being 0 to 1. We determine this distribution for a number of the Boolean functions which are typically studied and pay particular attention to the functions corresponding to iterated majority and percolation crossings. It turns out that these limiting distributions have quite varying behavior. In fact, we show that any nondegenerate probability measure on R arises in this way for some sequence of Boolean functions.

  • 31.
    Ahlgren, Marcus
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Claims Reserving using Gradient Boosting and Generalized Linear Models2018Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    One fundamental function of an insurance company revolves around calculating the expected claims costs for which the insurer has to compensate its policyholders for. This is the process of claims reserving which is practised by actuaries using statistical methods. Over the last few decades statistical learning methods have become increasingly popular due to their ability to find complex patterns in any type of data. However, they have not been widely adapted within the insurance sector. In this thesis we evaluate the capability of claims reserving with the method of gradient boosting, a non-parametric statistical learning method that has proven to be successful within multiple other disciplines which has made it very popular. The gradient boosting technique is compared with the generalized linear model(GLM) which is widely used for modelling claims. We compare the models by using a claims data set provided by Länsförsäkringar AB which allows us to train the models and evaluate their performance on data not yet seen by the models. The models were implemented using R. The results show that the GLM has a lower prediction error. Also, the gradient boosting method requires more fine tuning to handle claims data properly while the GLM already possesses certain features that makes it suitable for claims reserving without making as many adjustments in the model implementation. The advantage of capturing complex dependencies in data is not fully utilized in this thesis since we only work with 6 predictor variables. It is more likely that gradient boosting can compete with GLM when predicting more complicated claims.

  • 32.
    Ahlgren, Markus
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Internal Market Risk Modelling for Power Trading Companies2015Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Since the financial crisis of 2008, the risk awareness has increased in the -financial sector. Companies are regulated with regards to risk exposure. These regulations are driven by the Basel Committee that formulates broad supervisory standards, guidelines and recommends statements of best practice in banking supervision. In these regulations companies are regulated with own funds requirements for market risks.

    This thesis constructs an internal model for risk management that, according to the "Capital Requirements Regulation" (CRR) respectively the "Fundamental Review of the Trading Book" (FRTB), computes the regulatory capital requirements for market risks. The capital requirements according to CRR and FRTB are compared to show how the suggested move to an expected shortfall (ES) based model in FRTB will affect the capital requirements. All computations are performed with data that have been provided from a power trading company to make the results fit reality. In the results, when comparing the risk capital requirements according to CRR and FRTB for a power portfolio with only linear assets, it shows that the risk capital is higher using the value-at-risk (VaR) based model. This study shows that the changes in risk capital mainly depend on the different methods of calculating the risk capital according to CRR and FRTB respectively and minor on the change of risk measure.

  • 33.
    Ahlinder, Jon
    et al.
    Totalförsvarets Forskningsinstitut, FOI, Stockholm, Sweden.
    Nordgaard, Anders
    Swedish National Forensic Centre (NFC), Linköping, Sweden.
    Wiklund Lindström, Susanne
    Totalförsvarets Forskningsinstitut, FOI, Stockholm, Sweden.
    Chemometrics comes to court: evidence evaluation of chem–bio threat agent attacks2015In: Journal of Chemometrics, ISSN 0886-9383, E-ISSN 1099-128X, Vol. 29, no 5, p. 267-276Article in journal (Refereed)
    Abstract [en]

    Forensic statistics is a well-established scientific field whose purpose is to statistically analyze evidence in order to support legal decisions. It traditionally relies on methods that assume small numbers of independent variables and multiple samples. Unfortunately, such methods are less applicable when dealing with highly correlated multivariate data sets such as those generated by emerging high throughput analytical technologies. Chemometrics is a field that has a wealth of methods for the analysis of such complex data sets, so it would be desirable to combine the two fields in order to identify best practices for forensic statistics in the future. This paper provides a brief introduction to forensic statistics and describes how chemometrics could be integrated with its established methods to improve the evaluation of evidence in court.

