• Nebyly nalezeny žádné výsledky

Abstrakt (anglicky) (7.567Kb)

N/A
N/A
Info
Stáhnout
Protected

Academic year: 2022

Podíl "Abstrakt (anglicky) (7.567Kb)"

Copied!
1
0
0

Načítání.... (zobrazit plný text nyní)

Stáhnout nyní ( 1 Stránka )

Fulltext

(1)

Title: Statistical problems in Markov chains with applications in finance Author: Marek Chudý

Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Michaela Prokešová, Ph.D.

Abstract: In this work, we study estimation methods for estimating transition probabilities in Markov chains. We discuss two methods, the first one for com- plete data and the second one for aggregate data. In the second chapter, we will introduce the theory for both methods and show examples of tests of sev- eral hypothesis about transition probabilities. In the last chapter we apply both methods to real data comming from an insurance company. In the last chapter we also present the results of both methods and compare them with each other.

Keywords: Markov chains, transition probabilities, maximum likelihood method, least squares method

Odkazy

Stáhnout nyní ( PDF - 1 Stránka - 7.57 KB )

Související dokumenty

Abstrakt (anglicky) (26.02Kb)

The goal of the thesis is to introduce the basics of the theory of superalgebras, that is Z 2 -graded algebras over a field of characteristic different from two, as well as to

Abstrakt (anglicky) (18.78Kb)

This thesis deals with the problem of estimating the transition rate matrix of a continuous-time Markov chain using discretely observed gures.. First chapter contains a simply way

Abstrakt (anglicky) (106.2Kb)

Basics of copula theory and the measurement of dependence by correlation coefficients (Pearson, Spearman and Kendal) are described in a separate chapter.. A substantial

Homotopy categories associated to families and their behaviour

If the transition functors in the family do not admit adjoints (and such examples indeed arise in practice), the homotopy theory becomes much more complex and one cannot simply

Abstrakt (anglicky) (79.76Kb)

In the fifth chapter we introduce the brief history of the folk costume, explain what it is and the we pay our attention to the Czech a German folk costume in the Northern Pilsen