Statistical Models Commons^™

Arima Models For Bank Failures: Prediction And Comparison, Fangjin Cui

UNLV Theses, Dissertations, Professional Papers, and Capstones

The number of bank failures has increased dramatically over the last twenty-two years. A common notion in economics is that some banks can become "too big to fail." Is this still a true statement? What is the relationship, if any, between bank sizes and bank failures? In this thesis, the proposed modeling techniques are applied to real bank failure data from the FDIC. In particular, quarterly data from 1989:Q1 to 2010:Q4 are used in the data analysis, which includes three major parts: 1) pairwise bank failure rate comparisons using the conditional test (Przyborowski and Wilenski, 1940); 2) development of the …

The Doubly Inflated Poisson And Related Regression Models, Manasi Sheth-Chandra

Mathematics & Statistics Theses & Dissertations

Most real life count data consists of some values that are more frequent than allowed by the common parametric families of distributions. For data consisting of only excess zeros, in a seminal paper Lambert (1992) introduced Zero-Inflated Poisson (ZIP) model, which is a mixture model that accounts for the inflated zeros. In this thesis, two Doubly Inflated Poisson (DIP) probability models, DIP (p, λ) and DIP ( p1, p2, λ), are discussed for situations where there is another inflated value k > 0 besides the inflated zeros. The distributional properties such as identifiability, moments, and conditional probabilities …

Some Ratio Type Estimators Under Measurement Errors, Florentin Smarandache, Mukesh Kumar, Rajesh Singh, Ashish K. Singh

Branch Mathematics and Statistics Faculty and Staff Publications

This article addresses the problem of estimating the population mean using auxiliary information in the presence of measurement errors.

Applying Localized Realized Volatility Modeling To Futures Indices, Luella Fu

CMC Senior Theses

This thesis extends the application of the localized realized volatility model created by Ying Chen, Wolfgang Karl Härdle, and Uta Pigorsch to other futures markets, particularly the CAC 40 and the NI 225. The research attempted to replicate results though ultimately, those results were invalidated by procedural difficulties.

Statistical Analysis Of Texas Holdem Poker, Daniel Bragonier

Statistics

Gathered lifetime online Poker data for Mike Linn. Attempted to analyze data to obtain information to maximize profit. Techniques included Univariate Analysis, Regression analysis, Anova analysis, Logistic Regression, and outlier Analysis. After the analysis, nothing of supreme importance or sustenance was found. Encountered issues with too much power. Results lead to plenty of statistical significance, but little practical significance. Results showed that the data did not provide all the answers that were being sought after, but there was some value in examining the data in a strict statistical manner.

Software Internationalization: A Framework Validated Against Industry Requirements For Computer Science And Software Engineering Programs, John Huân Vũ

Master's Theses

View John Huân Vũ's thesis presentation at http://youtu.be/y3bzNmkTr-c.

In 2001, the ACM and IEEE Computing Curriculum stated that it was necessary to address "the need to develop implementation models that are international in scope and could be practiced in universities around the world." With increasing connectivity through the internet, the move towards a global economy and growing use of technology places software internationalization as a more important concern for developers. However, there has been a "clear shortage in terms of numbers of trained persons applying for entry-level positions" in this area. Eric Brechner, Director of Microsoft Development Training, suggested …

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 …

Some Problems Of Outliers In Circular Data., Ali H.M. Abuzaid

Student Works (2010-2019)

This study considers three problems of outliers in circular statistics. The first problem is an attempt to use the standard outlier detection procedures for linear data set by approximating circular variables by linear variables. This is possible for large values of concentration parameter. Series of simulation studies are carried out to specify the accepted value of the concentration parameter so that the von Mises distribution can be approximated by normal distribution. The second is the problem of outliers in circular samples. Two numerical tests of discordancy are proposed to identify outliers. The test statistics are based on the summation of …

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 …

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

Department of Statistics: Dissertations, Theses, and Student Research

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 Em Algorithm For Group Testing Regression Models Under Matrix Pooling, Christopher R. Bilder, Boan Zhang

Department of Statistics: Faculty Publications

No abstract provided.

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 …

Mark-Recapture Creel Survey And Survival Models, Shampa Saha

Mathematics & Statistics Theses & Dissertations

In this dissertation, we consider a model based approach to the estimation of exploitation rate of a fish population by combining mark-recapture procedures with a creel survey. We also consider the analysis of a proportional hazards survival model for randomly censored observations, known as the Koziol-Green model. The model assumes that the lifetime survivor function is a power of the censored time survivor function.

In Chapter 2, we introduce the model based approach to the estimation of the exploitation rate of a fish population by combining mark-recapture procedures with a creel survey. We assume that in the beginning of a …

The Maine Coast, A Statistical Source, Maine Coastal Program

Maine Collection

The Maine Coast, A Statistical Source

Maine Coastal Program, Natural Resource Planning Division, Maine State Planning Office , Augusta, Maine

First Printing June 1978 - Second Printing September 1978

Contents: Preface / Introduction / Chapter 1 - Demography / Chapter 2 - Land Use and Taxation / Chapter 3 - Economy / Chapter 4 - Housing / Chapter 5 - Transportation / Chapter 6 - Education / Chapter 7 - Recreation / Chapter 8 - Social Services / Chapter 9 - Natural Resources / References / Index