    The paper describes how statistics and chemometrics can be integrated, by analyzing a previous know forensic data set composed of bacterial communities from fingerprints. The presented strategy can be applied in cases where chemical and biological threat agents have been illegally disposed.

  • 34.
    Ahmad, M Rauf
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Location-invariant and non-invariant tests for large dimensional covariance matrices under normality and non-normality2014Report (Other academic)
    Abstract [en]

    Test statistics for homogeneity, sphericity and identity of high-dimensional covariance matrices are presented under a wide variety of very general conditions when the dimension of the vector, $p$, may exceed the sample size, $n_i$, $i = 1, \ldots, g$. First, location-invariant tests are presented under normality assumption, followed by their robustness to normality by replacing the normality assumption with a mild alternative multivariate model. The two types of tests are then presented in non-invariant form, again under normality and non-normality. Tests of homogeneity of covariance matrices in all cases are immediately supplemented by the tests for sphericity and identity of the common covariance matrix under the null hypothesis. Both location-invariant and non-invariant tests are composed of estimators that are defined as $U$-statistics with kernels of different degrees. Hence, the asymptotic theory of $U$-statistics is employed to arrive at the limiting null and alternative distributions of tests for all cases. These limit distributions are derived using a very mild and practically viable set of assumptions mainly on the traces of the unknown covariance matrices. Finally, corrections and improvements of a few other tests are also presented.

  • 35.
    Ahmad, M. Rauf
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Location-invariant Multi-sample U-tests for Covariance Matrices with Large Dimension2017In: Scandinavian Journal of Statistics, ISSN 0303-6898, E-ISSN 1467-9469, Vol. 44, no 2, p. 500-523Article in journal (Refereed)
    Abstract [en]

    For two or more multivariate distributions with common covariance matrix, test statistics for certain special structures of the common covariance matrix are presented when the dimension of the multivariate vectors may exceed the number of such vectors. The test statistics are constructed as functions of location-invariant estimators defined as U-statistics, and the corresponding asymptotic theory is used to derive the limiting distributions of the proposed tests. The properties of the test statistics are established under mild and practical assumptions, and the same are numerically demonstrated using simulation results with small or moderate sample sizes and large dimensions.

  • 36.
    Ahmad, M. Rauf
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Location-invariant tests of homogeneity of large-dimensional covariance matrices2017In: Journal of Statistical Theory and Practice, ISSN 1559-8608, E-ISSN 1559-8616, Vol. 11, no 4, p. 731-745Article in journal (Refereed)
    Abstract [en]

    A test statistic for homogeneity of two or more covariance matrices of large dimensions is presented when the data are multivariate normal. The statistic is location-invariant and defined as a function of U-statistics of non-degenerate kernels so that the corresponding asymptotic theory is employed to derive the limiting normal distribution of the test under a few mild and practical assumptions. Accuracy of the test is shown through simulations with different parameter settings.

  • 37.
    Ahmad, M. Rauf
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Testing homogeneity of several covariance matrices and multi-sample sphericity for high-dimensional data under non-normality2017In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 8, p. 3738-3753Article in journal (Refereed)
    Abstract [en]

    A test for homogeneity of g 2 covariance matrices is presented when the dimension, p, may exceed the sample size, n(i), i = 1, ..., g, and the populations may not be normal. Under some mild assumptions on covariance matrices, the asymptotic distribution of the test is shown to be normal when n(i), p . Under the null hypothesis, the test is extended for common covariance matrix to be of a specified structure, including sphericity. Theory of U-statistics is employed in constructing the tests and deriving their limits. Simulations are used to show the accuracy of tests.

