168,976 research outputs found
Context modeling and constraints binding in web service business processes
Context awareness is a principle used in pervasive services
applications to enhance their exibility and adaptability to
changing conditions and dynamic environments. Ontologies
provide a suitable framework for context modeling and reasoning. We develop a context model for executable business processes { captured as an ontology for the web services domain. A web service description is attached to a service context profile, which is bound to the context ontology. Context instances can be generated dynamically at services runtime and are bound to context constraint services. Constraint services facilitate both setting up constraint properties and constraint checkers, which determine the dynamic validity of context instances. Data collectors focus on capturing context instances. Runtime integration of both constraint services and data collectors permit the business process to achieve dynamic business goals
Copulas in finance and insurance
Copulas provide a potential useful modeling tool to represent the dependence structure
among variables and to generate joint distributions by combining given marginal
distributions. Simulations play a relevant role in finance and insurance. They are used to
replicate efficient frontiers or extremal values, to price options, to estimate joint risks, and so
on. Using copulas, it is easy to construct and simulate from multivariate distributions based
on almost any choice of marginals and any type of dependence structure. In this paper we
outline recent contributions of statistical modeling using copulas in finance and insurance.
We review issues related to the notion of copulas, copula families, copula-based dynamic and
static dependence structure, copulas and latent factor models and simulation of copulas.
Finally, we outline hot topics in copulas with a special focus on model selection and
goodness-of-fit testing
Stochastic Volatility Filtering with Intractable Likelihoods
This paper is concerned with particle filtering for -stable
stochastic volatility models. The -stable distribution provides a
flexible framework for modeling asymmetry and heavy tails, which is useful when
modeling financial returns. An issue with this distributional assumption is the
lack of a closed form for the probability density function. To estimate the
volatility of financial returns in this setting, we develop a novel auxiliary
particle filter. The algorithm we develop can be easily applied to any hidden
Markov model for which the likelihood function is intractable or
computationally expensive. The approximate target distribution of our auxiliary
filter is based on the idea of approximate Bayesian computation (ABC). ABC
methods allow for inference on posterior quantities in situations when the
likelihood of the underlying model is not available in closed form, but
simulating samples from it is possible. The ABC auxiliary particle filter
(ABC-APF) that we propose provides not only a good alternative to state
estimation in stochastic volatility models, but it also improves on the
existing ABC literature. It allows for more flexibility in state estimation
while improving on the accuracy through better proposal distributions in cases
when the optimal importance density of the filter is unavailable in closed
form. We assess the performance of the ABC-APF on a simulated dataset from the
-stable stochastic volatility model and compare it to other currently
existing ABC filters
HypTrails: A Bayesian Approach for Comparing Hypotheses About Human Trails on the Web
When users interact with the Web today, they leave sequential digital trails
on a massive scale. Examples of such human trails include Web navigation,
sequences of online restaurant reviews, or online music play lists.
Understanding the factors that drive the production of these trails can be
useful for e.g., improving underlying network structures, predicting user
clicks or enhancing recommendations. In this work, we present a general
approach called HypTrails for comparing a set of hypotheses about human trails
on the Web, where hypotheses represent beliefs about transitions between
states. Our approach utilizes Markov chain models with Bayesian inference. The
main idea is to incorporate hypotheses as informative Dirichlet priors and to
leverage the sensitivity of Bayes factors on the prior for comparing hypotheses
with each other. For eliciting Dirichlet priors from hypotheses, we present an
adaption of the so-called (trial) roulette method. We demonstrate the general
mechanics and applicability of HypTrails by performing experiments with (i)
synthetic trails for which we control the mechanisms that have produced them
and (ii) empirical trails stemming from different domains including website
navigation, business reviews and online music played. Our work expands the
repertoire of methods available for studying human trails on the Web.Comment: Published in the proceedings of WWW'1
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