No (1032)
Used filters
(2)
Number of found documents:
1032
Published from
to
Modeling multivariate volatility using wavelet-based realized covariance estimator
Baruník, Jozef; Vácha, Lukáš
2011 - English
Abstract. Study of the covariation have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time. The results generalize the popular realized volatility framework by bringing the robustness to noise as well jumps and ability to measure the realized covariance not only in time but also in frequency domain. Noticeable contribution is brought also by the application of the presented theory. Our time-frequency estimators bring not only more efficient estimates, but decomposes the realized covariation into arbitrarily chosen investment horizons. Results thus bring better understanding of the dynamics of dependence between the stock markets.
Keywords:
multivariate realized volatility; covariation; jumps; wavelets
Available at various institutes of the ASCR
Modeling multivariate volatility using wavelet-based realized covariance estimator
Abstract. Study of the covariation have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Our work ...
Comparison of numerical weather prediction models for purposes of atmospheric dispersion modeling within the grant project MV ČR VG20102013018
Hofman, Radek; Pecha, Petr; Hošek, Jiří
2011 - English
This research report concerns numerical weather prediction models and their possible exploitation for purposes of atmospheric dispersion modeling within the grant project VG20102013018 provided by the Ministry of Interior of the Czech Republic. After brief description of numerical weather prediction systems MEDARD and ALADIN, their results are compared in terms of mutual agreement.
Keywords:
numerical weather prediction; ALADIN; MEDARD
Available at various institutes of the ASCR
Comparison of numerical weather prediction models for purposes of atmospheric dispersion modeling within the grant project MV ČR VG20102013018
This research report concerns numerical weather prediction models and their possible exploitation for purposes of atmospheric dispersion modeling within the grant project VG20102013018 provided by the ...
Using indicators of ecological stability in stochastic programming
Houda, Michal
2011 - English
When building bigger construction the EU law impose the so-called EIA process - evaluation of possible influences of the construction on the environment and population health, grouped into several categories. Outputs of the EIA process are recommendations to the investors compensating the negative impacts of the constructions by additional arrangements. In our contribution we develop an innovative approach to model the expenses devoted to obey the EIA rules by stochastic programming tools: especially, we represent uncertainty in parameters by their probabilistic distributions, and subjective utility function representing the ecological demands is modelled via so-called indicators of ecological stability. The model takes into account budget limitations, several legislative obligations, and other ecological aspects; the goal is to help choose the optimal compensating constructions and arrangements. The resulting stochastic programming model is seen as parallel to V@R problem.
Keywords:
EIA process; indicator of ecological stability; stochastic programming; value-at-risk model
Available at various institutes of the ASCR
Using indicators of ecological stability in stochastic programming
When building bigger construction the EU law impose the so-called EIA process - evaluation of possible influences of the construction on the environment and population health, grouped into several ...
Feature Selection - A Very Compact Survey Over the Diversity of Existing Approaches
Somol, Petr; Novovičová, Jana; Pudil, Pavel; Kittler, J.
2010 - English
Feature Selection has been a subject of extensive research that nowadays extends far beyond the boundaries of statistical pattern recognition. We provide a concise yet wide view of the topic including representative references in an attempt to point out that important results can be easily overlooked or duplicated in a variety of – even indirectly related – research fields.
Keywords:
feature selection; dimensionality reduction; survey
Available at various institutes of the ASCR
Feature Selection - A Very Compact Survey Over the Diversity of Existing Approaches
Feature Selection has been a subject of extensive research that nowadays extends far beyond the boundaries of statistical pattern recognition. We provide a concise yet wide view of the topic ...
Comparison of Nonlinear Observers for Underactuated Mechanical Systems
Anderle, Milan; Čelikovský, Sergej
2010 - English
This paper provides the comparison of nonlinear observers for underactuated mechanical systems with aplication to Acrobot walking. Namely, it aims to compare a reduced observer for the Acrobot angular velocities based on the respective angles measurements with a observer for the Acrobot angular velocity and angle based on the other angular velocity and angle measurement and then to combine this observers with the earlier developed full state feedback controllers. For the Acrobot it is not possible to measure the angle between its stance leg and the surface directly because this angle is underactuated. One possibility of measuring this angle is using laser beam sensor and then computation the stance angle from that distance. Main disadvantage of this approach is the high price of the laser beam sensor. The other observer is based on angular velocity of stance leg measurement using the digital gyroscope.
Keywords:
observer; Underactuated mechanical systems; Walking robots
Available at various institutes of the ASCR
Comparison of Nonlinear Observers for Underactuated Mechanical Systems
This paper provides the comparison of nonlinear observers for underactuated mechanical systems with aplication to Acrobot walking. Namely, it aims to compare a reduced observer for the Acrobot ...
Decision making with multiple imperfect decision makers a workshop in conjuction with the 24nd Annual Conference on Neural Information Processing Systems
Guy, Tatiana Valentine; Kárný, Miroslav; Wolpert, D.