  • 38.
    Ahmad, M. Rauf
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Tests for independence of vectors with large dimension2017Report (Other academic)
    Abstract [en]

    Given a random sample of n iid vectors, each of dimension p and partitioned into b sub- vectors of sizes pi, i = 1;:::;b. Location-invariant and non-invariant test statistics for independence of sub-vectors are presented when pi may exceed n and the distribution need not be normal. The tests are composed of U -statistics based estimators of the Frobenius norm of the di erence between the null and alternative hypotheses. Asymptotic distributions of the tests are provided for n;pi! 1, where their nite-sample performance is demonstrated through simulations. Some related and subsequent tests are brie y described. Relations of the proposed tests to certain multivariate measures are discussed, which are of interest on their own.

  • 39.
    Ahmad, M. Rauf
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Ohlson, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    A U-statistics Based Approach to Mean Testing for High Dimensional Multivariate Data Under Non-normality2011Report (Other academic)
    Abstract [en]

    A test statistic is considered for testing a hypothesis for the mean vector for multivariate data, when the dimension of the vector, p, may exceed the number of vectors, n, and the underlying distribution need not necessarily be normal. With n, p large, and under mild assumptions, the statistic is shown to asymptotically follow a normal distribution. A by product of the paper is the approximate distribution of a quadratic form, based on the reformulation of well-known Box's approximation, under high-dimensional set up.

  • 40.
    Ahmad, M. Rauf
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Ohlson, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Department of Energy and Technology, Swedish Univerity of Agricultural Sciences, SE-750 07 Uppsala, Sweden.
    Some Tests of Covariance Matrices for High Dimensional Multivariate Data2011Report (Other academic)
    Abstract [en]

    Test statistics for sphericity and identity of the covariance matrix are presented, when the data are multivariate normal and the dimension, p, can exceed the sample size, n. Using the asymptotic theory of U-statistics, the test statistics are shown to follow an approximate normal distribution for large p, also when p >> n. The statistics are derived under very general conditions, particularly avoiding any strict assumptions on the traces of the unknown covariance matrix. Neither any relationship between n and p is assumed. The accuracy of the statistics is shown through simulation results, particularly emphasizing the case when p can be much larger than n. The validity of the commonly used assumptions for high-dimensional set up is also briefly discussed.

  • 41.
    Ahmad, M. Rauf
    et al.
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Pavlenko, Tatjana
    KTH, Stockholm, Sweden.
    A U-classifier for high-dimensional data under non-normality2018In: Journal of Multivariate Analysis, ISSN 0047-259X, E-ISSN 1095-7243, Vol. 167, p. 269-283Article in journal (Refereed)
    Abstract [en]

    A classifier for two or more samples is proposed when the data are high-dimensional and the distributions may be non-normal. The classifier is constructed as a linear combination of two easily computable and interpretable components, the U-component and the P-component. The U-component is a linear combination of U-statistics of bilinear forms of pairwise distinct vectors from independent samples. The P-component, the discriminant score, is a function of the projection of the U-component on the observation to be classified. Together, the two components constitute an inherently bias-adjusted classifier valid for high-dimensional data. The classifier is linear but its linearity does not rest on the assumption of homoscedasticity. Properties of the classifier and its normal limit are given under mild conditions. Misclassification errors and asymptotic properties of their empirical counterparts are discussed. Simulation results are used to show the accuracy of the proposed classifier for small or moderate sample sizes and large dimensions. Applications involving real data sets are also included.

  • 42.
    Ahmad, M. Rauf
    et al.
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    von Rosen, D.
    Tests for high-dimensional covariance matrices using the theory of U-statistics2015In: Journal of Statistical Computation and Simulation, ISSN 0094-9655, E-ISSN 1563-5163, Vol. 85, no 13, p. 2619-2631Article in journal (Refereed)
    Abstract [en]

    Test statistics for sphericity and identity of the covariance matrix are presented, when the data are multivariate normal and the dimension, p, can exceed the sample size, n. Under certain mild conditions mainly on the traces of the unknown covariance matrix, and using the asymptotic theory of U-statistics, the test statistics are shown to follow an approximate normal distribution for large p, also when p >> n. The accuracy of the statistics is shown through simulation results, particularly emphasizing the case when p can be much larger than n. A real data set is used to illustrate the application of the proposed test statistics.

