31 resultados para failure time model
Filtro por publicador
- Aberdeen University (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (4)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (1)
- Aquatic Commons (1)
- Archive of European Integration (3)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (3)
- Aston University Research Archive (8)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (13)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (6)
- Biodiversity Heritage Library, United States (1)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (21)
- Boston University Digital Common (1)
- Brock University, Canada (2)
- Bulgarian Digital Mathematics Library at IMI-BAS (2)
- Cambridge University Engineering Department Publications Database (31)
- CentAUR: Central Archive University of Reading - UK (23)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (16)
- Cochin University of Science & Technology (CUSAT), India (3)
- Collection Of Biostatistics Research Archive (13)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (1)
- CUNY Academic Works (1)
- Dalarna University College Electronic Archive (1)
- Department of Computer Science E-Repository - King's College London, Strand, London (1)
- Digital Commons - Michigan Tech (1)
- Digital Commons at Florida International University (3)
- Digital Peer Publishing (1)
- DigitalCommons@The Texas Medical Center (6)
- Duke University (6)
- Earth Simulator Research Results Repository (1)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (14)
- FUNDAJ - Fundação Joaquim Nabuco (1)
- Glasgow Theses Service (1)
- Greenwich Academic Literature Archive - UK (4)
- Helda - Digital Repository of University of Helsinki (20)
- Helvia: Repositorio Institucional de la Universidad de Córdoba (1)
- Indian Institute of Science - Bangalore - Índia (50)
- Institutional Repository of Leibniz University Hannover (1)
- INSTITUTO DE PESQUISAS ENERGÉTICAS E NUCLEARES (IPEN) - Repositório Digital da Produção Técnico Científica - BibliotecaTerezine Arantes Ferra (1)
- Instituto Politécnico do Porto, Portugal (4)
- Massachusetts Institute of Technology (2)
- Ministerio de Cultura, Spain (1)
- National Center for Biotechnology Information - NCBI (3)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (2)
- Publishing Network for Geoscientific & Environmental Data (15)
- QSpace: Queen's University - Canada (1)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (38)
- Queensland University of Technology - ePrints Archive (473)
- RCAAP - Repositório Científico de Acesso Aberto de Portugal (1)
- Repositório Científico da Universidade de Évora - Portugal (1)
- Repositorio de la Universidad del Pacífico - PERU (1)
- Repositório digital da Fundação Getúlio Vargas - FGV (8)
- Repositório do Centro Hospitalar de Lisboa Central, EPE - Centro Hospitalar de Lisboa Central, EPE, Portugal (1)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (38)
- Repositorio Institucional Universidad EAFIT - Medelin - Colombia (1)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (1)
- SAPIENTIA - Universidade do Algarve - Portugal (1)
- Savoirs UdeS : plateforme de diffusion de la production intellectuelle de l’Université de Sherbrooke - Canada (1)
- The Scholarly Commons | School of Hotel Administration; Cornell University Research (1)
- Universidad Politécnica de Madrid (18)
- Universidade Complutense de Madrid (1)
- Universidade Federal do Rio Grande do Norte (UFRN) (9)
- Universidade Técnica de Lisboa (2)
- Universitat de Girona, Spain (2)
- Université de Lausanne, Switzerland (3)
- Université de Montréal, Canada (8)
- University of Connecticut - USA (2)
- University of Michigan (2)
- University of Queensland eSpace - Australia (12)
- University of Washington (1)
- WestminsterResearch - UK (2)
Resumo:
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.