Estimation Of Quantiles In A Simulation Model Based On Artificial Neural Networks
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Estimation of quantiles in a simulation model based on artificial neural networks
Master's Thesis from the year 2017 in the subject Mathematics - Stochastics, grade: 1,3, Technical University of Darmstadt, language: English, abstract: This thesis deals with the development of an "alpha"-quantile estimate based on a surrogate model with the use of artificial neural networks. Using artificial neural networks as an estimate is considered a nonparametric approach. The estimation of a specific quantile of a data population is a widely used statistical task and a comprehensive way to discover the true relationship among variables. It can be classified as nonparametric regression, where it is one of the standard tasks. The most common selected levels for estimation are the first, second and third quartile (25, 50 and 75 percent). The quantile level is given by "alpha". A 25 percent quantile for example has 25 percent of the data distribution below the named quantile and 75 percent of the data distribution above it. Sometimes the tail regions of a population characteristic are of interest rather than the core of the distribution. Quantile estimation is applied in many different contexts - financial economics, survival analysis and environmental modelling are only a few of them.
Quantile Regression for Cross-Sectional and Time Series Data
This brief addresses the estimation of quantile regression models from a practical perspective, which will support researchers who need to use conditional quantile regression to measure economic relationships among a set of variables. It will also benefit students using the methodology for the first time, and practitioners at private or public organizations who are interested in modeling different fragments of the conditional distribution of a given variable. The book pursues a practical approach with reference to energy markets, helping readers learn the main features of the technique more quickly. Emphasis is placed on the implementation details and the correct interpretation of the quantile regression coefficients rather than on the technicalities of the method, unlike the approach used in the majority of the literature. All applications are illustrated with R.
Artificial Neural Networks – ICANN 2009
This volume is part of the two-volume proceedings of the 19th International Conf- ence on Artificial Neural Networks (ICANN 2009), which was held in Cyprus during September 14–17, 2009. The ICANN conference is an annual meeting sp- sored by the European Neural Network Society (ENNS), in cooperation with the - ternational Neural Network Society (INNS) and the Japanese Neural Network Society (JNNS). ICANN 2009 was technically sponsored by the IEEE Computational Intel- gence Society. This series of conferences has been held annually since 1991 in various European countries and covers the field of neurocomputing, learning systems and related areas. Artificial neural networks provide an information-processing structure inspired by biological nervous systems. They consist of a large number of highly interconnected processing elements, with the capability of learning by example. The field of artificial neural networks has evolved significantly in the last two decades, with active partici- tion from diverse fields, such as engineering, computer science, mathematics, artificial intelligence, system theory, biology, operations research, and neuroscience. Artificial neural networks have been widely applied for pattern recognition, control, optimization, image processing, classification, signal processing, etc.