The efficiency of hydraulic drive systems in mobile machines is influenced by several factors, like the operators’ guidance, weather conditions, material respectively loading properties and primarily the working cycle. This leads to varying operation points, which have to be performed by the drive system. Regarding efficiency analysis, the usage of standardized working cycles gained through measurements or synthetically generated is state of the art. Thereby, only a small extract of the real usage profile is taken into account. This contribution deals with process pattern recognition (PPR) and frequency based efficiency evaluation to gain more precise information and conclusion for the drive design of mobile machines. By the example of an 18 t mobile excavator, the recognition system using Hidden – Markov - Models (HMM) and the efficiency evaluation process by means of backwards simulation of measured operation points will be described.

OBJECTIF : L’hypertension est une maladie chronique pour laquelle seulement 68 % des patients étaient contrôlés en 2013. Les pharmaciens de la province de Québec ont récemment obtenu l’autorité législative pour ajuster la dose des antihypertenseurs lorsqu’une cible thérapeutique est entendue avec le médecin. Cette étude économique vise à estimer le ratio coût- utilité incrémental (RCUI) de ce nouveau modèle de soin au Québec. MÉTHODE : Un modèle de Markov a été développé pour extrapoler l’impact de cette pratique pharmaceutique sur les accidents vasculaires cérébraux (AVC), sur les infarctus du myocarde aigus et sur la mortalité. Les équations du modèle de risque de Framingham ont été utilisées pour estimer l’impact du contrôle de la pression artérielle sur la survenue d’AVC et d’infarctus. L’efficacité de l’intervention a été estimée à partir des résultats de l’essai clinique RxAction, conduit en Alberta. L’efficacité de l’intervention pharmaceutique est exprimée via la proportion de patients contrôlés. La perspective du payeur public a été utilisée et seulement les coûts directs des soins de santé ont été intégrés. L’issue principale observée par le modèle est le gain en années de vie ajustées par la qualité (AVAQ). Les AVAQ et les coûts ont été actualisés à un taux annuel de 1,5 %. Le modèle a simulé une cohorte de 1000 patients âgés de 65 ans, sur un horizon temporel de 20 ans en utilisant des cycles d’un an. RÉSULTATS: Le modèle a généré 0,051 AVAQs de plus par patient dans le groupe d’intervention pour une dépense supplémentaire de 268 $ par patient. Le RCUI est de 5 223 $/AVAQ gagnée. Si le seuil de volonté à payer du tiers public se tient à 50 000 $/AVAQ, cette intervention serait dite coût-efficace. Les résultats de cette simulation étaient surtout sensibles à l’efficacité de l’intervention pharmaceutique ainsi qu’à l’utilité attribuée à l’hypertension. CONCLUSION: Permettre aux pharmaciens d’ajuster la dose des traitements antihypertenseurs à l’intérieur du modèle de rémunération actuel apparaît coût-efficace. L’obtention de données d’efficacité issue d’une étude clinique conduite au Québec nous permettrait d’augmenter la validité externe de cette modélisation économique. / OBJECTIVE: Hypertension is a chronic disease for which only 68% of treated patients were controlled in Canada in 2013. Pharmacists in the province of Québec recently received legislative authority to adjust the dosage of antihypertensive drugs if there is an agreement with the prescriber of the therapeutic target. This research aims to estimate the incremental cost- utility ratio (ICUR) of this new model of care in Québec. METHODS: A Markov model was developed to extrapolate the impact of this pharmacy practice on strokes, myocardial infarctions and mortality. Framingham Risk Equations were used to derive the impact of blood pressure control on strokes and myocardial infarctions. The efficacy of the intervention was derived from the RxAction clinical trial, conducted in Alberta. Efficacy was expressed as the proportion of patients with controlled blood pressure. The model used the payer perspective and direct costs only. The main clinical outcome was expressed as the number of quality-adjusted life years (QALYs) gained. Both QALYS and costs were discounted at a 1.5% annual rate. A cohort of 1000 patients entered the model at 65 years old. The model used a 20 years time horizon, with a 1-year cycle length. RESULTS: The model yielded 0.051 QALYs per patient in the intervention group for an incremental expense of $268 per patient. The ICUR was 5,223 $/QALY. At a willingness-to- pay threshold of $50,000/QALY, the intervention is cost-effective. The results were sensitive to the comparative efficacy of the pharmacist intervention against usual care and to the utility of hypertension. CONCLUSION: Providing pharmacists the ability to adjust the dosage of antihypertensive drugs within the actual fee-for-service rational appears to be cost-effective. Obtaining data on the efficacy of this pharmacy practice from a trial conducted in Québec would provide better data to inform this economic evaluation.

