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Testing Structural Changes Using Ratio Type Statistics
Peštová, Barbora ; Hušková, Marie (advisor) ; Prášková, Zuzana (referee) ; Jarušková, Daniela (referee)
Testing Structural Changes Using Ratio Type Statistics Barbora Peštová Charles University in Prague, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Czech Republic Abstract of the doctoral thesis We deal with sequences of observations that are naturally ordered in time and assume various underlying stochastic models. These models are parametric and some of the parameters are possibly subject to change at some unknown time point. The main goal of this thesis is to test whether such an unknown change has occurred or not. The core of the change point methods presented here is in ratio type statistics based on maxima of cumulative sums. Firstly, an overview of thesis' starting points is given. Then we focus on methods for detecting a gradual change in mean. Consequently, procedures for detection of an abrupt change in mean are generalized by considering a score function. We explore the possibility of applying the bootstrap methods for obtaining critical values, while disturbances of the change point model are considered as weakly dependent. Procedures for detection of changes in parameters of linear regression models are shown as well and a permutation version of the test is derived. Then, a related problem of testing a change in autoregression parameter is studied....
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Robust Investment Portfolios
Konfršt, Zdeněk ; Dědek, Oldřich (advisor) ; Pěkná, Martina (referee)
Robust Investment Portfolios Zdeněk Konfršt Abstract This master's thesis pursues the construction of stable, robust and growth portfo- lios in active portfolio management. These portfolios provide limited downside risks, short-time drawdowns and substantial growth prospects. We argue that the construc- tion of such portfolios is based on security selection as well as on portfolio theory (the Mean-Variance Model, MVM). The equity based portfolios were constructed and tested on real market data from the 1995-2014 period. The tested portfolios outperformed the S&P 500 out of and within the risk-reward ratio domain. Robust portfolios build on the MVM but they are less sensitive to errors of param- eters estimation. We experimented with several robust approaches and the results confirmed that the robust portfolios were less sensitive to outliers, less volatile and more stable (robust). The bottom-up process of security selection seems time consuming and labor intensive. Therefore we proposed an alternative approach to select stocks with so- called "cluster analysis". Generally, the cluster analysis classifies similar objects (companies) into similar groups. Technical and fundamental parameters of companies provided needed classification parameters. The classification was run over companies from the German DAX...
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Flexibility, Robustness and Discontinuities in Nonparametric Regression Approaches
Maciak, Matúš ; Hušková, Marie (advisor) ; Hlávka, Zdeněk (referee) ; Horová, Ivanka (referee)
Thesis title: Flexibility, Robustness and Discontinuity in Nonparametric Regression Approaches Author: Mgr. Matúš Maciak, M.Sc. Department: Department of Probability and Mathematical Statistics, Charles University in Prague Supervisor: Prof. RNDr. Marie Hušková, DrSc. huskova@karlin.mff.cuni.cz Abstract: In this thesis we focus on local polynomial estimation approaches of an unknown regression function while taking into account also some robust issues like a presence of outlying observa- tions or heavy-tailed distributions of random errors as well. We will discuss the most common method used for such settings, so called local polynomial M-smoothers and we will present the main statistical properties and asymptotic inference for this method. The M-smoothers method is especially suitable for such cases because of its natural robust flavour, which can nicely deal with outliers as well as heavy-tailed distributed random errors. Another important quality we will focus in this thesis on is a discontinuity issue where we allow for sudden changes (discontinuity points) in the unknown regression function or its derivatives respectively. We will propose a discontinuity model with different variability structures for both independent and dependent random errors while the discontinuity points will be treated in a...
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Monte Carlo simulations of electron scattering in scanning transmission electron microscopy
Záchej, Samuel ; Hrubanová, Kamila (referee) ; Krzyžánek, Vladislav (advisor)
This thesis deals with an electron scattering in STEM microscopy on objects with dif-ferent shapes, such as cuboid, sphere and hollow capsule. Monte Carlo simulations are used for description of multiple electron scattering. Except the theoretical analysis of the electron scattering and simulation methods, the thesis contains design and realiza-tion of an algorithm simulating electron scattering in given objects. In addition, there is a design for robustness evaluation of the simulation, based on comparison between results and known signals for a given object. Reliability of the algorithm was verified by experimental measurements of the electron scattering on a carbon layer.
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A Tool for Robustness Testing of Web-Services
Zelinka, Tomáš ; Očenášek, Pavel (referee) ; Rychlý, Marek (advisor)
This project deals with testing of web services. The result of this work will be a tool for load testing of web services using fault injection in their communication. The first part of the project discusses the basic aspects of testing web services. The second part of the work is more focused on testing high loads in combination with fault injection. The tool will allow automated run of the tests. The distributed model of the tool was designed to simulate real loads. In the last chapter are summarized achieved results.
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Modern methods of QRS detection
Fajkus, Jiří ; Kozumplík, Jiří (referee) ; Vítek, Martin (advisor)
This bachelor’s thesis deals with methods, which are used for processing of ECG signals, specifically for the detection of QRS complexes. The QRS detection is an essential part of every ECG analysis because it is a source of points with timing information, which are used for classification and measurement of other waves and intervals required for diagnostics. Some ways of QRS detection are described in this work and there is also a description of detector implemented in programming environment MATLAB, which is based on zero crossing counts. This QRS detector was then tested CSE database and signals from Holter examination.
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Sensitivity analysis of different forms of state observers
Kadlec, Milan ; Findura, Milan (referee) ; Vavřín, Petr (advisor)
This master thesis is focused on the sensitivity analysis of selected kinds of state reconstructors. They are realized in a general form, via direct and parallel programing. Quantity that determines the quality of sensitivity is output signal difference of the reconstructor with the general form of the system. Testing will be based on different initial state conditions and on the parameters change of the feedback A matrix due to the rested reconstructors.
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Image watermarking
Štágl, Luboš ; Zezula, Radek (referee) ; Číka, Petr (advisor)
This diploma thesis is concerned in static pictures Security problems. That means, additional informations (watermark) are embedded to the original picture in a specific way. This complex picture structure (watermark) should be unremoval by different attacks runing processes. The main goal of this diploma thesis is realize two separated methods digital data watermarking in MATLAB program. For reason of a quite large scale of different watermarking methods are chosen at this time only two of take were choosen. First of the methods is Watermark injection in the spatial domain and the second in the freuquency domain. Both methods are set up in a special way and finish goals of the process. Expected result are, that digital picture user doesn't know about the watermarking technique was aplied on this picture and the watermarking data are the most resistant as possible as can be. These attacks were simulated in Checkmark program.
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Identification of AC induction motor parameters
Křížek, Tomáš ; Václavek, Pavel (referee) ; Blaha, Petr (advisor)
This thesis describes and realizes (in program Matlab/Simulink and in the microcontroller Freescale 56F8346) one off-line identification method of AC Induction motor parameters which are necessary to implement the field-oriented control strategy. The identification metod identify leakage inductance, magnetizing inductance and secondary time constants. The presented method is evaluted, advantages and disadvantages of this method are evaluated with reference to their possible use in real-machine. The experimental results and schemes which are presented demonstrate the feasibility methods. The thesis is dividend in seven chapters. Second chapter describes the basic principle and model AC induction motor. Third chapter generally describes identification methods. Fourth, fifth and sixth chapters deal with method which is based on a previous work of the authors [4] and [5].
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