Search results | J. Murrey Atkins Library

Title: A Unified Treatment of Derivative Pricing and Forward Decision Problems Within HJM Framework
Author: Zou, Wenhua
Date Created: 2012
Subjects--Topical: Mathematics, Finance
Description: We study the HJM approach which was originally introduced in the fixed income market by David Heath, Robert Jarrow and Andrew Morton and later was implemented in the case of European option market by Martin Schweizer, Johannes Wissel, Rene Carmona...

Title: Analysis of failure time data with missing and informative auxiliary covariates.
Author: Ghosh, Lipika
Date Created: 2011
Subjects--Topical: Statistics, Mathematics, Biometry
Description: In this dissertation we use Cox's regression model to failure time data with continuous informative auxiliary variables in the presence of a validation subsample. The work is motivated by a common problem of missing or mismeasured covariates in su...

Title: Asymptotic Normality of Entropy Estimators
Author: Zhang, Xing
Date Created: 2013
Subjects--Topical: Mathematics
Description: Shannon's entropy plays a central role in many fields of mathematics. In the first chapter, we present a sufficient condition for the asymptotic normality of the plug-in estimator of Shannon's entropy defined on a countable alphabet. The sufficien...

Title: Asymptotic Normality of Higher Order Turing Formulae
Author: Chang, Jie
Date Created: 2022
Subjects--Topical: Mathematics
Description: Higher order Turing formulae, denoted as Tr for r ∈ Z+, are a powerful result allowing one to estimate the total probability associated with words from a random piece of writing, which have been observed exactly r times in a random sample. In part...

Title: GENERALIZED QUASI-LIKELIHOOD RATIO TESTS FOR VARYING COEFFICIENT QUANTILE REGRESSION MODELS
Author: Wang, Yonggang
Date Created: 2013
Subjects--Topical: Statistics
Description: Quantile regression models which can track the relationship of predictive variables and the response variable in specific quantiles are especially useful in applications when extreme quantiles instead of the center of the distribution are interest...

Title: Improving Semiparametric Estimation of Longitudinal Data with Covariance Function
Author: Fang, Fang
Date Created: 2018
Subjects--Topical: Mathematics, Statistics, Biometry
Description: In this dissertation, we aim to improve efficiency of estimation in longitudinal data under generalized semi-parametric varying-coefficient models.First, we investigate a profile weighted least square approach for model estimation by utilizing wit...

Title: Nonparametric Pricing Kernel Models
Author: Sun, Linman
Date Created: 2011
Subjects--Topical: Mathematics
Description: The capital asset pricing model (CAPM) and the arbitrage asset pricingtheory (APT) have been the cornerstone in theoretical and empirical finance for the recent few decades. The classical CAPM usually assumes a simple and stable linear relationshi...

Title: STATISTICAL ANALYSIS OF MARK-SPECIFIC PROPORTIONAL HAZARDS MODEL
Author: Li, Mei
Date Created: 2011
Subjects--Topical: Statistics
Description: Competing risks occur frequently in survival analysis, and in some cases, the competingrisks are not discrete. In this dissertation, we develop some statistical inferences to analyzecontinuous competing risks.In Chapter 2, inspired by the HIV vacc...

Title: Semiparametric time-varying coefficient regression model for longitudinal data with censored time origin
Author: Shou, Qiong
Date Created: 2012
Subjects--Topical: Statistics
Description: In preventive HIV vaccine efficacy trials, thousands of HIV-negative volunteers are randomized to receive vaccine or placebo, and are monitored for HIV infection. The primary objective is to assess vaccine efficacy to prevent HIV infection. An imp...

Title: VARIABLE SELECTION FOR FUNCTIONAL INDEX COEFFICIENT MODELS AND ITS APPLICATIONS IN FINANCE AND ENGINEERING
Author: Yang, Bingduo
Date Created: 2012
Subjects--Topical: Engineering, Statistics, Finance
Description: Variable selection with a non-concave penalty function has become popular in recent years, since it has ability to select significant variables and to estimate unknown regression coefficients simultaneously. In this dissertation, I consider variab...