Aujourd’hui, les recherches portant sur le geste manquent de modèles génériques. Les spécialistes du geste doivent osciller entre une formalisation excessivement conceptuelle et une description purement visuelle du mouvement. Nous reprenons les concepts développés par le chorégraphe Rudolf Laban pour l’analyse de la danse classique contemporaine, et proposons leur extension afin d’élaborer un modèle générique du geste basé sur ses éléments expressifs. Nous présentons également deux corpus de gestes 3D que nous avons constitués. Le premier, ORCHESTRE-3D, se compose de gestes pré-segmentés de chefs d’orchestre enregistrés en répétition. Son annotation à l’aide d’émotions musicales est destinée à l’étude du contenu émotionnel de la direction musicale. Le deuxième corpus, HTI 2014-2015, propose des séquences d’actions variées de la vie quotidienne. Dans une première approche de reconnaissance dite « globale », nous définissons un descripteur qui se rapporte à l’entièreté du geste. Ce type de caractérisation nous permet de discriminer diverses actions, ainsi que de reconnaître les différentes émotions musicales que portent les gestes des chefs d’orchestre de notre base ORCHESTRE-3D. Dans une seconde approche dite « dynamique », nous définissons un descripteur de trame gestuelle (e.g. défini pour tout instant du geste). Les descripteurs de trame sont utilisés des poses-clés du mouvement, de sorte à en obtenir à tout instant une représentation simplifiée et utilisable pour reconnaître des actions à la volée. Nous testons notre approche sur plusieurs bases de geste, dont notre propre corpus HTI 2014-2015 / Nowadays, researches dealing with gesture analysis suffer from a lack of unified mathematical models. On the one hand, gesture formalizations by human sciences remain purely theoretical and are not inclined to any quantification. On the other hand, the commonly used motion descriptors are generally purely intuitive, and limited to the visual aspects of the gesture. In the present work, we retain Laban Movement Analysis (LMA – originally designed for the study of dance movements) as a framework for building our own gesture descriptors, based on expressivity. Two datasets are introduced: the first one is called ORCHESTRE-3D, and is composed of pre-segmented orchestra conductors’ gestures, which have been annotated with the help of lexicon of musical emotions. The second one, HTI 2014-2015, comprises sequences of multiple daily actions. In a first experiment, we define a global feature vector based upon the expressive indices of our model and dedicated to the characterization of the whole gesture. This descriptor is used for action recognition purpose and to discriminate the different emotions of our orchestra conductors’ dataset. In a second approach, the different elements of our expressive model are used as a frame descriptor (e.g., describing the gesture at a given time). The feature space provided by such local characteristics is used to extract key poses of the motion. With the help of such poses, we obtain a per-frame sub-representation of body motions which is available for real-time action recognition purpose

Cette thèse présente un cadre de travail d'analyse de trajectoires contenant une phase de prétraitement et un processus d’extraction de trajectoires d’objets mobiles. Le cadre offre des fonctions visuelles reflétant le comportement d'évolution des motifs de trajectoires. L'originalité de l’approche est d’allier extraction de motifs fréquents, extraction de motifs émergents et analyse formelle de concepts pour analyser les trajectoires. A partir des données de trajectoires, les méthodes proposées détectent et caractérisent les comportements d'évolution des motifs. Trois contributions sont proposées : Une méthode d'analyse des trajectoires, basée sur les concepts formels fréquents, est utilisée pour détecter les différents comportements d’évolution de trajectoires dans le temps. Ces comportements sont “latents”, "emerging", "decreasing", "lost" et "jumping". Ils caractérisent la dynamique de la mobilité par rapport à l'espace urbain et le temps. Les comportements détectés sont visualisés sur des cartes générées automatiquement à différents niveaux spatio-temporels pour affiner l'analyse de la mobilité dans une zone donnée de la ville. Une deuxième méthode basée sur l'extraction de concepts formels séquentiels fréquents a également été proposée pour exploiter la direction des mouvements dans la détection de l'évolution. Enfin, une méthode de prédiction basée sur les chaînes de Markov est présentée pour prévoir le comportement d’évolution dans la future période pour une région. Ces trois méthodes sont évaluées sur ensembles de données réelles . Les résultats expérimentaux obtenus sur ces données valident la pertinence de la proposition et l'utilité des cartes produites / This dissertation presents a trajectory analysis framework, which