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Full-Text Articles in Statistical Models
Garch Modeling Of Value At Risk And Expected Shortfall Using Bayesian Model Averaging, Ismail Kheir
Garch Modeling Of Value At Risk And Expected Shortfall Using Bayesian Model Averaging, Ismail Kheir
Theses and Dissertations
This thesis conducts Value at Risk (VaR) and Expected Shortfall (ES) estimation using GARCH modeling and Bayesian Model Averaging (BMA). BMA considers multiple models weighted by some information criterion. Through BMA, this thesis finds that VaR and ES estimates can be improved through enhanced modeling of the data generation process.
Assessing The Ordinality Of Response Bias With Item Response Models: A Case Study Using The Phq-9, Venessa N. Singhroy
Assessing The Ordinality Of Response Bias With Item Response Models: A Case Study Using The Phq-9, Venessa N. Singhroy
Dissertations, Theses, and Capstone Projects
Improper scale usage in psychological and clinical assessment is an important problem. If respondents do not use the scales in a consistent manner, the reliability of a composite is likely to be attenuated. This is particularly problematic when particular items are singled out for special treatment or when subscales are of interest, not just a total score. This study used both non-parametric and parametric item response theory (IRT) methods to gain further insight into the validity of the PHQ-9, a dual purpose instrument that assesses the severity of depressive symptoms using nine Likert-scale items and allows the investigator to establish …
Physical Applications Of The Geometric Minimum Action Method, George L. Poppe Jr.
Physical Applications Of The Geometric Minimum Action Method, George L. Poppe Jr.
Dissertations, Theses, and Capstone Projects
This thesis extends the landscape of rare events problems solved on stochastic systems by means of the \textit{geometric minimum action method} (gMAM). These include partial differential equations (PDEs) such as the real Ginzburg-Landau equation (RGLE), the linear Schroedinger equation, along with various forms of the nonlinear Schroedinger equation (NLSE) including an application towards an ultra-short pulse mode-locked laser system (MLL).
Additionally we develop analytical tools that can be used alongside numerics to validate those solutions. This includes the use of instanton methods in deriving state transitions for the linear Schroedinger equation and the cubic diffusive NLSE.
These analytical solutions are …