Browsing Statistics and Actuarial Science by Title
Now showing items 143-162 of 361
-
Hierarchical Hidden Markov Model of High-Frequency Market Regimes using Trade Price and Limit Order Book Information
(University of Waterloo, 2011-05-05)Over the last fifty years financial markets have seen an enormous expansion and development both in size and variety. An industry that was once small and secluded has transformed into an essential part of today’s economy. ... -
High-dimensional discriminant analysis and covariance matrix estimation
(University of Waterloo, 2017-12-21)Statistical analysis in high-dimensional settings, where the data dimension p is close to or larger than the sample size n, has been an intriguing area of research. Applications include gene expression data analysis, ... -
Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement
(University of Waterloo, 2011-01-20)While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences ... -
House Price Risk in Mortgage Contracts
(University of Waterloo, 2016-01-25)Research has shown that mortgage default is closely related to house prices. When house prices fall the borrower has an incentive to default. Since default incurs substantial cost to the lender, the borrower and many other ... -
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 ... -
Identifying patterns of alcohol use among secondary school students in Canada: A multilevel latent class analysis
(Elsevier, 2020-01)Harm from alcohol use depend not only on the volume of consumption but also on drinking patterns. This study identifies patterns of alcohol consumption in youth and investigates how these patterns vary across schools and ... -
The illness-death model for family studies
(Oxford University Press, 2021-07)Family studies involve the selection of affected individuals from a disease registry who provide right-truncated ages of disease onset. Coarsened disease histories are then obtained from consenting family members, either ... -
Implied Volatility Modelling
(University of Waterloo, 2014-01-08)We propose extensions on calibrating the volatility surface through multi-factor regression models. The proposed models are back-tested against the historical S&P 500 prices during both the volatile and non-volatile periods ... -
Importance Sampling and Stratification for Copula Models
(Springer, 2018)An importance sampling approach for sampling from copula models is introduced. The proposed algorithm improves Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random ... -
Importance Sampling and Stratification Techniques for Multivariate Models with Low-Dimentional Structures
(University of Waterloo, 2017-12-22)Many problems in finance and risk management involve the computation of quantities related to rare-event analysis. As many financial problems are high-dimensional, the quan- tities of interest rarely have analytical forms ... -
Imputation, Estimation and Missing Data in Finance
(University of Waterloo, 2006)Suppose <em>X</em> is a diffusion process, possibly multivariate, and suppose that there are various segments of the components of <em>X</em> that are missing. This happens, for example, if <em>X</em> is the price of ... -
Independence conditions and the analysis of life history studies with intermittent observation
(Oxford University Press, 2021-07)Multistate models provide a powerful framework for the analysis of life history processes when the goal is to characterize transition intensities, transition probabilities, state occupancy probabilities, and covariate ... -
Individual insurance choice: A stochastic control approach
(University of Waterloo, 2023-02-28)This thesis applies the stochastic control approach to study the optimal insurance strategy for three problems. The first problem studies the optimal non-life insurance for an individual exhibiting internal habit formation ... -
Inference for Continuous Stochastic Processes Using Gaussian Process Regression
(University of Waterloo, 2014-01-21)Gaussian process regression (GPR) is a long-standing technique for statistical interpolation between observed data points. Having originally been applied to spatial analysis in the 1950s, GPR offers highly nonlinear ... -
Inference Methods for Noisy Correlated Responses with Measurement Error
(University of Waterloo, 2020-09-25)Studying complex relationships between correlated responses and the associated covariates has attracted much research interest. Numerous approaches have been developed to model correlated responses. However, most available ... -
Inferring Chemical Reaction Rates from a Sequence of Infrared Spectra
(University of Waterloo, 2016-01-22)Many chemical compounds used by the energy and agricultural industries introduce large amounts of arsenic into the environment. As this poses serious health and environmental risks, designing safe and effective decontaminating ... -
Inflation derivatives pricing with a forward CPI model
(University of Waterloo, 2010-05-21)The Zero-Coupon Inflation Indexed Swap (ZCIIS) is a derivative contract through which inflation expectations on the Consumer Price Index (CPI) are actively traded in the US. In this thesis we consider different ways to use ... -
Information Matrices in Estimating Function Approach: Tests for Model Misspecification and Model Selection
(University of Waterloo, 2009-08-26)Estimating functions have been widely used for parameter estimation in various statistical problems. Regular estimating functions produce parameter estimators which have desirable properties, such as consistency and ... -
Integration in Computer Experiments and Bayesian Analysis
(University of Waterloo, 2005)Mathematical models are commonly used in science and industry to simulate complex physical processes. These models are implemented by computer codes which are often complex. For this reason, the codes are also ... -
Interactive and Static Statistical Graphics: Bridge to Integration
(University of Waterloo, 2022-01-17)There are plenty of graphical packages in R which play an important role in building graphics for data analysis, either static graphics (e.g., `graphics`, `grid`, `ggplot2`) or interactive graphics (e.g., `loon`, `shiny`). ...