includes both a preprocessing phase and trajectory mining process. Furthermore, the framework offers visual functions that reflect trajectory patterns evolution behavior. The originality of the mining process is to leverage frequent emergent pattern mining and formal concept analysis for moving objects trajectories. These methods detect and characterize pattern evolution behaviors bound to time in trajectory data. Three contributions are proposed: (1) a method for analyzing trajectories based on frequent formal concepts is used to detect different trajectory patterns evolution over time. These behaviors are "latent", "emerging", "decreasing", "lost" and "jumping". They characterize the dynamics of mobility related to urban spaces and time. The detected behaviors are automatically visualized on generated maps with different spatio-temporal levels to refine the analysis of mobility in a given area of the city, (2) a second trajectory analysis framework that is based on sequential concept lattice extraction is also proposed to exploit the movement direction in the evolution detection process, and (3) prediction method based on Markov chain is presented to predict the evolution behavior in the future period for a region. These three methods are evaluated on two real-world datasets. The obtained experimental results from these data show the relevance of the proposal and the utility of the generated maps

[EN] This work is focused on problems (like automatic speech recognition (ASR) and handwritten text recognition (HTR)) that: 1) can be represented (at least approximately) in terms of one-dimensional sequences, and 2) solving these problems entails breaking the observed sequence down into segments which are associated to units taken from a finite repertoire. The required segmentation and classification tasks are so intrinsically interrelated ("Sayre's Paradox") that they have to be performed jointly. We have been inspired by what some works call the "successful trilogy", which refers to the synergistic improvements obtained when considering: - a good formalization framework and powerful algorithms; - a clever design and implementation taking the best profit of hardware; - an adequate preprocessing and a careful tuning of all heuristics. We describe and study "two stage generative models" (TSGMs) comprising two stacked probabilistic generative stages without reordering. This model not only includes Hidden Markov Models (HMMs, but also "segmental models" (SMs). "Two stage decoders" may be deduced by simply running a TSGM in reversed way, introducing non determinism when required: 1) A directed acyclic graph (DAG) is generated and 2) it is used together with a language model (LM). One-pass decoders constitute a particular case. A formalization of parsing and decoding in terms of semiring values and language equations proposes the use of recurrent transition networks (RTNs) as a normal form for Context Free Grammars (CFGs), using them in a parsing-as-composition paradigm, so that parsing CFGs result in a slight extension of regular ones. Novel transducer composition algorithms have been proposed that can work with RTNs and can deal with null transitions without resorting to filter-composition even in the presence of null transitions and non-idempotent semirings. A review of LMs is described and some contributions mainly focused on LM interfaces, LM representation and on the evaluation of Neural Network LMs (NNLMs) are provided. A review of SMs includes the combination of generative and discriminative segmental models and general scheme of frame emission and another one of SMs. Some fast cache-friendly specialized Viterbi lexicon decoders taking profit of particular HMM topologies are proposed. They are able to manage sets of active states without requiring dictionary look-ups (e.g. hashing). A dataflow architecture allowing the design of flexible and diverse recognition systems from a little repertoire of components has been proposed, including a novel DAG serialization protocol. DAG generators can take over-segmentation constraints into account, make use SMs other than HMMs, take profit of the specialized decoders proposed in this work and use a transducer model to control its behavior making it possible, for instance, to use context dependent units. Relating DAG decoders, they take profit of a general LM interface that can be extended to deal with RTNs. Some improvements for one pass decoders are proposed by combining the specialized lexicon decoders and the "bunch" extension of the LM interface, including an adequate parallelization. The experimental part is mainly focused on HTR tasks on different input modalities (offline, bimodal). We have proposed some novel preprocessing techniques for offline HTR which replace classical geometrical heuristics and make use of automatic learning techniques (neural networks). Experiments conducted on the IAM database