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The evaluation of the confidence intervals for the state parameters of a DC power system
, Article Journal of Engineering and Applied Sciences ; Volume 12, Issue 18 , 2017 , Pages 4544-4550 ; 1816949X (ISSN) ; Razalia, R ; Daud, H ; Norc, N. M ; Firuzabad, M. F ; Sharif University of Technology
Abstract
State estimation in power engineering is used as a tool to find the unknown parameter values from the hypothesized model by utilizing the specified information available about the system. Due to random noises that are added from different sources, the exact value of the state vector cannot be found. This study is an effort to describe the simultaneous and individual confidence intervals for the state parameters in view of the heteroscedastic structure of the error terms. The performance of the constructed intervals in terms of coverage probability has been evaluated by using the Monte Carlo simulation study. The results of the study demonstrate that it is an effective method for practical...
Using Student’s t Autoregressive (STAR) to Model Financial Variables of Iran
, M.Sc. Thesis Sharif University of Technology ; Souri, Davoud (Supervisor)
Abstract
Time series of asset returns display specific regularities such as bell-shaped distribution, leptokurticity and volatility clustering. Economists have made continuous efforts to develop models that explain these patterns and can be used to predict the return and the risk of holding an asset. These efforts can be classified into 3 eras: Bachelier Era (1900-1960) in which the random walk model was developed for speculative prices. Mandelbrot Era (1960-1980) in which the normality assumption was replaced with the Pareto-Levy family of distributions which are flexible enough to justify leptokurticity and infinite variance. And finally, the Dynamic Volatility era in which the focus was on...