79 resultados para covariance model
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Dissertação apresentada para obtenção do Grau de Doutor em Engenharia do Ambiente pela Universidade Nova de Lisboa,Faculdade de Ciências e Tecnologia
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Tese de doutoramento em Ciências da Educação
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FEBS Letters 579 (2005) 4585–4590
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In this thesis we implement estimating procedures in order to estimate threshold parameters for the continuous time threshold models driven by stochastic di®erential equations. The ¯rst procedure is based on the EM (expectation-maximization) algorithm applied to the threshold model built from the Brownian motion with drift process. The second procedure mimics one of the fundamental ideas in the estimation of the thresholds in time series context, that is, conditional least squares estimation. We implement this procedure not only for the threshold model built from the Brownian motion with drift process but also for more generic models as the ones built from the geometric Brownian motion or the Ornstein-Uhlenbeck process. Both procedures are implemented for simu- lated data and the least squares estimation procedure is also implemented for real data of daily prices from a set of international funds. The ¯rst fund is the PF-European Sus- tainable Equities-R fund from the Pictet Funds company and the second is the Parvest Europe Dynamic Growth fund from the BNP Paribas company. The data for both funds are daily prices from the year 2004. The last fund to be considered is the Converging Europe Bond fund from the Schroder company and the data are daily prices from the year 2005.
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Dissertation submitted to the Faculty of Sciences and Technology of New University of Lisbon for obtaining the degree of Master in Environmental Management Systems
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Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia Informática
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Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies
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Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova da Lisboa para obtenção do grau de Mestre em Engenharia e Gestão Industrial (MEGI)
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Revista Portuguesa de Pneumologia. VIII(3): 223-235.
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Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Ciência e Sistemas de Informação Geográfica
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MSc. Dissertation presented at Faculdade de Ciências e Tecnologia of Universidade Nova de Lisboa to obtain the Master degree in Electrical and Computer Engineering
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33rd IAHR Congress: Water Engineering for a Sustainable Environment
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Dissertação apresentada para obtenção do Grau de Doutor em Engenharia Electrotécnica, Especialidade de Sistemas Digitais, pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia
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Critical Issues in Environmental Taxation: International and Comparative Perspectives: Volume VI, 699-715
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Management Information Systems 2000, p. 103-111