using this new preprocessing and HMM hybridized with Multilayer Perceptrons (MLPs) have obtained some of the best results reported for this reference database. Among other HTR experiments described in this work, we have used over-segmentation information, tried lexicon free approaches, performed bimodal experiments and experimented with the combination of hybrid HMMs with holistic classifiers. / [ES] Este trabajo se centra en problemas (como reconocimiento automático del habla (ASR) o de escritura manuscrita (HTR)) que cumplen: 1) pueden representarse (quizás aproximadamente) en términos de secuencias unidimensionales, 2) su resolución implica descomponer la secuencia en segmentos que se pueden clasificar en un conjunto finito de unidades. Las tareas de segmentación y de clasificación necesarias están tan intrínsecamente interrelacionadas ("paradoja de Sayre") que deben realizarse conjuntamente. Nos hemos inspirado en lo que algunos autores denominan "La trilogía exitosa", refereido a la sinergia obtenida cuando se tiene: - un buen formalismo, que dé lugar a buenos algoritmos; - un diseño e implementación ingeniosos y eficientes, que saquen provecho de las características del hardware; - no descuidar el "saber hacer" de la tarea, un buen preproceso y el ajuste adecuado de los diversos parámetros. Describimos y estudiamos "modelos generativos en dos etapas" sin reordenamientos (TSGMs), que incluyen no sólo los modelos ocultos de Markov (HMM), sino también modelos segmentales (SMs). Se puede obtener un decodificador de "dos pasos" considerando a la inversa un TSGM introduciendo no determinismo: 1) se genera un grafo acíclico dirigido (DAG) y 2) se utiliza conjuntamente con un modelo de lenguaje (LM). El decodificador de "un paso" es un caso particular. Se formaliza el proceso de decodificación con ecuaciones de lenguajes y semianillos, se propone el uso de redes de transición recurrente (RTNs) como forma normal de gramáticas de contexto libre (CFGs) y se utiliza el paradigma de análisis por composición de manera que el análisis de CFGs resulta una extensión del análisis de FSA. Se proponen algoritmos de composición de transductores que permite el uso de RTNs y que no necesita recurrir a composición de filtros incluso en presencia de transiciones nulas y semianillos no idempotentes. Se propone una extensa revisión de LMs y algunas contribuciones relacionadas con su interfaz, con su representación y con la evaluación de LMs basados en redes neuronales (NNLMs). Se ha realizado una revisión de SMs que incluye SMs basados en combinación de modelos generativos y discriminativos, así como un esquema general de tipos de emisión de tramas y de SMs. Se proponen versiones especializadas del algoritmo de Viterbi para modelos de léxico y que manipulan estados activos sin recurrir a estructuras de tipo diccionario, sacando provecho de la caché. Se ha propuesto una arquitectura "dataflow" para obtener reconocedores a partir de un pequeño conjunto de piezas básicas con un protocolo de serialización de DAGs. Describimos generadores de DAGs que pueden tener en cuenta restricciones sobre la segmentación, utilizar modelos segmentales no limitados a HMMs, hacer uso de los decodificadores especializados propuestos en este trabajo y utilizar un transductor de control que permite el uso de unidades dependientes del contexto. Los decodificadores de DAGs hacen uso de un interfaz bastante general de LMs que ha sido extendido para permitir el uso de RTNs. Se proponen también mejoras para reconocedores "un paso" basados en algoritmos especializados para léxicos y en la interfaz de LMs en modo "bunch", así como su paralelización. La parte experimental está centrada en HTR en diversas modalidades de adquisición (offline, bimodal). Hemos propuesto técnicas novedosas para el preproceso de escritura que evita el uso de heurísticos geométricos. En su lugar, utiliza redes neuronales. Se ha probado con HMMs hibridados con redes neuronales consiguiendo, para la base de datos IAM, algunos de los mejores resultados publicados. También podemos mencionar el uso de información de sobre-segmentación, aproximaciones sin restricción de un léxico, experimentos con datos bimodales o la combinación de HMMs híbridos con reconocedores de tipo holístico. / [CA] Aquest treball es centra en problemes (com el reconeiximent automàtic de la parla (ASR) o de l'escriptura manuscrita (HTR)) on: 1) les dades es poden representar (almenys aproximadament) mitjançant seqüències unidimensionals, 2) cal descompondre la seqüència en segments que poden pertanyer a un nombre finit de tipus. Sovint, ambdues tasques es relacionen de manera tan estreta que resulta impossible separar-les ("paradoxa de Sayre") i s'han de realitzar de manera conjunta. Ens hem inspirat pel que alguns autors anomenen "trilogia exitosa", referit a la sinèrgia obtinguda quan prenim en compte: - un bon formalisme, que done lloc a bons