Essays about: "EWMA"

Showing result 26 - 30 of 31 essays containing the word EWMA.

  1. 26. An Artificial neural network approach for process variance change detection for both small and large shifts

    University essay from Lunds universitet/Statistiska institutionen

    Author : Babar Zaman; [2010]
    Keywords : Artificial Neural Network for process control; Mathematics and Statistics;

    Abstract : Nowadays Statistical process control charts (SPCC) has become powerful tools to monitor process variability of products in manufacturing environments. The artificial neural network (ANN) technique is also nowadays popular to use for monitoring process variability of products as an alternative to SPCC due to its superior performance. READ MORE

  3. 27. Pressure Monitoring and Fault Detection of an Anti-g Protection System

    University essay from Institutionen för systemteknik

    Author : Kim Andersson; [2010]
    Keywords : EWMA; JAS 39 Gripen; Anti-g system; Fault detection; CUSUM;

    Abstract : When flying a fighter aircraft such as the JAS 39 Gripen, the pilot is exposed to high g-loads. In order to prevent the draining of blood from the brain during this stress an anti-g protection system is used. The system consists of a pair of trousers, called the anti-g trousers, with inflatable bladders. READ MORE

  4. 28. On-line change-point detection procedures for Initial Public Offerings

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Author : Evgenia Shcherbakova; Olga Gogoleva; [2010]
    Keywords : Financial Mathematics; cange-point detection; monitoring;

    Abstract :   In this thesis we investigate the case of monitoring of stocks havingjust been introduced for public trading on the nancial market. Theempirical distribution of the change-point for 20 assets for 60 days was calculated to check the support for the assumption that the priceinitially drop or rise to some steady level. READ MORE

  5. 29. Star Vars: Finding the optimal Value-at-Risk approach for the banking industry

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Björn Eriksson; Olle Billinger; [2009]
    Keywords : Value-at-Risk; VaR; risk management; Backtesting; Basel; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This paper explores the concept of Value-at-Risk (VaR) through a comparative study of nonparametric and parametric models in order to find the best risk model for banks’ trading portfolios. The non-parametric methods consist of three different approaches: Simple Historical Simulation, Age Weighted Historical Simulation and Volatility Weighted Historical Simulation by means of the EWMA and GARCH models for forecasting volatility. READ MORE

  6. 30. VaR methods for linear instruments

    University essay from Lunds universitet/Riskhantering (CI); Lunds universitet/Avdelningen för Brandteknik; Lunds universitet/Avdelningen för Riskhantering och Samhällssäkerhet

    Author : Birgir Vidarsson; [2008]
    Keywords : VaR; Covariance; GARCH; EWMA; Market risk; Financial science; Financial time series; Volatility; Finansiering; Technological sciences; Teknik; Business and Economics; Technology and Engineering;

    Abstract : In this thesis various Value-at-Risk models are compared and evaluated towards finding the optimal model for the bank's trading book. The focus is on linear instruments (stocks, indicies and currency) and real market data, both domestic and foreign, is used for the calculations. READ MORE