Temat: dynamic model averaging - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Determinants of the spread between POLONIA rate and the reference rate – dynamic model averaging approach
Autorzy:: Kliber, Paweł
Powiązania:: https://bibliotekanauki.pl/articles/581426.pdf
Data publikacji:: 2017
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: monetary policy
POLONIA rate
interbank rates
dynamic model averaging
liquidity in the interbank market
Opis:: In the paper, we consider the factors that determine the overnight interest rates in the Polish interbank market. Since 2008 the Polish central bank has been trying to place the POLONIA rate around the NBP reference rate, mainly by influencing the liquidity conditions through open market operations. We identify a set of factors that determine the overnight rates, namely: liquidity, expectations, confidence in the banking sector and central bank operations. To this end we have used dynamic model averaging method, which allows to identify the set of variables that provide the best description of the explanatory variable. The results reveal that before the outbreak of financial crisis in 2008 the spread between POLONIA rate and reference rate could be explained mainly by liquidity conditions. After the crisis had begun, the importance of liquidity factor decreased and the expectations played a more important role in determining the spread.
Źródło:: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2017, 482; 107-120
1899-3192
Pojawia się w:: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 2.

Tytuł:: Times series averaging and denoising from a probabilistic perspective on time-elastic kernels
Autorzy:: Marteau, Pierre-Francois
Powiązania:: https://bibliotekanauki.pl/articles/330311.pdf
Data publikacji:: 2019
Wydawca:: Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:: time series averaging
time elastic kernel
dynamic time warping
hidden Markov model
szereg czasowy
dynamiczne dopasowanie czasu
ukryty model Markowa
Opis:: In the light of regularized dynamic time warping kernels, this paper re-considers the concept of a time elastic centroid for a set of time series. We derive a new algorithm based on a probabilistic interpretation of kernel alignment matrices. This algorithm expresses the averaging process in terms of stochastic alignment automata. It uses an iterative agglomerative heuristic method for averaging the aligned samples, while also averaging the times of their occurrence. By comparing classification accuracies for 45 heterogeneous time series data sets obtained by first nearest centroid/medoid classifiers, we show that (i) centroid-based approaches significantly outperform medoid-based ones, (ii) for the data sets considered, our algorithm, which combines averaging in the sample space and along the time axes, emerges as the most significantly robust model for time-elastic averaging with a promising noise reduction capability. We also demonstrate its benefit in an isolated gesture recognition experiment and its ability to significantly reduce the size of training instance sets. Finally, we highlight its denoising capability using demonstrative synthetic data. Specifically, we show that it is possible to retrieve, from few noisy instances, a signal whose components are scattered in a wide spectral band.
Źródło:: International Journal of Applied Mathematics and Computer Science; 2019, 29, 2; 375-392
1641-876X
2083-8492
Pojawia się w:: International Journal of Applied Mathematics and Computer Science
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Informacja

Wyszukujesz frazę "dynamic model averaging" wg kryterium: Temat

Źródło danych

Dostawca treści

Kolekcja

Rok wydania

Wydawca

Temat

Autor

Typ dokumentu

Język