Physical Sciences and Mathematics Commons^™

Early-Warning Alert Systems For Financial-Instability Detection: An Hmm-Driven Approach, Xing Gu

Electronic Thesis and Dissertation Repository

Regulators’ early intervention is crucial when the financial system is experiencing difficulties. Financial stability must be preserved to avert banks’ bailouts, which hugely drain government's financial resources. Detecting in advance periods of financial crisis entails the development and customisation of accurate and robust quantitative techniques. The goal of this thesis is to construct automated systems via the interplay of various mathematical and statistical methodologies to signal financial instability episodes in the near-term horizon. These signal alerts could provide regulatory bodies with the capacity to initiate appropriate response that will thwart or at least minimise the occurrence of a financial crisis. …

Modelling The Common Risk Among Equities Using A New Time Series Model, Jingjia Chu

Electronic Thesis and Dissertation Repository

A new additive structure of multivariate GARCH model is proposed where the dynamic changes of the conditional correlation between the stocks are aggregated by the common risk term. The observable sequence is divided into two parts, a common risk term and an individual risk term, both following a GARCH type structure. The conditional volatility of each stock will be the sum of these two conditional variance terms. All the conditional volatility of the stock can shoot up together because a sudden peak of the common volatility is a sign of the system shock.

We provide sufficient conditions for strict stationarity …

Development Of Anatomical And Functional Magnetic Resonance Imaging Measures Of Alzheimer Disease, Samaneh Kazemifar

Electronic Thesis and Dissertation Repository

Alzheimer disease is considered to be a progressive neurodegenerative condition, clinically characterized by cognitive dysfunction and memory impairments. Incorporating imaging biomarkers in the early diagnosis and monitoring of disease progression is increasingly important in the evaluation of novel treatments. The purpose of the work in this thesis was to develop and evaluate novel structural and functional biomarkers of disease to improve Alzheimer disease diagnosis and treatment monitoring. Our overarching hypothesis is that magnetic resonance imaging methods that sensitively measure brain structure and functional impairment have the potential to identify people with Alzheimer’s disease prior to the onset of cognitive decline. …

Advances In Portmanteau Diagnostic Tests, Jinkun Xiao

Electronic Thesis and Dissertation Repository

Portmanteau test serves an important role in model diagnostics for Box-Jenkins Modelling procedures. A large number of Portmanteau test based on the autocorrelation function are proposed for a general purpose goodness-of-fit test. Since the asymptotic distributions for the statistics has a complicated form which makes it hard to obtain the p-value directly, the gamma approximation is introduced to obtain the p-value. But the approximation will inevitably introduce approximation errors and needs a large number of observations to yield a good approximation. To avoid some pitfalls in the approximation, the Lin-Mcleod Test is further proposed to obtain a numeric solution to …

Joint Modelling In Liver Transplantation, Elizabeth M. Renouf

Electronic Thesis and Dissertation Repository

In the setting of liver transplantation, clinical trials and transplant registries regularly collect repeated measurements of clinical biomarkers which may be strongly associated with a time-to-event such as graft failure or disease recurrence. Multiple time-to-event outcomes are routinely collected. However, joint models are rarely used. This thesis will describe important considerations for joint modelling in the setting of liver transplantation. We will focus on transplant registry data from the United States. We develop a new tool for joint modelling in the context where a critical health event can be tracked in the longitudinal biomarker and often presents as a non-linear …

Statistical Methods For The Analysis Of Rna Sequencing Data, Man-Kee Maggie Chu

Electronic Thesis and Dissertation Repository

The next generation sequencing technology, RNA-sequencing (RNA-seq), has an increasing popularity over traditional microarrays in transcriptome analyses. Statistical methods used for gene expression analyses with these two technologies are different because the array-based technology measures intensities using continuous distributions, whereas RNA-seq provides absolute quantification of gene expression using counts of reads. There is a need for reliable statistical methods to exploit the information from the rapidly evolving sequencing technologies and limited work has been done on expression analysis of time-course RNA-seq data. In this dissertation, we propose a model-based clustering method for identifying gene expression patterns in time-course RNA-seq data. …

Seasonal Decomposition For Geographical Time Series Using Nonparametric Regression, Hyukjun Gweon

Electronic Thesis and Dissertation Repository

A time series often contains various systematic effects such as trends and seasonality. These different components can be determined and separated by decomposition methods. In this thesis, we discuss time series decomposition process using nonparametric regression. A method based on both loess and harmonic regression is suggested and an optimal model selection method is discussed. We then compare the process with seasonal-trend decomposition by loess STL (Cleveland, 1979). While STL works well when that proper parameters are used, the method we introduce is also competitive: it makes parameter choice more automatic and less complex. The decomposition process often requires that …

Joint Outcome Modeling Using Shared Frailties With Application To Temporal Streamflow Data, Lihua Li

Electronic Thesis and Dissertation Repository

Recently there has been tremendous interest in the development of tools for joint analysis of longitudinal data and time-to-event data. This has gained emphasis particularly in clinical studies, where longitudinal measurements on a response may be recorded along with a time-to-event outcome. Joint analysis of multiple outcomes beyond longitudinal and survival have also been considered, for example, joint analysis of a variety of generalized linear models including continuous and count data, or continuous and binomial data. With joint analysis of multiple outcomes, the interest may be analysis of one outcome conditional on the others, or, more typically, analysis of all …

Persistence And Anti-Persistence: Theory And Software, Justin Quinn Veenstra

Electronic Thesis and Dissertation Repository

Persistent and anti-persistent time series processes show what is called hyperbolic decay. Such series play an important role in the study of many diverse areas such as geophysics and financial economics. They are also of theoretical interest. Fractional Gaussian noise (FGN) and fractionally-differeneced white noise are two widely known examples of time series models with hyperbolic decay. New closed form expressions are obtained for the spectral density functions of these models. Two lesser known time series models exhibiting hyperbolic decay are introduced and their basic properties are derived. A new algorithm for approximate likelihood estimation of the models using frequency …

Asymptotic Theory Of General Multivariate Garch Models, Weibin Jiang

Electronic Thesis and Dissertation Repository

Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time series, which makes the application of multivariate models a necessity. Unfortunately the asymptotic theory of the multivariate GARCH models is far from coherent since many algorithms on the univariate case do not extend to multivariate models naturally. This thesis studies the asymptotic theory of the QMLE under mild conditions. We give some counterexamples for the parameter identifiability result in Jeantheau [1998] and …

Diagnostic Checking, Time Series And Regression, Esam Mahdi

Electronic Thesis and Dissertation Repository

In this thesis, a new univariate-multivariate portmanteau test is derived. The proposed test statistic can be used for diagnostic checking ARMA, VAR, FGN, GARCH, and TAR time series models as well as for checking randomness of series and goodness-of- fit VAR models with stable Paretian errors. The asymptotic distribution of the test statistic is derived as well as a chi-square approximation. However, the Monte-Carlo test is recommended unless the series is very long. Extensive simulation experiments demonstrate the usefulness of this test and its improved power performance compared to widely used previous multivariate portmanteau diagnostic check. The contributed R package …