A novel procedure is described for accelerating the convergence of Markov chain Monte Carlo computations. The algorithm uses an adaptive bootstrap technique to generate candidate steps in the Markov Chain. It is efficient for symmetric, convex probability distributions, similar to multivariate...

Data assimilation is the process of integrating observational data and model predictions to obtain an optimal representation of the state of the atmosphere. As more chemical observations in the troposphere are becoming available, chemical data assimilation is expected to play an essential role...

Local based approach is a major category of methods for spatial outlier detection (SOD). Currently, there is a lack of systematic analysis on the statistical properties of this framework. For example, most methods assume identical and independent normal distributions(i.i.d. normal) for the...

Data assimilation obtains improved estimates of the state of a physical systemby combining imperfect model results with sparse and noisy observations of reality.Not all observations used in data assimilation are equally valuable. The ability tocharacterize the usefulness of different data points...

Research over two decades has advanced the knowledge of how to assess predictive validity. We believe this has value to information systems (IS) researchers. To demonstrate, we used a widely cited study of IS spending. In that study, price-adjusted diffusion models were proposed to explain and...

In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local...

The high pace at which many of the world's energy markets have gradually been opened tocompetition have generated a significant amount of new financial activity. Both academicians and practitioners alike recently started to develop the tools of energy derivatives pricing/hedging as a...

Variabel verzinsliche Kundengeschäfte repräsentieren einen bedeutenden Teil der Aktiva und Passiva von Banken. Ihre Bewertung und Risikoanalyse ist sowohl für Banken als auch für die Bankenaufsicht anspruchsvoll, da insbesondere das Zusammenspiel zwischen Markt- und Produktzinsen sich als...

Der Begriff Realoptionen umfasst jene Investitionsrechnungsverfahren, die Handlungsoptionen mithilfe finanzmathematischer Methoden aus der Optionstheorie quantitativ bewerten. Aus der Sicht von Softwareinvestitionen sind aufgrund der Rahmenbedingungen, Flexibilität spielt hierbei eine wichtige...