Filtry
wszystkich: 107
Wyniki wyszukiwania dla: ESTIMATION WINDOW
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Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets
PublikacjaPurpose: We study if capital markets in the Balkan are closely and positively related in terms of rate of return, risk, efficiency, and maximum cumulative loss in relation to different lengths of the estimation window. Design/Methodology/Approach: The research was carried out for the period from 01/01/2017 to 31/12/2019 using portfolio analysis. It was divided into an estimation window (01/01/2019 to 31/12/2019) and another with...
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Markowitz’s portfolio theory – optimal length of estimation window for gold and the biggests companies on the Warsaw Stock Exchange
PublikacjaThe following article is dedicated to the construction of an investment portfolio consisting of 3 investments from the Polish capital market found in the WIG20 index and from investment in gold. The purpose of the study was to determine the optimal length of the estimation window for building a portfolio with minimal risk and maximum efficiency. The length of the estimation window was also assessed in terms of the rate of return...
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Set membership estimation of parameters and variables in dynamic networks by recursive algorithms with moving measurment window
PublikacjaW artykule rozważana jest łączna estymacja przedziałowa zmiennych i parametrów w złożonej sieci dynamicznej w oparciu niepewne modele parametryczne i ograniczoną liczbę pomiarów. Opracowany został rekursywny algorytm estymacji z przesuwnym oknem pomiarowym, odpowiedni dla monitorowania sieci on-line. Okno pomiarowe pozwala na stabilizowanie klasycznego algorytmu rekurencyjnego estymacji i znacznie poprawienie obcisłości estymat....
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On adaptive selection of estimation bandwidth for analysis of locally stationary multivariate processes
PublikacjaWhen estimating the correlation/spectral structure of a locally stationary process, one should choose the so-called estimation bandwidth, related to the effective width of the local analysis window. The choice should comply with the degree of signal nonstationarity. Too small bandwidth may result in an excessive estimation bias, while too large bandwidth may cause excessive estimation variance. The paper presents a novel method...
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A fast time-frequency multi-window analysis using a tuning directional kernel
PublikacjaIn this paper, a novel approach for time-frequency analysis and detection, based on the chirplet transform and dedicated to non-stationary as well as multi-component signals, is presented. Its main purpose is the estimation of spectral energy, instantaneous frequency (IF), spectral delay (SD), and chirp rate (CR) with a high time-frequency resolution (separation ability) achieved by adaptive fitting of the transform kernel. We...
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On adaptive covariance and spectrum estimation of locally stationary multivariate processes
PublikacjaWhen estimating the correlation/spectral structure of a locally stationary process, one has to make two important decisions. First, one should choose the so-called estimation bandwidth, inversely proportional to the effective width of the local analysis window, in the way that complies with the degree of signal nonstationarity. Too small bandwidth may result in an excessive estimation bias, while too large bandwidth may cause excessive...
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The share of investments in gold and oil using the example of selected European stock exchanges– A comparative analysis
PublikacjaIn this article, optimal investment portfolios with minimal risk and maximum efficiency were calculated. The portfolios were designated for ten selected European stock exchanges, based on the listings of the twenty largest companies in each of those markets. All calculations were made based on company shares only, company shares and investments in gold, shares of companies and investments in crude oil as well as shares of companies...
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On joint order and bandwidth selection for identification of nonstationary autoregressive processes
PublikacjaWhen identifying a nonstationary autoregressive process, e.g. for the purpose of signal prediction or parametric spectrum estimation, two important decisions must be taken. First, one should choose the appropriate order of the autoregressive model, i.e., the number of autoregressive coefficients that will be estimated. Second, if identification is carried out using the local estimation technique, such as the localized version of...
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Generalized Savitzky–Golay filters for identification of nonstationary systems
PublikacjaThe problem of identification of nonstationary systems using noncausal estimation schemes is consid-ered and a new class of identification algorithms, combining the basis functions approach with localestimationtechnique,isdescribed.Unliketheclassicalbasisfunctionestimationschemes,theproposedlocal basis function estimators are not used to obtain interval approximations of the parametertrajectory, but provide a sequence of point...
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On noncausal weighted least squares identification of nonstationary stochastic systems
PublikacjaIn this paper, we consider the problem of noncausal identification of nonstationary, linear stochastic systems, i.e., identification based on prerecorded input/output data. We show how several competing weighted (windowed) least squares parameter smoothers, differing in memory settings, can be combined together to yield a better and more reliable smoothing algorithm. The resulting parallel estimation scheme automatically adjusts...