  • 43.
    Ahmad, M. Rauf
    et al.
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Von Rosen, Dietrich
    Tests of Covariance Matrices for High Dimensional Multivariate Data Under Non Normality2015In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 44, no 7, p. 1387-1398Article in journal (Refereed)
    Abstract [en]

    Ahmad et al. (in press) presented test statistics for sphericity and identity of the covariance matrix of a multivariate normal distribution when the dimension, p, exceeds the sample size, n. In this note, we show that their statistics are robust to normality assumption, when normality is replaced with certain mild assumptions on the traces of the covariance matrix. Under such assumptions, the test statistics are shown to follow the same asymptotic normal distribution as under normality for large p, also whenp >> n. The asymptotic normality is proved using the theory of U-statistics, and is based on very general conditions, particularly avoiding any relationship between n and p.

  • 44.
    Ahmad, M. Rauf
    et al.
    Swedish University of Agricultural Sciences, Uppsala, Sweden and Department of Statistics, Uppsala University, Sweden.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    A note on mean testing for high dimensional multivariate data under non-normality2013In: Statistica neerlandica (Print), ISSN 0039-0402, E-ISSN 1467-9574, Vol. 67, no 1, p. 81-99Article in journal (Refereed)
    Abstract [en]

    A test statistic is considered for testing a hypothesis for the mean vector for multivariate data, when the dimension of the vector, p, may exceed the number of vectors, n, and the underlying distribution need not necessarily be normal. With n,p→∞, and under mild assumptions, but without assuming any relationship between n and p, the statistic is shown to asymptotically follow a chi-square distribution. A by product of the paper is the approximate distribution of a quadratic form, based on the reformulation of the well-known Box's approximation, under high-dimensional set up. Using a classical limit theorem, the approximation is further extended to an asymptotic normal limit under the same high dimensional set up. The simulation results, generated under different parameter settings, are used to show the accuracy of the approximation for moderate n and large p.

  • 45.
    Ahmady Phoulady, Hady
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Mathematical Statistics.
    Brownian Motions and Scaling Limits of Random Trees2011Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
  • 46.
    Ahmed, Ilyas
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Importance Sampling for Least-Square Monte Carlo Methods2016Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Pricing American style options is challenging due to early exercise opportunities. The conditional expectation in the Snell envelope, known as the continuation value is approximated by basis functions in the Least-Square Monte Carlo-algorithm, giving robust estimation for the options price. By change of measure in the underlying Geometric Brownain motion using Importance Sampling, the variance of the option price can be reduced up to 9 times. Finding the optimal estimator that gives the minimal variance requires careful consideration on the reference price without adding bias in the estimator. A stochastic algorithm is used to find the optimal drift that minimizes the second moment in the expression of the variance after change of measure. The usage of Importance Sampling shows significant variance reduction in comparison with the standard Least-Square Monte Carlo. However, Importance Sampling method may be a better alternative for more complex instruments with early exercise opportunity.

  • 47. Ahmed, S. Ejaz
    et al.
    Fallahpour, Saber
    von Rosen, Dietrich
    von Rosen, Tatjana
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Estimation of Several Intraclass Correlation Coefficients2015In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 44, no 9, p. 2315-2328Article in journal (Refereed)
    Abstract [en]

    An intraclass correlation coefficient observed in several populations is estimated. The basis is a variance-stabilizing transformation. It is shown that the intraclass correlation coefficient from any elliptical distribution should be transformed in the same way. Four estimators are compared. An estimator where the components in a vector consisting of the transformed intraclass correlation coefficients are estimated separately, an estimator based on a weighted average of these components, a pretest estimator where the equality of the components is tested and then the outcome of the test is used in the estimation procedure, and a James-Stein estimator which shrinks toward the mean.

