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Latent degradation indicator estimation using condition monitoring information
Zhou, Yifan; Ma, Lin; Sun, Yong; Mathew, Joseph - 2008
Asset health prediction is imperative to optimal asset management. Online and offline inspections can provide useful information for predicting asset health. The information from an asset health inspection can be divided into two types. (1) Direct indicators which directly determine failures...
Persistent link: https://www.econbiz.de/10009437705
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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - 2006
algorithm (which relies on MCMC methods) are: (1) a reduced blocking scheme for sampling the free elements of the loading matrix … and the factors and (2) a special method for sampling the parameters of the univariate SV process. The resulting algorithm …
Persistent link: https://www.econbiz.de/10009441545
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Valuation of properties and economic models of real estate markets
Schulz, Rainer - 2003
Verfahren, mit welchen Marktwerte ermittelt werden können. Ein Bewertungsverfahren soll einerseits mit ökonomischer Theorie … valuation approach should be in accordance with economic theory and should generate appraisals, which are reliable estimates for …
Persistent link: https://www.econbiz.de/10009467095
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Exponential Smoothing for Forecasting and Bayesian Validation of Computer Models
Wang, Shuchun - 2006
Despite their success and widespread usage in industry and business, ES methods have received little attention from the statistical community. We investigate three types of statistical models that have been found to underpin ES methods. They are ARIMA models, state space models with multiple...
Persistent link: https://www.econbiz.de/10009475950
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Discrete Time Stochastic Volatility Model
Tang, Guojing - 2009
In this dissertation we propose a new model which captures observed features of asset prices. The model reproduces the skewness and fat tails of asset returns by introducing a discretized variance gamma process as the driving innovation process, in addition to a double gamma process to reflect...
Persistent link: https://www.econbiz.de/10009450636
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Seasonal Adjustment of an Aggregate Series using Univariate and Multivariate Basic Structural Models
Birrell, C.; Steel, D. G.; Lin, Y. X. - 2010
Time series resulting from aggregation of several sub-series can be seasonally adjusted directly or indirectly. With model-based seasonal adjustment, the sub-series may also be considered as a multivariate system of series and the analysis may be done jointly. This approach has considerable...
Persistent link: https://www.econbiz.de/10009457605
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Estimation of regulatory credit risk models
Pérez Montes, Carlos - 2013
Incluye bibliografía ; This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and...
Persistent link: https://www.econbiz.de/10012530413
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Visual Sample Plan (VSP): A Tool for Balancing Sampling Requirements Against Decision Error Risk
Pulsipher, Brent A.; Gilbert, Richard O.; Wilson, John E.; … - 2008
user determine the optimal number and location of samples using defensible statistical sampling design methods and displays … summarizing the assumptions and parameter inputs is generated and can be included in a sampling and analysis plan. VSP features …
Persistent link: https://www.econbiz.de/10009435427
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HLNC calibration and application to waste measurement
Lu, Ming Shih; Teichmann, T.; De Ridder, P.M. - 2008
measurement and a new calibration procedure consistent with the physical theory of coincidence counting measurement are presented …
Persistent link: https://www.econbiz.de/10009435460
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Effect of initial seed and number of samples on simple-random and Latin-Hypercube Monte Carlo probabilities (confidence interval considerations)
ROMERO,VICENTE J. - 2008
In order to devise an algorithm for autonomously terminating Monte Carlo sampling when sufficiently small and reliable … 100 trials in a hypothesis test, estimated 95% CI from classical approximate CI theory are empirically examined to … rejected as not being true 95% CI at less than a 40% chance of incorrect rejection. With regard to Latin Hypercube sampling …
Persistent link: https://www.econbiz.de/10009435548