Physical Sciences and Mathematics Commons^™

Detection Of Changes In Financial Time Series, Rich Madsen

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The purpose of this paper is to examine and model data from several years of foreign currency trading, to determine if one or more change points has occured in the data, and to estimate when those change points took place. Leading up to the analysis of the data we will construct and develop several statistics which we will use to determine if a change point has occured.

This paper falls into the area of computational statistics and will make use of Splus and the S+GARCH module within Splus. Heavy use will also be made of C++. The models that we …

Generalized Minimum Penalized Hellinger Distance Estimation And Generalized Penalized Hellinger Deviance Testing For Generalized Linear Models: The Discrete Case, Huey Yan

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

In this dissertation, robust and efficient alternatives to quasi-likelihood estimation and likelihood ratio tests are developed for discrete generalized linear models. The estimation method considered is a penalized minimum Hellinger distance procedure that generalizes a procedure developed by Harris and Basu for estimating parameters of a single discrete probability distribution from a random sample. A bootstrap algorithm is proposed to select the weight of the penalty term. Simulations are carried out to compare the new estimators with quasi-likelihood estimation. The robustness of the estimation procedure is demonstrated by simulation work and by Hapel's α-influence curve. Penalized minimum Hellinger deviance tests …

Analysis Of A Non-Replicated Split-Split Plot Experiment, Emily Simmons Sim

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

A major obstacle in the analysis of experimental data, in many situations, is the lack of "true" or "complete" replication. In some disciplines, researchers are very aware of the importance of replication and the methods for correctly replicating an experiment. In other subject areas, however, researchers are less aware of what it means to properly replicate an experiment. Due to this lack of awareness, many non-replicated experiments are carried out every year. For many of these non-replicated experiments, there is no satisfactory statistical analysis.

The subject of this report is the analysis of two non-replicated experiments in environmental engineering. First, …