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Hierarchical Continuous Time Dynamic Modelling for Psychology and the Social SciencesDriver, Charles C. 14 March 2018 (has links)
Im Rahmen dieser Dissertation bemühe ich mich, den statistischen Ansatz der zeitkontinuierlichen dynamischen Modellierung, der die Rolle der Zeit explizit berücksichtigt, zu erweitern und praktisch anwendbar zu machen. Diese Dissertation ist so strukturiert, dass ich in Kapitel 1 die Natur dynamischer Modelle bespreche, verschiedene Ansätze zum Umgang mit mehreren Personen betrachte und ein zeitkontinuierliches dynamisches Modell mit Input-Effekten (wie Interventionen) und einem Gaußschen Messmodell detailliert darstelle. In Kapitel 2 beschreibe ich die Verwendung der Software ctsem für R, die als Teil dieser Dissertation entwickelt wurde und die Modellierung von Strukturgleichungen und Mixed-Effects über einen frequentistischen Schätzansatz realisiert. In Kapitel 3 stelle ich einen hierarchischen, komplett Random-Effects beinhaltenden Bayesschen Schätzansatz vor, unter dem sich Personen nicht nur in Interceptparametern, sondern in allen Charakteristika von Mess - und Prozessmodell unterscheiden können, wobei die Schätzung individueller Parameter trotzdem von den Daten aller Personen profitiert. Kapitel 4 beschreibt die Verwendung der Bayesschen Erweiterung der Software ctsem. In Kapitel 5} betrachte ich die Natur experimenteller Interventionen vor dem Hintergrund zeitkontinuierlicher dynamischer Modellierung und zeige Ansätze, die die Art und Weise adressieren, mit der Interventionen auf psychologische Prozesse über die Zeit wirken. Das berührt Fragen, wie: 'Nach welcher Zeit zeigt eine Intervention ihre maximale Wirkung', 'Wie ändert sich die Form des Effektes im Laufe der Zeit' und 'Für wen ist die Wirkung am stärksten oder dauert am längsten an'. Viele Bei-spiele, die sowohl frequentistische als auch bayessche Formen der Software ctsem verwenden, sind enthalten. Im letzten Kapitel fasse ich die Dissertation zusammen, zeige Limitationen der angebotenen Ansätze auf und stelle meine Gedanken zu möglichen zukünftigen Entwicklungen dar. / With this dissertation I endeavor to extend, and make practically applicable for psychology, the statistical approach of continuous time dynamic modelling, in which the role of time is made explicit. The structure of this dissertation is such that in Chapter 1, I discuss the nature of dynamic models, consider various approaches to handling multiple subjects, and detail a continuous time dynamic model with input effects (such as interventions) and a Gaussian measurement model. In Chapter 2, I describe the usage of the ctsem software for R developed as part of this dissertation, which provides a frequentist, mixed effects, structural equation modelling approach to estimation. Chapter 3 details a hierarchical Bayesian, fully random effects approach to estimation, allowing for subjects to differ not only in intercept parameters but in all characteristics of the measurement and dynamic models -- while still benefiting from other subjects data for parameter estimation. Chapter 4 describes the usage of the Bayesian extension to the ctsem software. In Chapter 5 I consider the nature of experimental interventions in the continuous time dynamic modelling framework, and show approaches to address questions regarding the way interventions influence psychological processes over time, with questions such as 'how long does a treatment take to reach maximum effect', `how does the shape of the effect change over time', and 'for whom is the effect strongest, or longest lasting'. Many examples using both frequentist and Bayesian forms of the ctsem software are given. For the final chapter I summarise the dissertation, consider limitations of the approaches offered, and provide some thoughts on possible future developments.