2010 - English
Prescriptive Bayesian decision making has reached a high level of maturity, supported by efficient, theoretically well-founded algorithms. While the long-standing problem of describing a sigle decision maker´s bounded rationally in well-known, the similar problem for systems of multiple decision makers with limited cognitive, acting and evaluative abilities/resources has not been considered systematically. The goal of this workshop is to explore such connections between descriptive and prescriptive decision making of multiple decision makers.
Keywords:
decision making; multiple participants; imperfect decision makers
Available at various institutes of the ASCR
Decision making with multiple imperfect decision makers a workshop in conjuction with the 24nd Annual Conference on Neural Information Processing Systems
Prescriptive Bayesian decision making has reached a high level of maturity, supported by efficient, theoretically well-founded algorithms. While the long-standing problem of describing a sigle ...
A generalization of Takens’ Theorem
Augustová, Petra; Beran, Zdeněk
2010 - English
We give a partial generalization of the Takens’ Embedding Theorem in the case of time-irregular samples and we derive properties of the sampling function. Moreover the result is applied to the problem of embedding of a homeo/diffeomorphism into symbolic dynamical system with chaotic behavior. Příspěvek zobecňuje Takensovu větu o vložení pro nestejnoměrné časové kroky a odvozuje vlastnosti samplovací funkce. Výsledek je poté aplikován na problém vložení homeo/difeomorfismu do symbolického dynamického systému s chaotickým chováním.
Keywords:
Takens' Theorem; continuous flows; symbolic dynamics
Available at various institutes of the ASCR
A generalization of Takens’ Theorem
We give a partial generalization of the Takens’ Embedding Theorem in the case of time-irregular samples and we derive properties of the sampling function. Moreover the result is applied to the ...
Sequential Retreating Search Methods in Feature Selection
Somol, Petr; Pudil, Pavel
2010 - English
Inspired by Floating Search, our new pair of methods, the Sequential Forward Retreating Search (SFRS) and Sequential Backward Retreating Search (SBRS) is exceptionally suitable for Wrapper based feature selection. (Conversely, it cannot be used with monotonic criteria.) Unlike most of other known sub-optimal search methods, both the SFRS and SBRS are parameter-free deterministic sequential procedures that incorporate in the optimization process both the search for the best subset and the determination of the best subset size. The subset yielded by either of the two new methods is to be expected closer to optimum than the best of all subsets yielded in one run of the Floating Search. Retreating Search time complexity is to be expected slightly worse but in the same order of magnitude as that of the Floating Search. In addition to introducing the new methods we provide a testing framework to evaluate them with respect to other existing tools.
Keywords:
feature selection; wrappers; sequential search; subset search; method evaluation; classifier performance; pattern recognition
Available at various institutes of the ASCR
Sequential Retreating Search Methods in Feature Selection
Inspired by Floating Search, our new pair of methods, the Sequential Forward Retreating Search (SFRS) and Sequential Backward Retreating Search (SBRS) is exceptionally suitable for Wrapper based ...
What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?
Vácha, Lukáš; Baruník, Jozef
2009 - English
In the proposed paper we would like to test for the different reactions of the stock markets to current financial crisis. We will focus on the Central European stock markets, namely Czech, Polish, Hungarian and compare them to German and U.S. benchmark stock markets. V článku testujeme rozdílné reakce středoevropských trhů na finanční krizi pomocí waveletové analýzy
Keywords:
wavelet analysis; multiresolution analysis; Central European stock markets; financial crisis
Available at various institutes of the ASCR
What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?
In the proposed paper we would like to test for the different reactions of the stock markets to current financial crisis. We will focus on the Central European stock markets, namely Czech, Polish, ...
Analytical and LMI Based Design for the Acrobot Traking with Aplication to Robot WThe 10thalking
Anderle, M.; Čelikovský, Sergej
2009 - English
This paper aims to compare the performance of various techniques for the stabilization of the error dynamics of the Acrobot’s walking like reference trajectory. Both the walking reference planning and the tracking feedback design are based on the Acrobot’s model partial exact feedback linearization of order 3. Namely, such an exact system transformation leads to an almost linear system where error dynamics along trajectory to be tracked is a 4 dimensional linear time varying system having 3 time varying entries only, the remaining entries are either zero or equal to one. Hlavní náplní práce je porovnání různých způsobů stabilizace chybové dynamiky Acrobota podél referenční trajektorie. Sledování navržené trajetorie je založeno na přesné zpětnovazební linearizaci modelu Acrobota.
Keywords:
underactuated mechanical systems; exact feedback linearization; walking robots
Available at various institutes of the ASCR
Analytical and LMI Based Design for the Acrobot Traking with Aplication to Robot WThe 10thalking
This paper aims to compare the performance of various techniques for the stabilization of the error dynamics of the Acrobot’s walking like reference trajectory. Both the walking reference planning ...
NRGL provides central access to information on grey literature produced in the Czech Republic in the fields of science, research and education. You can find more information about grey literature and NRGL at service web
Send your suggestions and comments to nusl@techlib.cz
Provider
Other bases