Probability 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. …

The Mean-Reverting 4/2 Stochastic Volatility Model: Properties And Financial Applications, Zhenxian Gong

Electronic Thesis and Dissertation Repository

Financial markets and instruments are continuously evolving, displaying new and more refined stylized facts. This requires regular reviews and empirical evaluations of advanced models. There is evidence in literature that supports stochastic volatility models over constant volatility models in capturing stylized facts such as "smile" and "skew" presented in implied volatility surfaces. In this thesis, we target commodity and volatility index markets, and develop a novel stochastic volatility model that incorporates mean-reverting property and 4/2 stochastic volatility process. Commodities and volatility indexes have been proved to be mean-reverting, which means their prices tend to revert to their long term mean …

Advances In Semi-Nonparametric Density Estimation And Shrinkage Regression, Hossein Zareamoghaddam

Electronic Thesis and Dissertation Repository

This thesis advocates the use of shrinkage and penalty techniques for estimating the parameters of a regression model that comprises both parametric and nonparametric components and develops semi-nonparametric density estimation methodologies that are applicable in a regression context.

First, a moment-based approach whereby a univariate or bivariate density function is approximated by means of a suitable initial density function that is adjusted by a linear combination of orthogonal polynomials is introduced. Such adjustments are shown to be mathematically equivalent to making use of standard polynomials in one or two variables. Once extended to apply to density estimation, in which case …

Statistical Modelling, Optimal Strategies And Decisions In Two-Period Economies, Jiang Wu

Electronic Thesis and Dissertation Repository

Motivated by some real problems, our thesis puts forward two general two-period pricing models and explore optimal buying and selling strategies in two states of the two-period decision, when buyer/seller's decisions in the two periods are uncertain: commodity valuations may or may not be independent, may or may not follow the same distribution, be heavily or just lightly influenced by exogenous economic conditions, and so on. For both the example of buying laptops and the example of selling houses, the connections between each example and the two-envelope paradox encourage us to explore optimal strategies based on the works of McDonnell …

Image Quality Of Energy-Dependent Approaches For X-Ray Angiography, Jesse Evan Tanguay

Electronic Thesis and Dissertation Repository

Digital subtraction angiography (DSA) is an x-ray-based imaging method widely used for diagnosis and treatment of patients with vascular disease. This technique uses subtraction of images acquired before and after injection of an iodinated contrast agent to generate iodine-specific images. While it is extremely successful at imaging structures that are near-stationary over a period of several seconds, motion artifacts can result in poor image quality with uncooperative patients and DSA is rarely used for coronary applications.

Alternative methods of generating iodine-specific images with reduced motion artifacts might exploit the energy-dependence of x-ray attenuation in a patient. This could be performed …

On The Distribution Of Quadratic Expressions In Various Types Of Random Vectors, Ali Akbar Mohsenipour

Electronic Thesis and Dissertation Repository

Several approximations to the distribution of indefinite quadratic expressions in possibly singular Gaussian random vectors and ratios thereof are obtained in this dissertation. It is established that such quadratic expressions can be represented in their most general form as the difference of two positive definite quadratic forms plus a linear combination of Gaussian random variables. New advances on the distribution of quadratic expressions in elliptically contoured vectors, which are expressed as scalar mixtures of Gaussian vectors, are proposed as well. Certain distributional aspects of Hermitian quadratic expressions in complex Gaussian vectors are also investigated. Additionally, approximations to the distributions of …