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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 ...
Estimation and Assessment of Markov Multistate Models with Intermittent Observations on Individuals
(Springer, 2015-04)
Multistate models provide important methods of analysis for many life history processes, and this
is an area where John Klein made numerous contributions. When individuals in a study group are
observed continuously so ...
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 ...
Causal Inference with Recurrent Data via Propensity Score Methods
(University of Waterloo, 2019-01-07)
Propensity score methods are increasingly being used to reduce estimation bias of treatment effects for observational studies. Previous research has shown that propensity score methods consistently estimate the marginal ...
Compatibility Problems of Probability Measures for Stochastic Processes
(University of Waterloo, 2018-07-27)
In this thesis, we address three topics in the area of compatibility for probability measures. By "compatibility", we mean the problems concerning the existence of random variables/stochastic processes which generate certain ...
Robust and Powerful Tests for Rare Variants Using Fishers Method to Combine Evidence of Association From Two or More Complementary Tests
(Wiley, 2012)
Many association tests have been proposed for rare variants, but the choice of a powerful test is uncertain
when there is limited information on the underlying genetic model. Proposed methods use
either linear statistics, ...
Matrix analytic methods for computations in risk theory
(University of Waterloo, 2019-01-15)
The introduction of matrix analytic methods in risk theory has marked a significant progress in computations in risk theory. Matrix analytic methods have proven to be powerful computational tools for numerically analyzing ...
Analysis of Time Dependent Aggregate Claims
(University of Waterloo, 2016-07-22)
Estimation of aggregate claim amounts is a fundamental task in Actuarial science, based on which risk theory, ruin theory and reinsurance theory can be studied. Properties, including moments, Laplace transforms, and ...
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 ...
Multiply Robust Empirical Likelihood Inference for Missing Data and Causal Inference Problems
(University of Waterloo, 2019-06-06)
Missing data are ubiquitous in many social and medical studies. A naive complete-case (CC) analysis by simply ignoring the missing data commonly leads to invalid inferential results. This thesis aims to develop statistical ...