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Análise espacial de uma transeção de solo agrícola cultivado com soja.Oliveira, Marcio Paulo de 04 February 2010 (has links)
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Previous issue date: 2010-02-04 / The knowledge about soil and plant attributes is important for the improvement of agricultural
management. Intense tillage activities may induce not only alterations in the soil attributes
but also decrease in productivity. Studies directed to the soil and plant spatial variability
identification and the relations amid these variables are tools for agriculture, with the
potential to increase productivity. The data set for this study was sampled in a Rhodic
Acrudox soil, at a farmland that has been being cultivated for over five years under no-tillage
system, with soybean and wheat in crop succession. At 252 m long transect, 84 points were
demarcated, with 3 m of spacing between each of them. The relations between soybean
productivity and soil water content, micro, macro and total porosity, soil density and soil
resistance to penetration at 0,0-0,10 m and 0,10-0,20 m deep layers, were evaluated, as well as
the respective variabilities. The relations between soybean productivity and soil attributes were
determined using simple and cross correlations, followed by the state space models
determinations, compared to linear and multiple regression models. The results have shown that
the soybean productivity and soil mechanical resistance variables presented not only
autocorrelation structure but also crosscorrelation structure. The state space models, relating to the
soybean productivity at a point i, with the same attribute at point i-1, at the two layers, were more
efficient than the equivalent models in simple and multiple regression. With geoestatistics, the
spatial dependence structure was determined with envelopes and models for the semivariograms,
allowing identification and classification of the spatial dependence for the variables under study.
The thematic maps were obtained with simple kriging and indicated the soil attributes behavior,
related to the soybean productivity. / O conhecimento do comportamento dos atributos do solo e da planta é importante para a melhoria
das práticas agrícolas. A intensa atividade de cultivo pode provocar modificações dos atributos do
solo e reduzir a produtividade de uma cultura em determinada região. Os estudos que visam
identificar a variabilidade espacial dos atributos do solo e da planta e a relação entre esses
atributos surgem como um recurso para a agricultura, podendo ser utilizados para realização de
um manejo adequado dos recursos disponíveis, ampliando a produtividade e preservando o meioambiente.
Os dados para a realização deste estudo foram obtidos em um Latossolo Vermelho
distroférrico, em uma área cultivada há mais de cinco anos com alternância entre as culturas de
soja e trigo, com o sistema de plantio direto. Em uma transeção de 252 m de comprimento foram
demarcados 84 elementos amostrais, espaçados de 3 m entre si. As relações da produtividade da
soja com os seguintes atributos físicos e hídricos do solo: teor de água no solo, microporosidade,
macroporosidade e porosidade total do solo, densidade do solo e resistência mecânica do solo à
penetração, nas camadas 0,0-0,10 m e 0,10-0,20 m, foram avaliadas bem como a variabilidade
espacial desses atributos. A relação entre a produtividade da soja e os atributos do solo foi
determinada através das correlações simples e cruzada entre os elementos amostrais de cada
atributo, seguida da estimação dos modelos em espaço de estados, comparados aos modelos
equivalentes em regressão linear múltipla. Os resultados mostraram que as variáveis
produtividade da soja e resistência do solo a penetração apresentaram estrutura de
autocorrelação e de correlação cruzada entre si. Os modelos estimados em espaço de estados,
relacionando a produtividade da soja em um ponto i com a produtividade da soja e resistência do
solo a penetração nas duas camadas no ponto i -1 mostraram-se mais eficientes do que os
modelos equivalentes estimados em regressão linear simples e múltipla. Por meio da
geoestatística, a estrutura de dependência espacial foi avaliada por meio dos envelopes e
modelos para os semivariogramas experimentais, permitindo identificar e classificar a
dependência espacial das variáveis em estudo. Os mapas temáticos foram obtidos por meio de
interpolação por krigagem ordinária e indicaram o comportamento dos atributos do solo ligadas a
produtividade da soja.
