Essays about: "time-varying parameters"

Showing result 1 - 5 of 36 essays containing the words time-varying parameters.

1. 1. Channel Estimation and Power Control Algorithms in the Presence of Channel Aging

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Yan Bixing; [2023]
   Keywords : Fading channel; auto-regressive model; power allocation; uncrewed aerial vehicle networks; Fading kanal; auto-regressiv modell; krafttilldelning; obemannade flygfordonsnätverk;

   Abstract : Power allocation algorithms that determine how much power should be allocated to pilot and data symbols play an important role in addressing the trade-off between accurate channel estimation and high high spectral efficiency for data symbols in the presence of time-varying fading channels. Dealing with this trade-off is highly non-trivial when the channel changes or ages rapidly in time. READ MORE

3. 2. What happened to R-star? : Estimating the natural rate of interest in Sweden in unconventional times

   University essay from Umeå universitet/Nationalekonomi

   Author : Magnus Dahlberg; [2023]
   Keywords : ;

   Abstract : This study estimates the natural rate of interest in Sweden using two different models. One state-space model introduced by Holston et al. (2017b) and one vector autoregression model with time-varying parameters (TVP-VAR). The TVP-VAR model is then used to produce a forecast of the real interest rate 5 years out, for every point in time. READ MORE

4. 3. Forecasting monthly LME Copper returns

   University essay from Göteborgs universitet/Graduate School

   Author : Nils Lervik; Philip Thorsell; [2022-06-29]
   Keywords : ;

   Abstract : We evaluate if monthly LOCADY returns on the London Metal Exchange can be accurately predicted one, two and three months ahead. In total ten models are constructed using time-varying parameters and bandwidth optimization. READ MORE

5. 4. Oil Shocks and the Russian Economy: Inflation Perspective

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Elena Akhmedova; [2022]
   Keywords : oil shocks; oil exporters; economic policy; Russia; time varying parameters;

   Abstract : This paper aims to assess the effect of oil shocks on the Russian econ- omy, focusing on but not limited to inflation, throughout 2000-2019, with the following main points with respect to economic policy: switching to in- flation targeting in 2014 and undergoing several iterations of the fiscal rule. The paper focuses on estimating a Bayesian time-varying parameter VAR model, additionally calculating the oil price pass through to inflation using the Phillips curve approach and modelling impulse responses to oil shocks us- ing non-Bayesian vector autoregressions. READ MORE

6. 5. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns

   University essay from Lunds universitet/Matematisk statistik

   Author : Sigfrid Forsberg; [2022]
   Keywords : Markov Chain; Finance; Hidden Markov Model; Generalized Autoregressive Score Model; S P-500; Nikkei; Adaptive Model; Volatility; Regime-switching Model; Line-Search Algorithm; Predictor-Corrector; Quasi-Newton; Mathematics and Statistics;

   Abstract : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. READ MORE