Sharif Digital Repository

Circuit breakers, like price limits and trading suspensions, are used to reduce price volatility in security markets. When returns hit price limits or missed, observed returns deviate from equilibrium returns. This creates a challenge for predicting stock returns and modelling value at risk (VaR). In Tehran Stock Exchange (TSE), the circuit breakers are applied to control for the excess price volatilities. This paper intend to address which models and what methodology should be applied by risk analysts to calculate the VaR when the returns are unobservable. To this end, we extend Wei’s (2002) model, in the framework of Bayesian Censored and Missing-GARCH approach, to estimate VaR for a share... 

In this paper, a heuristic threshold policy is developed to detect and classify the states of a multivariate quality control system. In this approach, a probability measure called belief is first assigned to the quality characteristics and then the posterior belief of out-of-control characteristics is updated by taking new observations and using a Bayesian rule. If the posterior belief is more than a decision threshold, called minimum acceptable belief determined using a heuristic threshold policy, then the corresponding quality characteristic is classified out-of-control. Besides using a different approach, the main difference between the current research and previous works is that the... 

An algorithm, by cooperation of multiple flying vehicles, is developed to localize a moving target in the presence of measurement noise and mis-modeling. It works based on jointly sharing information and data fusion by using a recursive Bayesian estimator and a searching guidance law to direct each flying vehicle to a position where the probability of target detection is maximum. To evaluate this algorithm, a high fidelity simulation program with six degrees of freedom dynamics is also developed  

In this paper, we propose a Gaussian Process Regression (GPR) framework for concealment of corrupted motion vectors in predictive video coding of packet video systems. The problem of estimating the lost motion vectors is modelled as a kernel construction problem in a Bayesian framework. First, to describe the similarity between the neighboring motion vectors, a kernel function is defined. Then the parameters of the kernel function is estimated as the coefficients of a linear Bayesian estimator. The experimental results verify the superiority of the proposed algorithm over the conventional and state of the art motion vector concealment methods. Moreover, noticeable improvements on both... 

The problem of joint estimation of the state and input in linear time-invariant dynamical systems is revisited proposing novel sequential Bayesian formulations. An appealing feature of the proposed method is the promise it delivers for updating the covariance matrices of the process and measurement noise in a real-time fashion using asymptotic approximations. The proposed method avoids the direct transmission of the input into predictions of the state using a zero-mean Gaussian distribution for the input. This prior distribution aims to eliminate low-frequency drifts from estimations of the state and input. Moreover, the method is outlined in a computational algorithm offering real-time... 

This study introduces a novel Bayesian framework for online and real-time vibration control of beam type structures, which represent a comprehensive control system associated with input-state algorithms. Control design systems typically require knowledge of system states, which in structures are displacements and velocities at some degrees of freedom. Currently, full-field measurements of displacements and velocities in large structural systems are not feasible. Also, properties of the moving inertial loads as key parameters in control designs are assumed known; however, in practice, measuring their characteristics is a challenging issue. As a remedy, an observer is required to estimate...