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Análise espacial de uma transeção de solo agrícola cultivado com soja.Oliveira, Marcio Paulo de 04 February 2010 (has links)
Made available in DSpace on 2017-05-12T14:48:09Z (GMT). No. of bitstreams: 1
Marcio Paulo de Oliveira.pdf: 1960743 bytes, checksum: 7438fe00d388d47b01b27d6cfdf2e229 (MD5)
Previous issue date: 2010-02-04 / The knowledge about soil and plant attributes is important for the improvement of agricultural
management. Intense tillage activities may induce not only alterations in the soil attributes
but also decrease in productivity. Studies directed to the soil and plant spatial variability
identification and the relations amid these variables are tools for agriculture, with the
potential to increase productivity. The data set for this study was sampled in a Rhodic
Acrudox soil, at a farmland that has been being cultivated for over five years under no-tillage
system, with soybean and wheat in crop succession. At 252 m long transect, 84 points were
demarcated, with 3 m of spacing between each of them. The relations between soybean
productivity and soil water content, micro, macro and total porosity, soil density and soil
resistance to penetration at 0,0-0,10 m and 0,10-0,20 m deep layers, were evaluated, as well as
the respective variabilities. The relations between soybean productivity and soil attributes were
determined using simple and cross correlations, followed by the state space models
determinations, compared to linear and multiple regression models. The results have shown that
the soybean productivity and soil mechanical resistance variables presented not only
autocorrelation structure but also crosscorrelation structure. The state space models, relating to the
soybean productivity at a point i, with the same attribute at point i-1, at the two layers, were more
efficient than the equivalent models in simple and multiple regression. With geoestatistics, the
spatial dependence structure was determined with envelopes and models for the semivariograms,
allowing identification and classification of the spatial dependence for the variables under study.
The thematic maps were obtained with simple kriging and indicated the soil attributes behavior,
related to the soybean productivity. / O conhecimento do comportamento dos atributos do solo e da planta é importante para a melhoria
das práticas agrícolas. A intensa atividade de cultivo pode provocar modificações dos atributos do
solo e reduzir a produtividade de uma cultura em determinada região. Os estudos que visam
identificar a variabilidade espacial dos atributos do solo e da planta e a relação entre esses
atributos surgem como um recurso para a agricultura, podendo ser utilizados para realização de
um manejo adequado dos recursos disponíveis, ampliando a produtividade e preservando o meioambiente.
Os dados para a realização deste estudo foram obtidos em um Latossolo Vermelho
distroférrico, em uma área cultivada há mais de cinco anos com alternância entre as culturas de
soja e trigo, com o sistema de plantio direto. Em uma transeção de 252 m de comprimento foram
demarcados 84 elementos amostrais, espaçados de 3 m entre si. As relações da produtividade da
soja com os seguintes atributos físicos e hídricos do solo: teor de água no solo, microporosidade,
macroporosidade e porosidade total do solo, densidade do solo e resistência mecânica do solo à
penetração, nas camadas 0,0-0,10 m e 0,10-0,20 m, foram avaliadas bem como a variabilidade
espacial desses atributos. A relação entre a produtividade da soja e os atributos do solo foi
determinada através das correlações simples e cruzada entre os elementos amostrais de cada
atributo, seguida da estimação dos modelos em espaço de estados, comparados aos modelos
equivalentes em regressão linear múltipla. Os resultados mostraram que as variáveis
produtividade da soja e resistência do solo a penetração apresentaram estrutura de
autocorrelação e de correlação cruzada entre si. Os modelos estimados em espaço de estados,
relacionando a produtividade da soja em um ponto i com a produtividade da soja e resistência do
solo a penetração nas duas camadas no ponto i -1 mostraram-se mais eficientes do que os
modelos equivalentes estimados em regressão linear simples e múltipla. Por meio da
geoestatística, a estrutura de dependência espacial foi avaliada por meio dos envelopes e
modelos para os semivariogramas experimentais, permitindo identificar e classificar a
dependência espacial das variáveis em estudo. Os mapas temáticos foram obtidos por meio de
interpolação por krigagem ordinária e indicaram o comportamento dos atributos do solo ligadas a
produtividade da soja.
