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Usage of advanced signal processing techniques for motor traffic safety enhancement
Beneš, Radek ; Říha, Kamil (referee) ; Atassi, Hicham (advisor)
This diploma thesis deals with the issue of the recognition of road signs in the video sequence. Such systems increase the traffic safety and are implemented by major car factories in the manufactured cars (Opel, BMW). First, the motivation for the utilisation of these systems is presented, followed by the survey of the current state of the art methods. Finally, a specific road-sign detection method is chosen and described in detail. The method uses advanced techniques of signal processing. Segmentation method in color space is used for sign detection and subsequent classification is accomplished by linear classification with optional use of PCA method. In addition, the method contains the prediction of road sign positions based on Kalman filtering. Implemented system yields relatively accurate results and overall analysis and discussion is enclosed.
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Outdoor Robot
Tomášek, Ondřej ; Burian, František (referee) ; Žalud, Luděk (advisor)
This work deals with navigation of the mobile outdoor robots. It is divided in two parts. In the first part, the mobile robots and their control problem is examined. The technical means for navigation and obstacles avoidance are described and the mathematical means for sensor data fusion and optimal position estimation of the robot are outlined. In the second part the hardware of the robot is described and furthermore it deals with description of the practically realized algorithms for obstacles avoidance and robot navigation.
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Multifunction data acquisition, measurement and control device
Trávníček, Ivo ; Vlachý, David (referee) ; Grepl, Robert (advisor)
The thesis deals with and tests the Multifunction data acquisition, measurement and control device. The unit is based on the microcontroller ATmega, which was programmed in the language C. The unit contains functions for the measurement of physical quantify, filtering record, regulation of the dynamic systems and communication with PC. Configuration of the unit is real-time in special software created in the language Matlab or by a terminal. The purpose of the unit is controlling a DC motor by the PID regulator, long-term measurement of temperature or measurement of acceleration by an accelerometer.
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Construction of a Market-Neutral ETF Portfolio: A Relative-Value Based Approach
Hlinšťák, David ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
The study describes how cointegration-based techniques can be employed in order to construct profitable trading strategies that exploit mispricing events between similar securities. Particularly, the Johansen Maximum Likelihood Estimation and the Kalman filter approaches are applied to the universe of 200 most liquid ETF stocks traded on NYSE and NASDAQ. The results show that the strategies are quite sensitive to transaction costs, but are still able to maintain profitability even after accounting for a conservative level of transaction costs. While the Kalman filter produces better results on daily data, the 15-minute timeframe is dominated by portfolios constructed by the Johansen cointegration test. Both strategies achieve significantly higher risk-adjusted returns on the intraday timeframe. The study also reveals a performance decline of both strategies in the period of 2013-2015 and outlines possible interpretation of such event.
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Návrh a implementace algoritmu SLAM pro mobilní robot
Ondráček, Jan
This diploma thesis deals with the implementation of selected simultaneous locali-zation and mapping (SLAM) algorithm for mobile robot and testing of this algo-rithm. In theoretical part there is a research that describes various existing SLAM algorithms. One of these algorithms is selected for the implementation based on the selected criteria at the end of the research. Practical part of the thesis deals with the implementation of selected SLAM algorithm in particular programming language and with its testing on real data. Computer simulation in which model of the robot travels through the model of Q Building of Mendel University in Brno is created for the purpose of testing.
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Inflation Reports and Models: How Well Do Central Banks Really Write?
Bulíř, Aleš ; Hurník, Jaromír ; Šmídková, Kateřina
We offer a novel methodology for assessing the quality of inflation reports. In contrast to the existing literature, which mostly evaluates the formal quality of these reports, we evaluate their economic content by comparing inflation factors reported by the central banks with ex-post model-identified factors. Regarding the former, we use verbal analysis and coding of in flation reports to describe inflation factors communicated by central banks in real time. Regarding the latter, we use reduced - form, new Keynesian models and revised data to approximate the true inflation factors. Positive correlations indicate that the r eported inflation factors were similar to the true, model-identified ones and hence mark high-quality inflation reports. Although central bank reports on average identify inflation factors correctly, the degree of forward-looking reporting varies across fa ctors, time, and countries.
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Incorporating Judgments and Dealing with Data Uncertainty in Forecasting at the Czech National Bank
Brůha, Jan ; Hlédik, Tibor ; Holub, Tomáš ; Polanský, Jiří ; Tonner, Jaromír
This paper focuses on the forecasting process at the Czech National Bank with an empha- sis on incorporating expert judgments into forecasts and addressing data uncertainty. At the beginning, the core model and the forecasting process are described and it is presented how data and the underlying uncertainty are handled. The core of the paper contains five case studies, which reflect policy issues addressed during forecasting rounds since 2008. Each case study first describes a particular forecasting problem, then the way how the issue was addressed, and finally the effect of incorporating off-model information into the forecast is briefly summarized. The case studies demonstrate that a careful incor- poration of expert information into a structural framework may be useful for generating economically intuitive forecasts even during very turbulent times, and we show that such judgements may have important monetary policy implications.
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Model realizované stochastické volatility v praxi
Vavruška, Marek ; Zouhar, Jan (advisor) ; Formánek, Tomáš (referee)
Realised Stochastic Volatility model of Koopman and Scharth (2011) is applied to the five stocks listed on NYSE in this thesis. Aim of this thesis is to investigate the effect of speeding up the trade data processing by skipping the cleaning rule requiring the quote data. The framework of the Realised Stochastic Volatility model allows the realised measures to be biased estimates of the integrated volatility, which further supports this approach. The number of errors in recorded trades has decreased significantly during the past years. Different sample lengths were used to construct one day-ahead forecasts of realised measures to examine the forecast precision sensitivity to the rolling window length. Use of the longest window length does not lead to the lowest mean square error. The dominance of the Realised Stochastic Volatility model in terms of the lowest mean square errors of one day-ahead out-of-sample forecasts has been confirmed.
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Macroeconometric Model of Monetary Policy
Čížek, Ondřej ; Pánková, Václava (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
First of all, general principals of contemporary macroeconometric models are described in this dissertation together with a brief sketch of alternative approaches. Consequently, the macroeconomic model of a monetary policy is formulated in order to describe fundamental relationships between real and nominal economy. The model originated from a linear one by making some of the parameters endogenous. Despite this nonlinearity, I expressed my model in a state space form with time-varying coefficients, which can be solved by a standard Kalman filter. Using outcomes of this algorithm, likelihood function was then calculated and maximized in order to obtain estimates of the parameters. The theory of identifiability of a parametric structure is also described. Finally, the presented theory is applied on the formulated model of the euro area. In this model, the European Central Bank was assumed to behave according to the Taylor rule. The econometric estimation, however, showed that this common assumption in macroeconomic modeling is not adequate in this case. The results from econometric estimation and analysis of identifiability also indicated that the interest rate policy of the European Central Bank has only a very limited effect on real economic activity of the European Union. Both results are influential, as monetary policy in the last two decades has been modeled as interest rate policy with the Taylor rule in most macroeconometric models.
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