Probability Commons^™

Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt

Electronic Thesis and Dissertation Repository

The thesis provides robust and efficient lattice based algorithms for solving dynamic portfolio allocation problems under transaction costs. The early part of the thesis concentrates upon developing a toolbox based on multinomial trees. The multinomial trees are shown to provide a reasonable approximation for most popular transaction cost models in the academic literature. The tool, once forged, is implemented in the powerful Mathematica based parallel computing environment. In the second part of the thesis we provide applications of our framework to real world problems. We show re-balancing portfolios is more valuable in an investment environment where the growth and volatility …

Retrieval Of Sub-Pixel-Based Fire Intensity And Its Application For Characterizing Smoke Injection Heights And Fire Weather In North America, David Peterson

Department of Earth and Atmospheric Sciences: Dissertations, Theses, and Student Research

For over two decades, satellite sensors have provided the locations of global fire activity with ever-increasing accuracy. However, the ability to measure fire intensity, know as fire radiative power (FRP), and its potential relationships to meteorology and smoke plume injection heights, are currently limited by the pixel resolution. This dissertation describes the development of a new, sub-pixel-based FRP calculation (FRP_f) for fire pixels detected by the MODerate Resolution Imaging Spectroradiometer (MODIS) fire detection algorithm (Collection 5), which is subsequently applied to several large wildfire events in North America. The methodology inherits an earlier bi-spectral algorithm for retrieving sub-pixel …

Using The R Library Rpanel For Gui-Based Simulations In Introductory Statistics Courses, Ryan M. Allison

Statistics

As a student, I noticed that the statistical package R (http://www.r-project.org) would have several benefits of its usage in the classroom. One benefit to the package is its free and open-source nature. This would be a great benefit for instructors and students alike since it would be of no cost to use, unlike other statistical packages. Due to this, students could continue using the program after their statistical courses and into their professional careers. It would be good to expose students while they are in school to a tool that professionals use in industry. R also has powerful …

The 1905 Einstein Equation In A General Mathematical Analysis Model Of Quasars, Byron E. Bell

Byron E. Bell

Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow

Conference papers

This paper considers the Fractal Market Hypothesi (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale …

Encryption Using Deterministic Chaos, Jonathan Blackledge, Nikolai Ptitsyn

Articles

The concepts of randomness, unpredictability, complexity and entropy form the basis of modern cryptography and a cryptosystem can be interpreted as the design of a key-dependent bijective transformation that is unpredictable to an observer for a given computational resource. For any cryptosystem, including a Pseudo-Random Number Generator (PRNG), encryption algorithm or a key exchange scheme, for example, a cryptanalyst has access to the time series of a dynamic system and knows the PRNG function (the algorithm that is assumed to be based on some iterative process) which is taken to be in the public domain by virtue of the Kerchhoff-Shannon …

Probability Models For Blackjack Poker, Charlie H. Cooke

Mathematics & Statistics Faculty Publications

For simplicity in calculation, previous analyses of blackjack poker have employed models which employ sampling with replacement. in order to assess what degree of error this may induce, the purpose here is to calculate results for a typical hand where sampling without replacement is employed. It is seen that significant error can result when long runs are required to complete the hand. The hand examined is itself of particular interest, as regards both its outstanding expectations of high yield and certain implications for pair splitting of two nines against the dealer's seven. Theoretical and experimental methods are used in order …

The Joint Distribution Of Bivariate Exponential Under Linearly Related Model, Norou Diawara, Kumer Pial Das

Mathematics & Statistics Faculty Publications

In this paper, fundamental results of the joint distribution of the bivariate exponential distributions are established. The positive support multivariate distribution theory is important in reliability and survival analysis, and we applied it to the case where more than one failure or survival is observed in a given study. Usually, the multivariate distribution is restricted to those with marginal distributions of a specified and familiar lifetime family. The family of exponential distribution contains the absolutely continuous and discrete case models with a nonzero probability on a set of measure zero. Examples are given, and estimators are developed and applied to …

Linear Dependency For The Difference In Exponential Regression, Indika Sathish, Norou Diawara

Mathematics & Statistics Faculty Publications

In the field of reliability, a lot has been written on the analysis of phenomena that are related. Estimation of the difference of two population means have been mostly formulated under the no-correlation assumption. However, in many situations, there is a correlation involved. This paper addresses this issue. A sequential estimation method for linearly related lifetime distributions is presented. Estimations for the scale parameters of the exponential distribution are given under square error loss using a sequential prediction method. Optimal stopping rules are discussed using concepts of mean criteria, and numerical results are presented.

The 1905 Einstein Equation In A General Mathematical Analysis Model Of Quasars, Byron E. Bell

Byron E. Bell

No abstract provided.

Sequence Comparison And Stochastic Model Based On Multi-Order Markov Models, Xiang Fang

Department of Statistics: Dissertations, Theses, and Student Work

This dissertation presents two statistical methodologies developed on multi-order Markov models. First, we introduce an alignment-free sequence comparison method, which represents a sequence using a multi-order transition matrix (MTM). The MTM contains information of multi-order dependencies and provides a comprehensive representation of the heterogeneous composition within a sequence. Based on the MTM, a distance measure is developed for pair-wise comparison of sequences. The new method is compared with the traditional maximum likelihood (ML) method, the complete composition vector (CCV) method and the improved version of the complete composition vector (ICCV) method using simulated sequences. We further illustrate the application of …

The Effects Of The Use Of Technology In Mathematics Instruction On Student Achievement, Ron Y. Myers

FIU Electronic Theses and Dissertations

The purpose of this study was to examine the effects of the use of technology on students’ mathematics achievement, particularly the Florida Comprehensive Assessment Test (FCAT) mathematics results. Eleven schools within the Miami-Dade County Public School System participated in a pilot program on the use of Geometers Sketchpad (GSP). Three of these schools were randomly selected for this study. Each school sent a teacher to a summer in-service training program on how to use GSP to teach geometry. In each school, the GSP class and a traditional geometry class taught by the same teacher were the study participants. Students’ mathematics …

Modeling And Efficient Estimation Of Intra-Family Correlations, Roy Sabo

Mathematics & Statistics Theses & Dissertations

Familial data occur when observations are taken on multiple members of the same family. Due to relationships between these members, both genetic and by cohabitation, their response variables will likely exhibit some form of dependence. Most of the existing literature models this dependence with an equicorrelated structure. This structure is appropriate when the dependencies between family members are similar, such as in genetic studies, but not in cases where we expect the dependencies to differ, such as behavioral comparisons across different age groups. In this dissertation we first discuss an alternative structure based upon first-order autoregressive correlation. Specifically we create …

A Mathematical Regression Of The U.S. Gross Private Domestic Investment 1959-2001, Byron E. Bell

Byron E. Bell

SUMMARY OF PROJECT What did I do? A study of the role the U.S. stock markets and money markets have possibly played in the Gross Private Domestic Investment (GPDI) of the United States from the year 1959 to the year 2001 and I created a Multiple Linear Regression Model (MLRM).

A Monte Carlo Model Of Uncertainty In A Deterministic Hazardous Waste Transportation Risk Assessment, Michael A. Cowen

Masters Theses

This thesis is aimed at developing and applying advanced modeling tools in the prediction of risk to the general public from transportation of chemical waste on public highways. The modeling tools developed can then be used to compare alternative waste management scenarios. The application considered is related to the transport of hazardous waste generated by the United States Department of Energy (DOE) to current treatment, storage, and disposal facilities. DOE is currently considering four different scenarios.

The application considered can be more specifically defined as an analysis of the risk to the general public from transporting the 63 shipments of …