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The hybrid estimation algorithm for wastewater treatment plant robust model predictive control purposes at medium time scale
PublikacjaThe paper proposes an approach to designing the hybrid estimation algorithm/module (HEA) with moving measurements window for Wastewater Treatment Plant (WWTP) Robust Model Predictive Control (RMPC) purposes at medium time scale. The RMPC uses a dedicated grey-box model of biological reactor for the system outputs prediction purposes. The grey-box model parameters are dependant on the plant operating point. Hence, these parameters...
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Windowing of the Discrete Green's Function for Accurate FDTD Computations
PublikacjaThe paper presents systematic evaluation of the applicability of parametric and nonparametric window functions for truncation of the discrete Green's function (DGF). This function is directly derived from the FDTD update equations, thus the FDTD method and its integral discrete formulation can be perfectly coupled using DGF. Unfortunately, the DGF computations require processor time, hence DGF has to be truncated with appropriate...
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Influence of the thermal modernization of window on transmission heat losses
PublikacjaThe article presents the results of calculations of the heat transfer coefficient for the state before and after renovation for the historic windows. The aim of the analysis was to obtain the values of thermal insulation parameters demanded by the regulations, while not losing the historical value of the window. The described example of the renovation of the existing window consisted in installing an additional window panel from...
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Finite-window RLS algorithms
PublikacjaTwo recursive least-squares (RLS) adaptive filtering algorithms are most often used in practice, the exponential and sliding (rectangular) window RLS algorithms. This popularity is mainly due to existence of low-complexity versions of these algorithms. However, these two windows are not always the best choice for identification of fast time-varying systems, when the identification performance is most important. In this paper, we...
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Variable Fractional Delay Filter Design Using a Symmetric Window
PublikacjaIn this paper a numerically efficient method for designing a nearly optimal variable fractional delay (VFD) filter based on a simple and well-known window method is presented. In the proposed method a single window extracted from the optimal filter with fixed fractional delay (FD) is divided into even and odd part. Subsequently, the odd part is discarded and symmetric even part of the extracted window is used to design a family...
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Influence of Aggregating Window Size on Disparity Maps Obtained from Equal Baseline Multiple Camera Set (EBMCS)
PublikacjaThis paper is concerned with obtaining disparity maps on the basis of images from Equal Baseline Multiple Camera Set (EBMCS). EBMCS consists of a central camera and side cameras. Algorithms for obtaining disparity maps with the use of EBMCS take advantage of aggregating windows similarly to stereo matching algorithms for a stereo camera, a camera matrix or a camera array. The paper analyzes the influence of aggregating window size...
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Finite element simulation of cross shaped window panel supports
PublikacjaThe aim of the work is to verify suitability of cross-shaped window panel supports for mullion-transom wall systems. The Finite Element Method (FEM) is chosen to determine the behaviour of stainless steel elements under loading. The advanced non-linear numerical simulations are carried out using an implicit FEM software package MSC.Marc. This study is proposed to initiate the comprehensive investigation of mechanical properties...
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Systematic approach to binary classification of images in video streams using shifting time windows
Publikacjain the paper, after pointing out of realistic recordings and classifications of their frames, we propose a new shifting time window approach for improving binary classifications. We consider image classification in tewo steps. in the first one the well known binary classification algorithms are used for each image separately. In the second step the results of the previous step mare analysed in relatively short sequences of consecutive...
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On the Role of Polarimetric Decomposition and Speckle Filtering Methods for C-Band SAR Wetland Classification Purposes
PublikacjaPrevious wetlands studies have thoroughly verified the usefulness of data from synthetic aperture radar (SAR) sensors in various acquisition modes. However, the effect of the processing parameters in wetland classification remains poorly explored. In this study, we investigated the influence of speckle filters and decomposition methods with different combinations of filter and decomposition windows sizes on classification accuracy....
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Local basis function estimators for identification of nonstationary systems
PublikacjaThe problem of identification of a nonstationary stochastic system is considered and solved using local basis function approximation of system parameter trajectories. Unlike the classical basis function approach, which yields parameter estimates in the entire analysis interval, the proposed new identification procedure is operated in a sliding window mode and provides a sequence of point (rather than interval) estimates. It is...