Vector autoregressive (VAR) modelling is one of the most popular approaches in multivariate time series analysis. The parameters interpretation is simple, and provide an intuitive...
— A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, ...
In distributed and mobile systems with volatile bandwidth and fragile connectivity, non-functional aspects like performance and reliability become more and more important. To forma...
— In this paper, we present a framework for the analysis of a set of adaptive variable-bit-rate voice sources in a packet network. The instantaneous bit rate of each source is de...
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...