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類神經網路與結構性時間數列之比較與研究 / The comparison and reaserch between artifical neural network and structural time series陳振鈞, Chen, Jenn Jiun Unknown Date (has links)
長久以來,人類在萬物中獨具的高智慧特質吸引了無數的哲學家和科學家
投入對其研究,除了醫學的原因之外,由於人腦所具有卓越的辨識系統及學
習能力,為數不少的科學家們相信人腦存在許多最適化系統與設計,因此如
何模仿人類腦神經的組織與運作,一直是很多人努力及夢寐以求的.因此類
神經網路就是依據這些理念而在各研究領域上廣為發展與應用,其中本文
所探討的倒傳遞神經網路模型更是目前類神經網路模型中最具代表性,應
用最廣的模型.而結構性時間數列模型則是將可被觀察的變數分解成趨勢,
季節性,不規則性等不可被觀察項,故其對經濟意義的解釋是相當明當明顯
的,藉由狀態空間模式的轉換,我們將很容易地利用卡門濾器來作估計與預
測.而本文所欲探的重點在於比較有學習機能的倒傳遞神經網及可利用最
新的資訊更新之結構性時間數列何者之預測能利較佳,藉此瞭解二者之一
些特性.
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狀態相依公司信用模型下之信用違約交換評價 / Credit default spread valuation under the state-dependent corporate credit model梁瀞文, Liang, Ching Wem Unknown Date (has links)
違約事件受到系統性風險與獨特性風險的綜合影響。本研究建構一狀態相依公司信用模型,該模型能反映出系統環境對市場造成的影響與個別公司獨特因子帶來的個別衝擊。
本模型透過從總體環境中萃取出的狀態變數來捕捉系統性變化,另外透過Variance Gamma過程來描繪個別公司的獨特因子帶來的影響。Variance Gamma過程可藉由調整分配的鋒態及偏態來調整布朗運動無法反映出的分配,以更貼近真實的市場訊息。
與縮減試模型相較之下,本模型無需參考信評機構的信用評等資訊,僅依賴市場上公開且透明的資訊,並且與結構式模型相同的是其富有經濟意涵。我們可以透過本模型來同時生成公司流動性危機發生機率與預期流動性危機造成的損失,進而利用本模型評價出個別公司信用違約交換的價格。
關鍵字:信用違約交換;系統風險;獨特性風險;狀態空間模型;Variance Gamma 過程 / Systematic and idiosyncratic risks are thought to affect the default events. This study develops a state-dependent corporate credit model that reflects both systematic movement and idiosyncratic shocks. To capture the systematic movement, the model extracts state factors from macroeconomics data. For the idiosyncratic part, the model applied Variance Gamma Process in depicting the potential variable of the firm by altering the distribution’s skewness and kurtosis. The model contains abundant economic significance as structural-form model does. Comparing to the reduced-form model, it does not rely on the information provided by rating agency but use information that is transparent and public. One can generate a firm’s probabilities of liquidity crisis and expected liquidity shortfalls endogenously and concurrently by employing the model. Credit derivative such as Single-name CDS can be priced under the model.
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Admittance and impedance haptic control for realization of digital clay as an effective human machine interface (HMI) deviceNgoo, Cheng Shu 17 November 2009 (has links)
Shape plays an important role in our everyday life to interpret information about the surroundings whether we are aware or not. Together with visual and auditory information, we are able to obtain and process information for different purposes. Output devices such as monitors and speakers convey visual and auditory information while input devices such as touch screen and microphones receive that information for human machine interaction. Such devices have become commonplace but there has yet to be a fitting input/output device utilizing our haptic perception.
Digital Clay is a next generation Human Machine Interface (HMI) device for 2.5D shape input/output via an array of hydraulic actuators. This device potentially has wide applications in the areas of engineering, sciences, medicine, military, entertainment etc. The user can perceive the shape of a computer programmed model in a tangible and concrete manner which means an added realism with the addition of the sense of touch. Conversely, the user can also use Digital Clay as an input device to the computer, by shaping and molding desired shapes on the device, no longer limited to drawing models with a mouse on CAD software.
Shape display has been achieved with the current 5x5 prototype at the Georgia Institute of Technology but this research seeks to expand its capability to include haptic feedback and consequently shaping mode. This thesis gives an overview of the current 5x5 prototype and implements 2 commonly used haptic control methods, the admittance control and the impedance control. For implementing the admittance control, actuator displacement and velocity controllers and a proportional integral observer (PIO) are designed. The model-based unknown input observer is a solution for force estimation without added sensors in the actuators. For implementing the impedance control, a novel pressure control technique is designed to provide pressure feedback to the actuators array along with accurate and reliable displacement measurement. Both of the haptic control methods are evaluated, hardware and software limitations are outlined and possible future improvements are suggested.
