Browsing Statistics and Actuarial Science by Title
Now showing items 21-40 of 365
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Applications of Projection Pursuit in Functional Data Analysis: Goodness-of- fit, Forecasting, and Change-point Detection
(University of Waterloo, 2021-01-20)Dimension reduction methods for functional data have been avidly studied in recent years. However, existing methods are primarily based on summarizing the data by their projections into principal component subspaces, namely ... -
Applications of Stochastic Control to Portfolio Selection Problems
(University of Waterloo, 2018-10-16)Portfolio selection is an important problem both in academia and in practice. Due to its significance, it has received great attention and facilitated a large amount of research. This thesis is devoted to structuring optimal ... -
Approximating stable densities with Padé approximants and asymptotic series
(University of Waterloo, 2011-04-29)In this thesis, we are interested in using the Padé approximants and asymptotic series to approximate the density functions of the stable distributions. The paper specifically discusses the selection of the optimal degree ... -
Armitage Lecture 2011: The Design and Analysis of Life History Studies
(Wiley, 2013)Life history studies collect information on events and other outcomes during people’s lifetimes. For example, these may be related to childhood development, education, fertility, health, or employment. Such longitudinal ... -
Assessing a binary measurement system: A new plan using targeted verification with conditional sampling and baseline information
(Elsevier, 2019-11)We investigate efficient plans to assess the misclassification error rates of a binary measurement system used as an in-line inspection protocol. We assume that parts can be inspected repeatedly and that each part has its ... -
Assessing Binary Measurement Systems
(University of Waterloo, 2012-01-19)Binary measurement systems (BMS) are widely used in both manufacturing industry and medicine. In industry, a BMS is often used to measure various characteristics of parts and then classify them as pass or fail, according ... -
Assessing Binary Measurement Systems Using Targeted Verification with a Gold Standard
(University of Waterloo, 2017-05-19)Binary Measurement Systems (BMS) are used to classify objects into two categories. Sometimes the categories represent some intrinsically dichotomous characteristic of the object, but sometimes continuous or even multidimensional ... -
Assessing the accuracy of predictive models with interval-censored data
(Oxford University Press, 2022-01)We develop methods for assessing the predictive accuracy of a given event time model when the validation sample is comprised of case K interval-censored data. An imputation-based, an inverse probability weighted (IPW), and ... -
Assessment and Comparison of Continuous Measurement Systems
(University of Waterloo, 2014-12-10)In this thesis we critically examine the assessment and comparison of continuous measurement systems. Measurement systems, defined to be the devices, people, and protocol used to make a measurement, are an important tool ... -
Asset Return Correlations in Episodes of Systemic Crises
(University of Waterloo, 2014-08-22)This thesis explores asset return correlation dynamics in relation to systemic crises. The eigenvalues obtained from principal component analysis performed on the sample return correlation matrix equal the variance explained ... -
Asymptotic Distribution of the Optimal Value in Random Linear Programs: Application to Maximum Expected Shortfall
(University of Waterloo, 2020-10-08)The properties of risk measures are of fundamental concern in quantitative finance, particularly in times of uncertainty. We study the behaviour of the asymptotic distribution of the maximum expected shortfall of a portfolio ... -
Augmented composite likelihood for copula modeling in family studies under biased sampling
(Oxford University Press, 2016-01-27)The heritability of chronic diseases can be effectively studied by examining the nature and extent of within-family associations in disease onset times. Families are typically accrued through a biased sampling scheme in ... -
Automated Knowledge Discovery using Neural Networks
(University of Waterloo, 2021-05-21)The natural world is known to consistently abide by scientific laws that can be expressed concisely in mathematical terms, including differential equations. To understand the patterns that define these scientific laws, it ... -
Bayesian Inference for Stochastic Volatility Models
(University of Waterloo, 2012-09-26)Stochastic volatility (SV) models provide a natural framework for a representation of time series for financial asset returns. As a result, they have become increasingly popular in the finance literature, although they ... -
Bayesian Sample Size Determination for Single-Particle Tracking of Pathogens in Biological Fluids
(University of Waterloo, 2018-01-17)Single-particle tracking (SPT) experiments measure 2-dimensional particle position with a high-resolution digital camera, capturing microsecond motion. SPT has allowed novel investigation of membrane dynamics, enzymology, ... -
Bias in the Estimate of a Mean Reversion Parameter for a Fractional Ornstein-Uhlenbeck Process
(University of Waterloo, 2017-01-19)In this thesis we studied the estimation bias of the least squares estimate of the mean reversion parameter, when the underlying dynamics is governed by fractional Brownian motions. Fractional Brownian motion is a ... -
The Black-Scholes and Heston Models for Option Pricing
(University of Waterloo, 2013-05-22)Stochastic volatility models on option pricing have received much study following the discovery of the non-at implied surface following the crash of the stock markets in 1987. The most widely used stochastic volatility ... -
Bounds on Aggregate Assets
(University of Waterloo, 2014-01-23)Aggregating financial assets together to form a portfolio, commonly referred to as "asset pooling", is a standard practice in the banking and insurance industries. Determining a suitable probability distribution for this ... -
Budget-Constrained Optimal Insurance with an Upper Limit on the Insurer's Exposure
(University of Waterloo, 2021-01-13)This thesis studies the problem of budget-constrained optimal insurance indemnification when the insurer imposes an upper limit on disbursement. In balancing the trade-off between the cost of paying the insurance premium ... -
Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
(Elsevier, 2019-01)In a problem of Pareto-efficient insurance contracting (bilateral risk sharing) with expected-utility preferences, Gollier (1987) relaxes the nonnegativity constraint on indemnities and argues that the existence of a ...