algorismes; - un diseny i una implementació eficients, amb ingeni, que facen bon us de les particularitats del maquinari; - no perdre de vista el "saber fer", emprar un preprocés adequat i fer bon us dels diversos paràmetres. Descrivim i estudiem "models generatiu amb dues etapes" sense reordenaments (TSGMs), que inclouen no sols inclouen els models ocults de Markov (HMM), sinò també models segmentals (SM). Es pot obtindre un decodificador "en dues etapes" considerant a l'inrevés un TSGM introduint no determinisme: 1) es genera un graf acíclic dirigit (DAG) que 2) és emprat conjuntament amb un model de llenguatge (LM). El decodificador "d'un pas" en és un cas particular. Descrivim i formalitzem del procés de decodificació basada en equacions de llenguatges i en semianells. Proposem emprar xarxes de transició recurrent (RTNs) com forma normal de gramàtiques incontextuals (CFGs) i s'empra el paradigma d'anàlisi sintàctic mitjançant composició de manera que l'anàlisi de CFGs resulta una lleugera extensió de l'anàlisi de FSA. Es proposen algorismes de composició de transductors que poden emprar RTNs i que no necessiten recorrer a la composició amb filtres fins i tot amb transicions nul.les i semianells no idempotents. Es proposa una extensa revisió de LMs i algunes contribucions relacionades amb la seva interfície, amb la seva representació i amb l'avaluació de LMs basats en xarxes neuronals (NNLMs). S'ha realitzat una revisió de SMs que inclou SMs basats en la combinació de models generatius i discriminatius, així com un esquema general de tipus d'emissió de trames i altre de SMs. Es proposen versions especialitzades de l'algorisme de Viterbi per a models de lèxic que permeten emprar estats actius sense haver de recórrer a estructures de dades de tipus diccionari, i que trauen profit de la caché. S'ha proposat una arquitectura de flux de dades o "dataflow" per obtindre diversos reconeixedors a partir d'un xicotet conjunt de peces amb un protocol de serialització de DAGs. Descrivim generadors de DAGs capaços de tindre en compte restriccions sobre la segmentació, emprar models segmentals no limitats a HMMs, fer us dels decodificadors especialitzats proposats en aquest treball i emprar un transductor de control que permet emprar unitats dependents del contexte. Els decodificadors de DAGs fan us d'una interfície de LMs prou general que ha segut extesa per permetre l'ús de RTNs. Es proposen millores per a reconeixedors de tipus "un pas" basats en els algorismes especialitzats per a lèxics i en la interfície de LMs en mode "bunch", així com la seua paral.lelització. La part experimental està centrada en el reconeiximent d'escriptura en diverses modalitats d'adquisició (offline, bimodal). Proposem un preprocés d'escriptura manuscrita evitant l'us d'heurístics geomètrics, en el seu lloc emprem xarxes neuronals. S'han emprat HMMs hibridats amb xarxes neuronals aconseguint, per a la base de dades IAM, alguns dels millors resultats publicats. També podem mencionar l'ús d'informació de sobre-segmentació, aproximacions sense restricció a un lèxic, experiments amb dades bimodals o la combinació de HMMs híbrids amb classificadors holístics. / España Boquera, S. (2016). Contributions to the joint segmentation and classification of sequences (My two cents on decoding and handwriting recognition) [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/62215 / TESIS / Premios Extraordinarios de tesis doctorales

Many complexity measures are defined as the size of a minimal representation in a specific model class. One such complexity measure, which is important because it is widely applied, is statistical complexity. It is defined for discrete-time, stationary stochastic processes within a theory called computational mechanics. Here, a mathematically rigorous, more general version of this theory is presented, and abstract properties of statistical complexity as a function on the space of processes are investigated. In particular, weak-* lower semi-continuity and concavity are shown, and it is argued that these properties should be shared by all sensible complexity measures. Furthermore, a formula for the ergodic decomposition is obtained. The same results are also proven for two other complexity measures that are defined by different model classes, namely process dimension and generative complexity. These two quantities, and also the information theoretic complexity measure called excess entropy, are related to statistical complexity, and this relation is discussed here. It is also shown that computational mechanics can be reformulated in terms of Frank Knight''s prediction process, which is of both conceptual and technical interest. In particular, it allows for a unified treatment of different processes and facilitates topological considerations. Continuity of the Markov transition kernel of a discrete version of the prediction process is obtained as a new result.

