Results 31 to 40 of about 18,485,845 (167)
Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework
Mathematics, 2021 The research paper is devoted to developing a mathematical approach for dealing with time-varying parameters in rolling window logit models for credit risk assessment.
Nikita Moiseev +5 more
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Estimation of time-space-varying parameters in dengue epidemic models
Communication in Biomathematical Sciences, 2017 There are nowadays a huge load of publications about dengue epidemic models, which mostly employ deterministic differential equations. The analytical properties of deterministic models are always of particular interest by many experts, but their validity
Karunia Putra Wijaya
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A Time-Varying Parameter Model for Local Explosions [PDF]
SSRN Electronic Journal, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Blasques, Francisco +2 more
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Numerical Study on Identification of Time Varying Parameters of Vibration Systems
Shock and Vibration, 1997 An on-line least squares algorithm has previously been successfully applied to linear vibration systems in order to identify time varying parameters. In this article the limitations of the approach and the factors affecting the identification are further
Yanchun Liang, Qiang Zhen, Zaishen Wang
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Impact of Fiscal Policy on Consumption and Labor Supply under a Time-Varying Structural VAR Model
Economies, 2019 This paper investigates the impact of fiscal policy on private consumption and labor supply in the UK economy using time-varying parameter vector autoregression (TVP-VAR) with stochastic volatility for the period Q2 1987 to Q2 2017.
Rozina Shaheen
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ForecastingPositive percentage time series are present in many empirical applications; they take values in the continuous interval (0,1) and are often modeled with linear dynamic models.
Carlo Grillenzoni
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Analysis of adaptive synchrosqueezing transform with a time-varying parameter [PDF]
Advances in Computational Mathematics, 2020 The synchrosqueezing transform (SST) was developed recently to separate the components of non-stationary multicomponent signals. The continuous wavelet transform-based SST (WSST) reassigns the scale variable of the continuous wavelet transform of a signal to the frequency variable and sharpens the time-frequency representation.
Jian Lu 0002 +2 more
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Time-varying risk aversion : an application to energy hedging [PDF]
, 2009 Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk ...
Cotter, John, Hanly, Jim
core
Adaptive Estimation of Time-Varying Parameters Using DREM
2023 62nd IEEE Conference on Decision and Control (CDC), 2023 In this paper we present a method for estimating time-varying parameters in a linear regression equation. We combine local polynomial regression with dynamic regressor extension and mixing to independently estimate the parameters. During local polynomial regression, a time-varying parameter is approximated by locally constant polynomial coefficients ...
Emil Lykke Diget, Christoffer Sloth
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Online Optimization With Unknown Time-Varying Parameters
IEEE Control Systems LettersIn this paper, we study optimization problems where the cost function contains time-varying parameters that are unmeasurable and evolve according to linear, yet unknown, dynamics. We propose a solution that leverages control theoretic tools to identify the dynamics of the parameters, predict their evolution, and ultimately compute a solution to the ...
Shivanshu Tripathi +2 more
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