Concept

Autoregressive conditional heteroskedasticity

Related publications (17)

Optimizing Sales Forecasting, Inventory, Pricing and Sourcing Decisions

In this thesis we address various factors that contribute both theoretically and practically to mitigating supply demand mismatches. The thesis is composed of three chapters, where each chapter is an independent scientific paper. In the first paper, we dev ...

EPFL2023

Conditional Synthetic Financial Time Series with Generative Adversarial Networks

The creation of high fidelity synthetic data has long been an important goal in machine learning, particularly in fields like finance where the lack of available training and test data make it impossible to utilize many of the deep learning techniques whic ...

2022

Quantifying uncertain system outputs via the multi-level Monte Carlo method --- distribution and robustness measures

Fabio Nobile, Sebastian Krumscheid, Sundar Subramaniam Ganesh

In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential models by the MLM ...

2022

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Gaussian versus Sparse Stochastic Processes

Julien René Pierre Fageot

Although our work lies in the field of random processes, this thesis was originally motivated by signal processing applications, mainly the stochastic modeling of sparse signals. We develop a mathematical study of the innovation model, under which a signal ...

EPFL2017

Simultaneous estimation of phase derivative and phase using parallel Kalman filter implementation

Pramod Rastogi, Rishikesh Dilip Kulkarni

This paper proposes a technique for the simultaneous estimation of interference phase derivative and phase from a complex interferogram recorded in an optical interferometric setup. The complex interferogram is represented as a spatially varying autoregres ...

2016

Quantification of spatial variability for transverse elastic modulus of spruce wood

Thomas Keller, Anastasios Vassilopoulos, Alireza Farajzadeh Moshtaghin, Steffen Franke

Different factors such as age, location of timber within the tree, structural imperfections, load history such as wind and snow etc. can affect the material properties of timber. Consequently, there is a high variability in the mechanical properties which ...

2016

A Unified Formulation of Gaussian Versus Sparse Stochastic Processes-Part II: Discrete-Domain Theory

Michaël Unser, Arash Amini, Pouya Dehghani Tafti, Hagay Kirshner

This paper is devoted to the characterization of an extended family of continuous-time autoregressive moving average (CARMA) processes that are solutions of stochastic differential equations driven by white Levy innovations. These are completely specified ...

Ieee-Inst Electrical Electronics Engineers Inc2014

On the Unique Identification of Continuous-Time Autoregressive Models From Sampled Data

Michaël Unser, John Paul Ward, Hagay Kirshner

In this work, we investigate the relationship between continuous-time autoregressive (AR) models and their sampled version. We consider uniform sampling and derive criteria for uniquely determining the continuous-time parameters from sampled data; the mode ...

Ieee-Inst Electrical Electronics Engineers Inc2014

On the Linearity of Bayesian Interpolators for Non-Gaussian Continuous-Time AR(1) Processes

Michaël Unser, Philippe Thévenaz, Arash Amini, John Paul Ward

Bayesian estimation problems involving Gaussian distributions often result in linear estimation techniques. Nevertheless, there are no general statements as to whether the linearity of the Bayesian estimator is restricted to the Gaussian case. The two comm ...

Ieee-Inst Electrical Electronics Engineers Inc2013

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