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Articles 1 - 4 of 4
Full-Text Articles in Statistical Models
Modelling Weighted Signed Networks, Alberto Caimo, Isabella Gollini
Modelling Weighted Signed Networks, Alberto Caimo, Isabella Gollini
Conference papers
In this paper we introduce a new modelling approach to analyse weighted signed networks by assuming that their generative process consists of two models: the interaction model which describes the overall connectivity structure of the relations in the network without taking into account neither the weight nor the sign of the dyadic relations; and the conditional weighted signed network model describes how the edge signed weights form given the interaction structure. We then show how this modelling approach can facilitate the interpretation of the overall network process. Finally, we adopt a Bayesian inferential approach to illustrate the new methodology by …
Missing Data Augmentation For Bayesian Multiplex Ergms, Robert Krause, Alberto Caimo
Missing Data Augmentation For Bayesian Multiplex Ergms, Robert Krause, Alberto Caimo
Conference papers
In this paper we present an estimation algorithm for Bayesian multiplex exponential random graphs (BmERGMs) under missing net- work data. Social actors are often connected with more than one type of relation, thus forming a multiplex network. It is important to consider these multiplex structures simultaneously when analyzing a multiplex network. The importance of proper models of multiplex network structures is even more pronounced under the issue of missing network data. The proposed algorithm is able to estimate BmERGMs under missing data and can be used to obtain proper multiple imputations for multiplex network structures. It is an extension of …
A Stochastic Model For Wind Turbine Power Quality Using A Levy Index Analysis Of Wind Velocity Data, Jonathan Blackledge, Eugene Coyle, Derek Kearney
A Stochastic Model For Wind Turbine Power Quality Using A Levy Index Analysis Of Wind Velocity Data, Jonathan Blackledge, Eugene Coyle, Derek Kearney
Conference papers
The power quality of a wind turbine is determined by many factors but time-dependent variation in the wind velocity are arguably the most important. After a brief review of the statistics of typical wind speed data, a non- Gaussian model for the wind velocity is introduced that is based on a Levy distribution. It is shown how this distribution can be used to derive a stochastic fractional diusion equation for the wind velocity as a function of time whose solution is characterised by the Levy index. A Levy index numerical analysis is then performed on wind velocity data for both …
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Conference papers
This paper considers the Fractal Market Hypothesi (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale …