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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Abordagem semi-paramétrica para cópulas variantes no tempo em séries temporais financeiras / Semiparametric approach for time-varying copula in finacial time series

Reis, Daniel de Brito 21 September 2016 (has links)
Neste trabalho foram utilizadas cópulas bivariadas variantes no tempo para modelar a dependência entre séries de retornos financeiros. O objetivo deste trabalho é apresentar uma abordagem de estimação semi-paramétrica de cópulas variantes no tempo a partir de uma função de cópula paramétrica na qual o parâmetro varia no tempo. A função do parâmetro desconhecido será estimada pela aproximação de ondaleta Haar, polinômio de Taylor e Kernel. O desempenho dos três métodos de aproximação será comparado via estudos de simulação. Uma aplicação aos dados reais será apresentada para ilustrar a metodologia estudada. / In this work the bivariate Time-varying copula models have been used to model the dependence between payback. The aim of this work is to present an approach of semiparametric estimation of Time-varying copula models from a parametric copula function in which the parameter varies with the time. The function of the unknown parameter will be estimated by Haar wavelet approach, Taylor series and smoothing Kernel approximation. The measured performance of the three estimation method will be compared by simulation study. An application of the data will be presented to illustrate the studied methodology.
2

Abordagem semi-paramétrica para cópulas variantes no tempo em séries temporais financeiras / Semiparametric approach for time-varying copula in finacial time series

Daniel de Brito Reis 21 September 2016 (has links)
Neste trabalho foram utilizadas cópulas bivariadas variantes no tempo para modelar a dependência entre séries de retornos financeiros. O objetivo deste trabalho é apresentar uma abordagem de estimação semi-paramétrica de cópulas variantes no tempo a partir de uma função de cópula paramétrica na qual o parâmetro varia no tempo. A função do parâmetro desconhecido será estimada pela aproximação de ondaleta Haar, polinômio de Taylor e Kernel. O desempenho dos três métodos de aproximação será comparado via estudos de simulação. Uma aplicação aos dados reais será apresentada para ilustrar a metodologia estudada. / In this work the bivariate Time-varying copula models have been used to model the dependence between payback. The aim of this work is to present an approach of semiparametric estimation of Time-varying copula models from a parametric copula function in which the parameter varies with the time. The function of the unknown parameter will be estimated by Haar wavelet approach, Taylor series and smoothing Kernel approximation. The measured performance of the three estimation method will be compared by simulation study. An application of the data will be presented to illustrate the studied methodology.
3

Detekce a sledování malých pohybujících se objektů / Detection and Tracking of Small Moving Objects

Filip, Jan Unknown Date (has links)
Thesis deals with the detection and tracking of small moving objects from static images. This work shows a general overview of methods and approaches to detection and tracking of objects. There are also described some other approaches to the whole solution. It also included basic definitions, such a noise, convolution and mathematical morphology. The work described Bayesian filtering and Kalman filter. It described the theory of Wavelets, wavelets filters and transformations. The work deals with different ways of the blob`s detection. It is here the design and implementation of applications, which is based on the wavelets filters and Kalman filter. It`s implemented several methods of background subtraction, which are compared by testing. Testing and application are designed to detect vehicles, which are moving faraway (at least 200 m away).

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