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  Subjects -> STATISTICS (Total: 130 journals)
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International Journal of Stochastic Analysis
Journal Prestige (SJR): 0.279
Citation Impact (citeScore): 1
Number of Followers: 2  

  This is an Open Access Journal Open Access journal
ISSN (Print) 2090-3332 - ISSN (Online) 2090-3340
Published by Hindawi Homepage  [339 journals]
  • Stochastic Temporal Data Upscaling Using the Generalized k-Nearest
           Neighbor Algorithm

    • Abstract: Three methods of temporal data upscaling, which may collectively be called the generalized k-nearest neighbor (GkNN) method, are considered. The accuracy of the GkNN simulation of month by month yield is considered (where the term yield denotes the dependent variable). The notion of an eventually well-distributed time series is introduced and on the basis of this assumption some properties of the average annual yield and its variance for a GkNN simulation are computed. The total yield over a planning period is determined and a general framework for considering the GkNN algorithm based on the notion of stochastically dependent time series is described and it is shown that for a sufficiently large training set the GkNN simulation has the same statistical properties as the training data. An example of the application of the methodology is given in the problem of simulating yield of a rainwater tank given monthly climatic data.
      PubDate: Mon, 24 Sep 2018 00:00:00 +000
       
  • Regime-Switching Temperature Dynamics Model for Weather Derivatives

    • Abstract: Weather is a key production factor in agricultural crop production and at the same time the most significant and least controllable source of peril in agriculture. These effects of weather on agricultural crop production have triggered a widespread support for weather derivatives as a means of mitigating the risk associated with climate change on agriculture. However, these products are faced with basis risk as a result of poor design and modelling of the underlying weather variable (temperature). In order to circumvent these problems, a novel time-varying mean-reversion Lévy regime-switching model is used to model the dynamics of the deseasonalized temperature dynamics. Using plots and test statistics, it is observed that the residuals of the deseasonalized temperature data are not normally distributed. To model the nonnormality in the residuals, we propose using the hyperbolic distribution to capture the semiheavy tails and skewness in the empirical distributions of the residuals for the shifted regime. The proposed regime-switching model has a mean-reverting heteroskedastic process in the base regime and a Lévy process in the shifted regime. By using the Expectation-Maximization algorithm, the parameters of the proposed model are estimated. The proposed model is flexible as it modelled the deseasonalized temperature data accurately.
      PubDate: Tue, 10 Jul 2018 00:00:00 +000
       
 
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