Essays about: "Stochastic Trend"

Showing result 1 - 5 of 12 essays containing the words Stochastic Trend.

1. 1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Oskar Fransson; [2023]
   Keywords : Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

   Abstract : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. READ MORE

3. 2. Life cycle assessment of hybrid systems for rural electrification in Bolivia

   University essay from KTH/Skolan för kemi, bioteknologi och hälsa (CBH)

   Author : Sandu Seres; [2021]
   Keywords : Diesel; Stirling; Photovoltaic; impact category;

   Abstract : Bolivia is a developing country in South America. Many rural communities still lack access to electricity. The extension of the National Grid System to all rural communities is not feasible due to economic and topographic challenges as well as the environmental problems that may arise. To tackle these problems, Off-grid solutions are implemented. READ MORE

4. 3. Investigation and forecasting drift component of a gas sensor

   University essay from Linköpings universitet/Statistik och maskininlärning

   Author : Farhana Chowdhury Tondra; [2021]
   Keywords : Time series analysis; Forecasting; ARIMA; LSTM; Sensor; SiC-FET; ADF test; Stochastic Trend; Deterministic Trend; Sensor Drift;

   Abstract : Chemical sensor based systems that are used for detection, identification, or quantification of various gases are very complex in nature. Sensor response data collected as a multivariate time series signals encounters gradual change of the sensor characteristics(known as sensor drift) due to several reasons. READ MORE

5. 4. Energy Efficiency for Emerging Market Economies : A Panel Stochastic Frontier Analysis

   University essay from Umeå universitet/Nationalekonomi

   Author : Joseph Basabose; [2021]
   Keywords : ;

   Abstract : Using the stochastic frontier analysis (SFA) model, this research measures total-factor energy efficiency (TFEE) for 21 emerging market economies (EMEs) by analyzing the panel data collected from World Bank indicators, which stretches from 1990 up to 2015. Capital stock, labor force, carbon dioxide, and gross domestic product (GDP) are input variables and energy use is used as the output variable, while renewable energy consumption and urban population are the environmental variables. READ MORE

6. 5. Pricing power and time-variation of global factor proxies

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Usama Malik; [2020]
   Keywords : international asset pricing; financial integration; Stochastic Discount Factor; pricing power; time-variation; Business and Economics;

   Abstract : The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U. READ MORE