Browsing Statistics and Actuarial Science by Issue Date
Now showing items 21-40 of 361
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Robust Methods of Testing Long Range
(University of Waterloo, 2007-10-01)This thesis develops a novel robust periodogram method for detecting long memory. Though many test for long memory are based on the idea of linear regression, there exists no results in statistical literature on utilizing ... -
Hypothesis Testing in Finite Mixture Models
(University of Waterloo, 2007-12-14)Mixture models provide a natural framework for unobserved heterogeneity in a population. They are widely applied in astronomy, biology, engineering, finance, genetics, medicine, social sciences, and other areas. An ... -
Efficient Kernel Methods for Statistical Detection
(University of Waterloo, 2008-03-28)This research is motivated by a drug discovery problem -- the AIDS anti-viral database from the National Cancer Institute. The objective of the study is to develop effective statistical methods to model the relationship ... -
Multivariate Time Series Analysis of the Investment Guarantee in Canadian Segregated Fund Products
(University of Waterloo, 2008-05-23)In the context of the guarantee liability valuation, the sophisticated fund-of-funds structure, of some Canadian segregated fund products, often requires us to model multiple market indices simultaneously in order to ... -
Regularized Autoregressive Approximation in Time Series
(University of Waterloo, 2008-05-25)In applications, the true underlying model of an observed time series is typically unknown or has a complicated structure. A common approach is to approximate the true model by autoregressive (AR) equation whose orders are ... -
Robust Methods for Interval-Censored Life History Data
(University of Waterloo, 2008-08-20)Interval censoring arises frequently in life history data, as individuals are often only observed at a sequence of assessment times. This leads to a situation where we do not know when an event of interest occurs, only ... -
A Generalization of the Discounted Penalty Function in Ruin Theory
(University of Waterloo, 2008-08-21)As ruin theory evolves in recent years, there has been a variety of quantities pertaining to an insurer's bankruptcy at the centre of focus in the literature. Despite the fact that these quantities are distinct from each ... -
Analysis of Longitudinal Surveys with Missing Responses
(University of Waterloo, 2008-09-12)Longitudinal surveys have emerged in recent years as an important data collection tool for population studies where the primary interest is to examine population changes over time at the individual level. The National ... -
Prediction Performance of Survival Models
(University of Waterloo, 2008-09-12)Statistical models are often used for the prediction of future random variables. There are two types of prediction, point prediction and probabilistic prediction. The prediction accuracy is quantified by performance ... -
Convex duality in constrained mean-variance portfolio optimization under a regime-switching model
(University of Waterloo, 2008-09-23)In this thesis, we solve a mean-variance portfolio optimization problem with portfolio constraints under a regime-switching model. Specifically, we seek a portfolio process which minimizes the variance of the terminal ... -
Statistical Methods for Multi-State Analysis of Incomplete Longitudinal Data
(University of Waterloo, 2008-09-25)Analyses of longitudinal categorical data are typically based on semiparametric models in which covariate effects are expressed on marginal probabilities and estimation is carried out based on generalized estimating ... -
On the dynamics of infectious diseases in non-homogeneous populations
(University of Waterloo, 2008-09-26)The principal motivations for studying epidemics and their dynamics are understanding the biological characteristics of the epidemic agents and reducing the economical and social costs originating from epidemic outbreaks. The ... -
Multivariate First-Passage Models in Credit Risk
(University of Waterloo, 2008-10-17)This thesis deals with credit risk modeling and related mathematical issues. In particular we study first-passage models for credit risk, where obligors default upon first passage of a ``credit quality" process to ... -
A Review And Analysis Of The Sustainability And Equity Of Social Security Adjustment Mechanisms
(University of Waterloo, 2008-10-24)This thesis examines stabilizing mechanisms in social security retirement systems (“SSRS”), especially those purporting to be automatic balancing mechanisms (“ABM”). It develops a consistent approach to identifying whether ... -
A Multistate Model for Bivariate Interval-Censored Failure Time Data
(Wiley, 2008-12)Interval-censored life-history data arise when the events of interest are only detectable at periodic assessments. When interest lies in the occurrence of two such events, bivariate-interval censored event time data are ... -
Optimal Reinsurance Retentions under Ruin-Related Optimization Criteria
(University of Waterloo, 2008-12-02)Quota-share and stop-loss/excess-of-loss reinsurances are two important reinsurance strategies. An important question, both in theory and in application, is to determine optimal retentions for these reinsurances. In ... -
Robust Estimation of Mean Functions and Treatment Effects for Recurrent Events Under Event-Dependent Censoring and Termination: Application to Skeletal Complications in Cancer Metastatic to Bone
(Taylor & Francis, 2009)In clinical trials featuring recurrent clinical events, the definition and estimation of treatment effects involves a number of interesting issues, especially when loss to follow-up may be eventrelated and when terminal ... -
Predicting epileptic seizures using nonlinear dynamics
(University of Waterloo, 2009-01-23)Epilepsy is a nervous system disorder which affects approximately 1% of the world's population. Nearly 25% of people who have epilepsy are resistant to traditional treatments such as medication and are not candidates for ... -
Analysis of Islamic Stock Indices
(University of Waterloo, 2009-04-29)In this thesis, an attempt is made to build on the quantitative research in the field of Islamic Finance. Firstly, univariate modelling using special GARCH-type models is performed on both the FTSE All World and FTSE ... -
Combination of Levene-Type Tests and a Finite-Intersection Method for Testing Trends in Variances
(University of Waterloo, 2009-04-30)The problem of detecting monotonic increasing/decreasing trends in variances from k samples is widely met in many applications, e.g. financial data analysis, medical and environmental studies. However, most of the tests ...