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. The model demonstrates success in identifying positive trends in CTA funds, with particular emphasis on precision and risk-adjusted return metrics. In the context of regularized regression models, techniques for statistical inference such as bootstrap resampling and Markov Chain Monte Carlo are applied to estimate the distribution of parameters. The findings suggest the model's effectiveness in predicting favorable CTA performance and mitigating equity market drawdowns. For future research, it is recommended to explore alternative classification models and extend the methodology to different markets and datasets.

No description available.

Lists of records in machine-printed documents contain much useful information. As one example, the thousands of family history books scanned, OCRed, and placed on-line by FamilySearch.org probably contain hundreds of millions of fact assertions about people, places, family relationships, and life events. Data like this cannot be fully utilized until a person or process locates the data in the document text, extracts it, and structures it with respect to an ontology or database schema. Yet, in the family history industry and other industries, data in lists goes largely unused because no known approach adequately addresses all of the costs, challenges, and requirements of a complete end-to-end solution to this task. The diverse information is costly to extract because many kinds of lists appear even within a single document, differing from each other in both structure and content. The lists' records and component data fields are usually not set apart explicitly from the rest of the text, especially in a corpus of OCRed historical documents. OCR errors and the lack of document structure (e.g. HMTL tags) make list content hard to recognize by a software tool developed without a substantial amount of highly specialized, hand-coded knowledge or machine learning supervision. Making an approach that is not only accurate but also sufficiently scalable in terms of time and space complexity to process a large corpus efficiently is especially challenging. In this dissertation, we introduce a novel family of scalable approaches to list discovery and ontology population. Its contributions include the following. We introduce the first general-purpose methods of which we are aware for both list detection and wrapper induction for lists in OCRed or other plain text. We formally outline a mapping between in-line labeled text and populated ontologies, effectively reducing the ontology population problem to a sequence labeling problem, opening the door to applying sequence labelers and other common text tools to the goal of populating a richly structured ontology from text. We provide a novel admissible heuristic for inducing regular expression wrappers using an A* search. We introduce two ways of modeling list-structured text with a hidden Markov model. We present two query strategies for active learning in a list-wrapper induction setting. Our primary contributions are two complete and scalable wrapper-induction-based solutions to the end-to-end challenge of finding lists, extracting data, and populating an ontology. The first has linear time and space complexity and extracts highly accurate information at a low cost in terms of user involvement. The second has time and space complexity that are linear in the size of the input text and quadratic in the length of an output record and achieves higher F1-measures for extracted information as a function of supervision cost. We measure the performance of each of these approaches and show that they perform better than strong baselines, including variations of our own approaches and a conditional random field-based approach.

This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of volatility itself as an explanatory variable in the mean-equation. Using sequential Monte Carlo methods allows us to consider a non-linear estimation procedure at cost of introducing extra computational complexity. The recently developed PaRIS-algorithm, introduced by Olsson and Westerborn, drastically decrease the computational complexity of smoothing relative to previous algorithms and allows for efficient estimation of parameters. The main purpose of this thesis is to investigate the volatility feedback effect, i.e. the relation between expected return and unexpected volatility in an empirical study. The results shows that unanticipated shocks to the return process do not explain expected returns. / Detta examensarbete presenterar en stokastisk volatilitets medelvärdes (SVM) modell som estimeras genom sekventiella Monte Carlo metoder. SVM-modellen introducerades av Koopman och ger en möjlighet att studera den samtida relationen mellan aktiers avkastning och deras volatilitet genom att inkludera volatilitet som en förklarande variabel i medelvärdes-ekvationen. Sekventiella Monte Carlo metoder tillåter oss att använda icke-linjära estimerings procedurer till en kostnad av extra beräkningskomplexitet. Den nyligen utvecklad PaRIS-algoritmen, introducerad av Olsson och Westerborn, minskar drastiskt beräkningskomplexiteten jämfört med tidigare algoritmer och tillåter en effektiv uppskattning av parametrar. Huvudsyftet med detta arbete är att undersöka volatilitets-återkopplings-teorin d.v.s. relationen mellan förväntad avkastning och oväntad volatilitet i en empirisk studie. Resultatet visar på att oväntade chockar i avkastningsprocessen inte har förklarande förmåga över förväntad avkastning.