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Essays on numerically efficient inference in nonlinear and non-Gaussian state space models, and commodity market analysis.Djegnéné, Gbowan Barnabé 06 1900 (has links)
The first two articles build procedures to simulate vector of univariate states
and estimate parameters in nonlinear and non Gaussian state space models. We
propose state space speci fications that offer more flexibility in modeling dynamic
relationship with latent variables. Our procedures are extension of the HESSIAN
method of McCausland[2012]. Thus, they use approximation of the posterior density
of the vector of states that allow to : simulate directly from the state vector
posterior distribution, to simulate the states vector in one bloc and jointly with the
vector of parameters, and to not allow data augmentation. These properties allow
to build posterior simulators with very high relative numerical efficiency. Generic,
they open a new path in nonlinear and non Gaussian state space analysis with
limited contribution of the modeler.
The third article is an essay in commodity market analysis. Private firms coexist
with farmers' cooperatives in commodity markets in subsaharan african countries.
The private firms have the biggest market share while some theoretical models predict
they disappearance once confronted to farmers cooperatives. Elsewhere, some
empirical studies and observations link cooperative incidence in a region with interpersonal trust, and thus to farmers trust toward cooperatives. We propose a model
that sustain these empirical facts. A model where the cooperative reputation is a
leading factor determining the market equilibrium of a price competition between
a cooperative and a private firm / Les deux premiers articles élaborent des procédures de simulation du vecteur
d'état et d'estimation des paramètres dans des modèles espace-états non linéaires
et non-Gaussiens. Nous proposons des spécifi cations des modèles espace-états qui
offrent plus de flexibilité dans la modélisation des relations dynamiques avec variables
latentes. Les procédures d'estimation des paramètres dans ces modèles sont
une extension de la méthode HESSIAN de McCausland[2012]. Ainsi, elles utilisent
une approximation de la densité à posteriori du vecteur d'état qui permet de : simuler
directement de la loi à posteriori du vecteur d'état, de simuler en seul bloc le
vecteur d'état et de le simuler conjointement avec le vecteur de paramètres, et de ne
pas admettre l'introduction d'inconnues additionnelles. Ces propriétés permettent
d'obtenir des simulateurs à posteriori avec une efficacité numérique relative très
élevée. Les procédures d'estimation élaborées sont génériques. Elles ouvrent ainsi
une voie pour une analyse des modèles espace-états non linéaires et non-Gaussiens
sans une grande contribution du modélisateur.
Le troisième article est une contribution dans l'analyse des marchés agricoles.
Les firmes privées coexistent avec les coopératives de fermiers dans les marchés
agricoles en Afrique subsaharienne. Les firmes privées accaparent les plus grandes
parts de marché, alors que certains modèles théoriques prédisent leur disparition
une fois confrontées aux coopératives agricoles. Par ailleurs, certaines observations
et études empiriques lient la forte incidence d'une coopérative dans une région à la
confiance interpersonnelle entre les personnes de cette région, et par conséquent la
confiance de ces personnes envers les coopératives existantes. Nous proposons un
modèle théorique qui cadre mieux avec ces observations empiriques. Un modèle où
la réputation de la coopérative est un facteur déterminant de l'équilibre de marché
dans la compétition sur le prix à la livraison entre celle-ci et une firme privée.
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Specification analysis of interest rates factors : an international perspectiveTiozzo Pezzoli, Luca 05 December 2013 (has links) (PDF)
The aim of this thesis is to model the dynamics of international term structure of interest rates taking into consideration several dependence channels.Thanks to a new international Treasury yield curve database, we observe that the explained variability decision criterion, suggested by the literature, is not able to select the best combination of factors characterizing the joint dynamics of yield curves. We propose a new methodology based on the maximisation of the likelihood function of a Gaussian state-space model with common and local factors. The associated identification problem is solved in an innovative way. By estimating several sets of countries, we select two global (and three local) factors which are also useful to forecast macroeconomic variables in each considered economy.In addition, our method allows us to detect hidden factors in the international bond returns. They are not visible through a classical principal component analysis of expected bond returns but they are helpful to forecast inflation and industrial production. Keywords: International treasury yield curves, common and local factors, state-space models, EM algorithm, International bond risk premia, principal components.
