Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 45 for “"AR(1)"”.
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Interval AR(1) modelling of South African stock market prices
Includes bibliographical references (leaves 124-126).
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Modelling sea surface temperature using generalized additive models for location scale and shape by boosting with autocorrelation
… temperature (SST) is one of many important parameters that influence the climate system of the earth. Modelling of and prediction from the SST data are challenging due to the fact that gaps in the data lead to incomplete information over time. Generalized additive models by boosting with …
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Probing Non-Canonical DNA Structures With Anticancer Drugs
… probing of the mismatch using small molecular ligands. We have shown that AR-1-144, a tri-imidazole minor groove binder, recognizes the CCGG sequence. The NMR structural analysis of the symmetric 2:1 complex of AR-1-144 and GAACCGGTTC revealed that each AR-1-144 binds to four base pairs with …
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A random parameter approach to modeling and forecasting time series
The dependence structure of a stationary time series can be described by its autocorrelation function ρ<sup>k</sup>. Consider the simple autoregressive model of order 1: y<sub>t</sub> = αy<sub>t-1</sub> + u<sub>t</sub> where α ε (-1, 1) is a fixed constant and the u<sub>t</sub>'s are i.i.d. …
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Characterization of the Intrinsic Neural Timescale Indices as a Reliable Fingerprint of Brain Dynamics
<p>Intrinsic neural timescales (INTs) characterize the persistence of neural activity over time and offer insight into the brain’s temporal hierarchy. This thesis evaluates and compares six autocorrelation-based INT metrics—AR(1) Coefficient (Autoregressive Coefficient at 1), First Zero Lag, Lag at …
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Heat Transfer for High Aspect Ratio Rectangular Channels in a Stationary and Rotating Serpentine Passage with Turbulated and Smooth Surfaces
Heat transfer distributions are presented for a stationary three passage serpentine internal cooling channel for a range of engine representative Reynolds numbers. The spacing between the sidewalls of the serpentine passage is fixed and the aspect ratio (AR) is adjusted to 1:1, 1:2, and 1:6 by …
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Forecasting Highly-Aggregate Internet Time Series Using Wavelet Techniques
The U.S. Coast Guard maintains a network structure to connect its nation-wide assets. This paper analyzes and models four highly aggregate traces of the traffic to/from the Coast Guard Data Network ship-shore nodes, so that the models may be used to predict future system demand. These internet …
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EWMA and CUSUM control charts in the presence of correlation
… taken from the process at different times are independent with a constant mean and with variation due only to measurement error. In many processes this assumption of independence is not satisfied. The lack of independence of observations taken at different times may have a significant …
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A state space model for inflation
Evidence has shown that the constant parameter assumption in Wilkie's Inflation model may be too restrictive. In this work we investigate the model proposed by Arsad (1999), where the mean level of inflation is assume to follow an AR(1) process. We compare the result obtained when prior knowledge …
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General method of moments bias and specification tests for quantile regression
… the model, assume that error terms and nuisance parameters are homoskedastic and independent across observations and of one another, and utilize the GMM bias calculation of Newey & Smith (2001). This leads to a closed form expression for the GMM bias applied to AR(1) model. Chapter 2: This chapter …
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The Demand for Consumer Credit
The demand for consumer credit is an area of economics that is of great interest to those in the lending community. While much research has been performed on this topic in the financial industry, the findings have been very closely guarded for competitive reasons. In this study, reduced form …
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X control charts in the presence of correlation
In traditional quality control charts, fixed sampling interval (FSI) schemes are used where the time between samples has fixed intervals. More efficient methods called variable sampling interval (VSI) schemes have been developed where one takes the next observation sooner than usual if there is an …
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Decontamination of food and food-processing surfaces from norovirus by cold atmospheric-pressure gaseous plasma
… is 685 million and 20 million illnesses each year in the world and the US, respectively. This results in approximately $4.3 billion and $60.3 billion in direct and indirect annual costs worldwide. In the USA, the annual economic burden of foodborne gastroenteritis illness has been estimated to …
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Dinámica de transición del Ingreso: Caso Argentino
La presente tesis busca estudiar la dinámica del ingreso en Argentina a través de diferentes métodos. En primer lugar, teniendo en cuenta los clásicos modelos macroeconómicos, se realizarán las estimaciones a partir de procesos estocásticos autorregresivos y a partir de allí se desarrollan los …
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Short-term rainfall prediction using a multifractal model
… discrete-scale lognormal cascade (CLC) with AR(1) process for each component. This model allows us to simulate rainfall field with the property of the multifractality, which indicates the invariance for scaling of rainfall measure. Through the observation from the synthetic rainfall simulated …
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Modelagem estocástica para a precipitação diária
… was modeled by a two-state (dry or rainy day) Markov chain and by the “wet-dry spell” approach. This second approach was considered appropriate, while the Markov chains could not describe the long droughts or the long wet spells. ln the rainy days, two assumptions were made: 1) the rainfall …
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Statistical arbitrage in South African equity markets
… implements a model driven statistical arbitrage strategy that uses the principal components from Principal Component Analysis as factors in a multi-factor stock model, to isolate the idiosyncratic component of returns, which is then modelled as an Ornstein Uhlenbeck process. The …
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D-Vine Pair-Copula Models for Longitudinal Binary Data
<p>Dependent longitudinal binary data are prevalent in a wide range of scientific disciplines, including healthcare and medicine. A popular method for analyzing such data is the multivariate probit (MP) model. The motivation for this dissertation stems from the fact that the MP model fails even the …
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Analysis of Longitudinal Data With Missing Responses: A Study of Pain Control Cost
Recent years have seen a major increase of interest in pain control cost studies. Due to rising costs of medical treatment, researchers study factors contributing to cost and appropriate ways to control or reduce the cost of pain control. The first data studied in this research is longitudinal data …
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Activation of white phosphorus by molybdenum- and uranium tris-amides
Molybdaziridine-hydride Mo(H)([eta]²-Me₂C=NAr)(N[i-Pr]Ar)₂ (1, Ar = 3,5-C₆H₃Me₂) acts as a source of its three-coordinate isomer Mo(N[i-Pr]Ar)₃ (2). This relationship has been probed via an investigation of the coordination chemistry of 1 and Mo(N[t-Bu]Ar)3 (3), a bulky analog of 2, with …
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