نتایج جستجو برای: allan variance
تعداد نتایج: 108182 فیلتر نتایج به سال:
An important contributory factor to the bullwhip effect (i.e. the variance amplification of order quantities observed in supply chains) is the replenishment rule used by supply chain members. First the bullwhip effect induced by the use of different forecasting methods in order-up-to replenishment policies is analysed. Variance amplification is quantified and we prove that the bullwhip effect i...
Over the last five years several websites have appeared that track the number of deaths of coalition personnel in the current Iraq conflict. This article proposes using a recently developed multiscale variance stabilization method (the datadriven Haar-Fisz transform) to obtain good estimates of the mean intensity of deaths and demonstrates its statistical advantages over both the running mean (...
Acknowledgments I must admit that pursuing my graduate studies here at the University of Texas at Austin gave me a rare opportunity to be under the tutelage of talented professors. However, today I feel chiefly indebted to my advisor Dr. Allan MacDonald for the patience and sincerity he has shown me in regard to this dissertation. I would like to take this opportunity to express my gratitude, f...
We consider the r th power quantization error arising in the optimal approximation of a d-dimensional probability measure P by a discrete measure supported by the realization of n i.i.d. random variables X1, ...,Xn. For all d ≥ 1 and r ∈ (0,∞) we establish mean and variance asymptotics as well as central limit theorems for the r th power quantization error. Limiting means and variances are expr...
In this paper, the theoretical framework of maximum a posteriori linear regression (MAPLR) based variance adaptation for continuous density HMMs is described. In our approach, a class of informative prior distribution for MAPLR based variance adaptation is identified, from which the close form solution of MAPLR based variance adaptation is obtained under its EM formulation. Effects of the propo...
In this paper we address the problem of robust speech recognition. We propose a new method based on the individual variance adaptation of frequency filtered parameters to reduce the deleterious effects of additive narrow-band noise. The method can be interpreted as a spectral weighting that assigns increased importance to the most reliable spectral components, typically the spectral peaks. The ...
E(∈) = 0, E(∈∈ T) = Σ 2. (1) Here, y is an m-vector of measurements, α* is an n-vector of unknown parameters (with n ≤ m), Φ is the m × n least-squares matrix (with linearly independent columns that do not depend on α*), and ∈ is an m-vector of random errors with expected value 0 and m × m positive definite variance matrix Σ 2. When Σ 2 is not known, we usually assume that Σ 2 = σ 2
The events of 2008-9 disrupted volatility derivatives markets and caused the singlename variance swap market to dry up completely; it has never recovered. This paper introduces the simple variance swap, a more robust relative of the variance swap that can be priced and hedged even if the underlying asset's price can jump, and constructs SVIX, an index based on simple variance swaps that measure...
This paper looks at some recent work on estimating quadratic variation using realised variance (RV) — that is sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high frequency financial return data. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent (as M → ∞) estimator of quadratic va...
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