Essays about: "autoregressive random coefficients"

Found 2 essays containing the words autoregressive random coefficients.

1. 1. Infinite-Dimensional Linear Stochastic Systems with Random Coefficients and Local Interactions

   University essay from Lunds universitet/Matematisk statistik

   Author : Henrik Bengtsson; [2018]
   Keywords : Stochastic processes; Local interaction; autoregressive random coefficients; probability the- ory.; Mathematics and Statistics;

   Abstract : In this thesis some results for a model that is a merge between the random coefficient autoregressive model of order one and a stochastic process with local interaction in time and space are presented. The first part of the thesis deals with some result from the random coefficient model. READ MORE

3. 2. Return Models and Covariance Matrices

   University essay from Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysik

   Author : Xiaolei Xie; [2014]
   Keywords : returns; stochastic volatility; GARCH; covariance matrix; random matrix; spectral distribution; Physics and Astronomy;

   Abstract : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. READ MORE