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我國上市公司資本支出增額資訊內涵之研究 / The Incremental Information Content of Capital Expenditures of Taiwan Listed Companies曹壽民, Tsaur, Shaw-Min Unknown Date (has links)
本文旨在探討我國上市公司除了盈餘外,資本支出是否具有增額資訊內涵。研究內容分為兩個部份,第一部份在使用狀態空間樣型探討資本支出是否有助於預測未來盈餘;第二部份根據本文推導之模式探討資本支出資訊與股標報酬之關聯。〔分為年度研究與長期研究(兩年及三年)兩個部份〕。研究結果發現:
1.除了盈餘資訊外,資本支出無法幫助吾人預測未來盈餘。
2.無論係長期或年度研究,均呈現股價領先財務報表期間現象。在長期研究中,本文發現大公司之股價有post announcement drift現象。
3.盈餘、資本支出資訊(或財務報表資訊)對股價之解釋能力視股市係屬多空頭市場而定。多頭市場解釋能力較高。
4.長期研究財務報表對股價解釋能力高於年度研究。
5.盈餘水準、資本支出水準均具增額資訊內涵,不論長期或年度研究。
6.非預期土地投資與非預期廠房設備投資對股價均具解釋能力。
7.未預期資本支出反應係數之影響因素:
(1)就成長機會而言:
股票市價╱權益比愈大之公司,營收成長率愈高之公司未預期資本支出反應係數愈大。
(2)就系統風險而言:
β值愈大之公司,未預期資本支出反應係數愈大。
(3)就資本支出報酬率而言:
盈餘水準、盈餘持續度愈大之公司,未預期資本支出反應係數愈大;而自有資金比率愈低之公司,未預期資本支出反應係數愈大;小公司之資本支出反應係數較大;研發水準愈高之公司,未預期資本支出反應係數愈大。
(4)就資本支出受益年限而言:
本文以產業進入障礙為資本支出受益年限之替代變數。研究結果發現各行業之資本支出反應係數與產業進入障礙正相關。
(5)資本支出型態
規模成長型公司之資本支出反應係數大於汰舊換新型公司。 / This study aims to examine the incremental information content of capital expenditures of Taiwan listed companies. Taiwan listed companies generally have intensive capital expenditure rather then research and development costs in order to sustain the growth of their performance. Thus, this study suspects that the level of capital expenditures could help predict future earnings upon which capital expenditure could incrementally explain the earnings/return relationship. Empirically, this study first investigates the relationship between current capital expenditure and future earnings. Second, in order to select the optimal earnings/return windows, this study simulates the returns window for large and small firms over various long windows. Third, this study extends Collins and Kothari (1989) and Feltham and Ohlson (1995) to investigate whether the capital expenditure would contain an incremental information content in terms of earnings/return relationship. The findings of this study can be summarized as follows.
1.Besides earnings itself, the capital expenditure cannot well predict future earnings.
2.No matter what is temporal or cross sectional study, price leads the realization of earnings. In addition, the large firm sample group demonstrates the phenomenon of post-earnings drift.
3.The capital expenditure has more explanatory power to earnings/return relationship in the bull market than in the bear market.
4.Earnings and capital expenditure level have incremental information contents in terms of earnings/return relationship.
5.Both unexpected property and unexpected plant investments have explanatory power to the stock price.
6.The determinants of capital expenditure response coefficient, including growth opportunity, systematic risk, returns on capital expenditure, beneficial period of capital expenditure, and types of capital expenditure can increase the explanatory power of earnings/return relationship.
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Essays on interest rate theoryElhouar, Mikael January 2008 (has links)
Diss. (sammanfattning) Stockholm : Handelshögskolan, 2008 Sammanfattning jämte 3 uppsatser
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