  • 48.
    Ahmed, Uzair
    et al.
    Blekinge Institute of Technology, School of Engineering.
    Saqib, Muhammad
    Blekinge Institute of Technology, School of Engineering.
    Optimal Solutions Of Fuzzy Relation Equations2010Independent thesis Advanced level (degree of Master (Two Years))Student thesis
    Abstract [en]

    Fuzzy relation equations are becoming extremely important in order to investigate the optimal solution of the inverse problem even though there is a restrictive condition for the availability of the solution of such inverse problems. We discussed the methods for finding the optimal (maximum and minimum) solution of inverse problem of fuzzy relation equation of the form $R \circ Q = T$ where for both cases R and Q are kept unknown interchangeably using different operators (e.g. alpha, sigma etc.). The aim of this study is to make an in-depth finding of best project among the host of projects, depending upon different factors (e.g. capital cost, risk management etc.) in the field of civil engineering. On the way to accomplish this aim, two linguistic variables are introduced to deal with the uncertainty factor which appears in civil engineering problems. Alpha-composition is used to compute the solution of fuzzy relation equation. Then the evaluation of the projects is orchestrated by defuzzifying the obtained results. The importance of adhering to such synopsis, in the field of civil engineering, is demonstrated by an example.

  • 49.
    Ainomae, Ahti
    et al.
    KTH, School of Electrical Engineering and Computer Science (EECS), Information Science and Engineering.
    Bengtsson, Mats
    KTH, School of Electrical Engineering and Computer Science (EECS), Information Science and Engineering.
    Trump, Tonu
    Tallinn Univ Technol, Dept Radio & Telecommun Engn, EE-12616 Tallinn, Estonia..
    Distributed Largest Eigenvalue-Based Spectrum Sensing Using Diffusion LMS2018In: IEEE TRANSACTIONS ON SIGNAL AND INFORMATION PROCESSING OVER NETWORKS, ISSN 2373-776X, Vol. 4, no 2, p. 362-377Article in journal (Refereed)
    Abstract [en]

    In this paper, we propose a distributed detection scheme for cognitive radio (CR) networks, based on the largest eigenvalues (LEs) of adaptively estimated correlation matrices (CMs), assuming that the primary user signal is temporally correlated. The proposed algorithm is fully distributed, there by avoiding the potential single point of failure that a fusion center would imply. Different forms of diffusion least mean square algorithms are used for estimating and averaging the CMs over the CR network for the LE detection and the resulting estimation performance is analyzed using a common framework. In order to obtain analytic results on the detection performance, the exact distribution of the CM estimates are approximated by a Wishart distribution, by matching the moments. The theoretical findings are verified through simulations.

  • 50.
    Ajayi, Taiwo Seun
    Blekinge Institute of Technology, School of Engineering, Department of Telecommunication Systems.
    Mobile Satellite Communications: Channel Characterization and Simulation2007Independent thesis Advanced level (degree of Master (One Year))Student thesis
    Abstract [en]

    Abstract: The channel characterization of a mobile satellite communication which is an important and fast growing arm of wireless communication plays an important role in the transmission of information through a propagation medium from the transmitter to the receiver with minimum barest error rate putting into consideration the channel impairments of different geographical locations like urban, suburban, rural and hilly. The information transmitted from satellite to mobile terminals suffers amplitude attenuation and phase variation which is caused by multipath fading and signal shadowing effects of the environment. These channel impairments are commonly described by three fading phenomena which are Rayleigh fading, Racian fading and Log-normal fading which characterizes signal propagation in different environments. They are mixed in different proportions by different researchers to form a model to describe a particular channel. In the thesis, the general overview of mobile satellite is conducted including the classification of satellite by orbits, the channel impairments, the advantages of mobile satellite communication over terrestrial. Some of the major existing statistical models used in describing different type of channels are looked into and the best out of them which is Lutz model [6] is implemented. By simulating the Lutz model which described all possible type of environments into two states which represent non-shadowed or LOS and shadowed or NLOS conditions, shows that the BER is predominantly affected by shadowing factor.

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