Essays about: "Autoregressive modeling"

Showing result 1 - 5 of 23 essays containing the words Autoregressive modeling.

  1. 1. Credit Index Forecasting: Stability of an Autoregressive Model

    University essay from KTH/Matematik (Avd.)

    Author : Melker Wallén; Erik Grimlund; [2023]
    Keywords : Credit spreads; Time Series; Credit Risk; Index Modeling; Forecasting; Kreditspreadar; Tidsserier; Kreditrisk; Indexmodellering; Prognoser;

    Abstract : This thesis investigates the robustness and stability of total return series for credit bond index investments. Dueto the challenges which arise for financial institutes and investors in achieving these objectives, we aim to createa forecasting model which matches the statistical properties of historical data, while remaining robust, stable andeasy to calibrate. READ MORE

  3. 2. Implementing SAE Techniques to Predict Global Spectacles Needs

    University essay from Högskolan Dalarna/Institutionen för information och teknik

    Author : Yuxue Zhang; [2023]
    Keywords : small area estimation; area-level model; empirical best linear unbiased prediction EBLUP ; generalized linear mixed models; Conditional Autoregressive; spatial correlation; spectacle needs; assistive products; auxiliary data; hglm; relative standard error; simulation;

    Abstract : This study delves into the application of Small Area Estimation (SAE) techniques to enhance the accuracy of predicting global needs for assistive spectacles. By leveraging the power of SAE, the research undertakes a comprehensive exploration, employing arange of predictive models including Linear Regression (LR), Empirical Best Linear Unbiased Prediction (EBLUP), hglm (from R package) with Conditional Autoregressive (CAR), and Generalized Linear Mixed Models (GLMM). READ MORE

  4. 3. Portfolio Risk Modelling in Venture Debt

    University essay from KTH/Matematisk statistik

    Author : John Eriksson; Jacob Holmberg; [2023]
    Keywords : Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Abstract : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. READ MORE

  5. 4. Spatial modeling with INLA for analysis of unequal care in Skåne

    University essay from Lunds universitet/Matematisk statistik

    Author : Julia Wierzchoslawska; [2023]
    Keywords : Mathematics and Statistics;

    Abstract : The objective of this thesis is to extend on a previous analysis of health care accessibility for patients diagnosed with a chronic disease in Region Skåne. The previous analysis resulted in a logistic mixed effects model having municipality as a random effect and age as a first-degree spline-function. READ MORE

  6. 5. Forecasting Visitors in Smart Building Environments : Modeling and estimation of the number of guests using SARIMAX

    University essay from Högskolan i Halmstad/Akademin för informationsteknologi

    Author : Nour Alhuda Albashir; Hamoud Danial; [2023]
    Keywords : SARIMAX; People Counter; Time Series;

    Abstract : Time series modeling is a commonly used approach in exchange for studying and analyzing the data to support decision-making in companies based on historical data and thereby help them to save costs. This work introduces a forecasting framework that utilizes a seasonal autoregressive integrated moving average with exogenous variables (SARIMAX) model to forecast the number of people expected to enter a building within a short period. READ MORE