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Articles 1 - 5 of 5
Full-Text Articles in Statistical Models
On The Performance Of Some Poisson Ridge Regression Estimators, Cynthia Zaldivar
On The Performance Of Some Poisson Ridge Regression Estimators, Cynthia Zaldivar
FIU Electronic Theses and Dissertations
Multiple regression models play an important role in analyzing and making predictions about data. Prediction accuracy becomes lower when two or more explanatory variables in the model are highly correlated. One solution is to use ridge regression. The purpose of this thesis is to study the performance of available ridge regression estimators for Poisson regression models in the presence of moderately to highly correlated variables. As performance criteria, we use mean square error (MSE), mean absolute percentage error (MAPE), and percentage of times the maximum likelihood (ML) estimator produces a higher MSE than the ridge regression estimator. A Monte Carlo …
Annuity Product Valuation And Risk Measurement Under Correlated Financial And Longevity Risks, Soohong Park
Annuity Product Valuation And Risk Measurement Under Correlated Financial And Longevity Risks, Soohong Park
Electronic Thesis and Dissertation Repository
Longevity risk is a non-diversifiable risk and regarded as a pressing socio-economic challenge of the century. Its accurate assessment and quantification is therefore critical to enable pension-fund companies provide sustainable old-age security and maintain a resilient global insurance market. Fluctuations and a decreasing trend in mortality rates, which give rise to longevity risk, as well as the uncertainty in interest-rate dynamics constitute the two fundamental determinants in pricing and risk management of longevity-dependent products. We also note that historical data reveal some evidence of strong correlation between mortality and interest rates and must be taken into account when modelling their …
Recent Periods Of Financial Turbulence On The Russian Stock Market And Their Effect On Price Correlation And Value At Risk, Alexander Logoveev, Gregory Cherinko
Recent Periods Of Financial Turbulence On The Russian Stock Market And Their Effect On Price Correlation And Value At Risk, Alexander Logoveev, Gregory Cherinko
Undergraduate Economic Review
The aim of this article is to observe and analyze the recent periods of financial turbulence on the Russian stock market and determine their influence on the correlation coefficients between asset prices and the Value at Risk measure for a portfolio. Our task was to describe the previously observed phenomenon of correlation enlargement during times of financial crises deemed in our research as separate Black Swans. Based on up-to-date financial data analysis we determined correlation trends that can be useful in risk management and applied the Value at Risk method.
Spatial And Temporal Correlations Of Freeway Link Speeds: An Empirical Study, Piotr J. Rachtan
Spatial And Temporal Correlations Of Freeway Link Speeds: An Empirical Study, Piotr J. Rachtan
Masters Theses 1911 - February 2014
Congestion on roadways and high level of uncertainty of traffic conditions are major considerations for trip planning. The purpose of this research is to investigate the characteristics and patterns of spatial and temporal correlations and also to detect other variables that affect correlation in a freeway setting. 5-minute speed aggregates from the Performance Measurement System (PeMS) database are obtained for two directions of an urban freeway – I-10 between Santa Monica and Los Angeles, California. Observations are for all non-holiday weekdays between January 1st and June 30th, 2010. Other variables include traffic flow, ramp locations, number of lanes and the …
Test Statistics Null Distributions In Multiple Testing: Simulation Studies And Applications To Genomics, Katherine S. Pollard, Merrill D. Birkner, Mark J. Van Der Laan, Sandrine Dudoit
Test Statistics Null Distributions In Multiple Testing: Simulation Studies And Applications To Genomics, Katherine S. Pollard, Merrill D. Birkner, Mark J. Van Der Laan, Sandrine Dudoit
U.C. Berkeley Division of Biostatistics Working Paper Series
Multiple hypothesis testing problems arise frequently in biomedical and genomic research, for instance, when identifying differentially expressed or co-expressed genes in microarray experiments. We have developed generally applicable resampling-based single-step and stepwise multiple testing procedures (MTP) for control of a broad class of Type I error rates, defined as tail probabilities and expected values for arbitrary functions of the numbers of false positives and rejected hypotheses (Dudoit and van der Laan, 2005; Dudoit et al., 2004a,b; Pollard and van der Laan, 2004; van der Laan et al., 2005, 2004a,b). As argued in the early article of Pollard and van der …