Browsing Statistics and Actuarial Science by Title
Now showing items 115-134 of 363
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Estimation and Testing of the Jump Component in Levy Processes
(University of Waterloo, 2013-10-25)In this thesis, a new method based on characteristic functions is proposed to estimate the jump component in a finite-activity Levy process, which includes the jump frequency and the jump size distribution. Properties of ... -
Estimation of Finite Population Duration Distributions from Longitudinal Survey Panels with Intermittent Followup
(Springer, 2013)We consider survival or duration times associated with spells (sojourns in some state) or events experienced by individuals in a population over a specified time period. Duration distributions can be estimated from data ... -
The Estimation of Stochastic Models in Finance with Volatility and Jump Intensity
(University of Waterloo, 2018-10-26)This thesis covers the parametric estimation of models with stochastic volatility, jumps, and stochastic jump intensity, by FFT. The first primary contribution is a parametric minimum relative entropy optimal Q-measure ... -
Event History Analysis in Longitudinal Cohort Studies with Intermittent Inspection Times
(University of Waterloo, 2016-01-20)Event history studies based on disease clinic data often face several complications. Specifically, patients visit the clinic irregularly, and the intermittent inspection times depend on the history of disease-related ... -
Excursion Sets and Critical Points of Gaussian Random Fields
(University of Waterloo, 2022-09-02)Modeling the critical points of a Gaussian random field is an important challenge in stochastic geometry. In this thesis, we focus on stationary Gaussian random fields and study the locations and types of the critical ... -
exKidneyBERT: A Language Model for Kidney Transplant Pathology Reports and the Crucial Role of Extended Vocabularies
(University of Waterloo, 2022-09-30)Background: Pathology reports contain key information about the patient’s diagno- sis as well as important gross and microscopic findings. These information-rich clinical reports offer an invaluable resource for clinical ... -
Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
(Elsevier, 2018-03-01)In this paper, we model an entity’s surplus process X using the drawdown-based regime-switching (DBRS) dynamics proposed in Landriault et al. (2015a). We introduce the state-dependent termination time to the model, and ... -
Explorations in Pairwise Measures of Dependence and Pooled Significance
(University of Waterloo, 2024-01-22)In the exploration of data sets with many variables, the search for interesting pairs is often the first step of analysis. This search builds a road map of the entirety of data before looking at its details, and can provide ... -
Failure Time Analysis with Discrete Marker Processes under Intermittent Observation
(University of Waterloo, 2021-07-28)Regression analysis for failure time data is often directed at studying the relationship between a time-dependent biomarker and failure. The Cox regression model and the associated partial likelihood on which inference ... -
Failure time studies with intermittent observation and losses to follow-up
(Wiley, 2020-12-01)In health research interest often lies in modeling a failure time process but in many cohort studies failure status is only determined at scheduled assessment times. While the assessment times may be fixed upon study entry, ... -
Feature Selection for Gene Expression Data Based on Hilbert-Schmidt Independence Criterion
(University of Waterloo, 2010-05-25)DNA microarrays are capable of measuring expression levels of thousands of genes, even the whole genome, in a single experiment. Based on this, they have been widely used to extend the studies of cancerous tissues to a ... -
Fee Structure and Surrender Incentives in Variable Annuities
(University of Waterloo, 2014-08-05)Variable annuities (VAs) are investment products similar to mutual funds, but they also protect policyholders against poor market performance and other risks. They have become very popular in the past twenty years, and the ... -
Financial Fraud: A Game of Cat and Mouse
(University of Waterloo, 2010-06-11)This thesis models rational criminals and regulators with flawed incentives. In it we develop a rational model of crime and regulation that we use to show the SEC's current incentive structure is ineffective at preventing ... -
Financial Risk Management of Guaranteed Minimum Income Benefits Embedded in Variable Annuities
(University of Waterloo, 2011-08-29)A guaranteed minimum income benefit (GMIB) is a long-dated option that can be embedded in a deferred variable annuity. The GMIB is attractive because, for policyholders who plan to annuitize, it offers protection against ... -
Fixed Point Iteration Algorithms for Low-rank Matrix Completion
(University of Waterloo, 2015-05-20)A lot of applications can be formulated as matrix completion problems. In order to address such problems, a common assumption is that the underlying matrix is (approximately) low-rank. Under certain conditions, the ... -
Flexible Bent-Cable Models for Mixture Longitudinal Data
(University of Waterloo, 2010-04-27)Data showing a trend that characterizes a change due to a shock to the system are a type of changepoint data, and may be referred to as shock-through data. As a result of the shock, this type of data may exhibit one of two ... -
Flexible Mixed-Effect Modeling of Functional Data, with Applications to Process Monitoring
(University of Waterloo, 2007-06-18)High levels of automation in manufacturing industries are leading to data sets of increasing size and dimension. The challenge facing statisticians and field professionals is to develop methodology to help meet this ... -
Fractional Imputation for Ordinal and Mixed-type Responses with Missing Observations
(University of Waterloo, 2017-01-12)This thesis addresses two essential aspects of large scale public-use data files involving ordinal and mixed-type responses with missing observations: (i) the creation of single complete data sets with imputation for missing ... -
Functional Finite Mixture Modelling and Estimation
(University of Waterloo, 2023-09-01)Functional data analysis is a branch of statistics that studies models for information represented by functions. Meanwhile, finite mixture models serve as a conerstone in the field of cluster analysis, offering a flexible ... -
Funding Liquidity and Limits to Arbitrage
(University of Waterloo, 2012-06-14)Arbitrageurs play an important role in keeping market prices close to their fundamental values by providing market liquidity. Most arbitrageurs however use leverage. When funding conditions worsen they are forced to ...