Statistics and Probability Commons^™

The Martingale Approach To Financial Mathematics, Jordan M. Rowley

Master's Theses

In this thesis, we will develop the fundamental properties of financial mathematics, with a focus on establishing meaningful connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption alone, we stumble upon a strange new probability measure Q, according to which every risky asset is expected to grow as though it were a bond. As it turns out, this measure Q also gives the arbitrage-free pricing formula for every asset on our market. In …

Analysis Of An M/M/1 Queue With Working Vacation And Vacation Interruption, Shakir Majid, P. Manoharan

Applications and Applied Mathematics: An International Journal (AAM)

In this paper, an M/M/1 queue with working vacation and vacation interruption is investigated. The server is supposed to interrupt the vacation and return back to the normal working period, if there are at least N customers waiting in the system at a service completion instant during the working vacation period. Otherwise, the server continues the vacation until the system is nonempty after a vacation ends or there are at least N customers after a service ends. In terms of the quasi birth and death process and matrix-geometric solution method, we obtain the distributions for the stationary queue length. Moreover, …

Transient Analysis Of A Markovian Single Vacation Feedback Queue With An Interrupted Closedown Time And Control Of Admission During Vacation, A. Azhagappan, T. Deepa

Applications and Applied Mathematics: An International Journal (AAM)

This paper analyzes the transient behavior of an M/M/1 queueing model with single vacation, feedback, interrupted closedown time and control of admission during vacation. The time-dependent system size probabilities for the proposed model are obtained using generating function in the closed form. Further, the system performance measures like mean and variance of system size are also obtained for the time-dependent case. Finally, numerical illustrations are presented to understand the effect for various system parameters.

Construction And Application Of Log-Linear Models To Assess Academic Performance, Indika R. Wickramasinghe

Applications and Applied Mathematics: An International Journal (AAM)

Log-Linear Models (LLMs) are important techniques used in categorical data analysis. Though there are some available published work about LLMs, the explanation of model building process and the theoretical background are not adequate. Furthermore, research about the application of the LLM theory and the selection procedure of the best model are handful. Therefore, this manuscript aims to fill that vacuum. At first, the construction of LLM and Hierarchical Log-Linear Models (HLLMs), a branch of LLMs are discussed in connection with both 2×2 and 2×2 ×2 contingency tables. Secondly, an application is presented to analyze the collected data set about the …

Cs + Sociology: Using Big Data To Identify And Understand Educational Inequality In America (1), Joseph Cleary, Elin Waring

Open Educational Resources

This is the first of two lessons/labs for teaching and learning of computer science and sociology. Either and be used on their own or they can be used in sequence, in which case this should be used first.

Students will develop CS skills and behaviors including but not limited to: learning what an API is, learning how to access and utilize data on an API, and developing their R coding skills and knowledge. Students will also learn basic, but important, sociological principles such as how poverty is related to educational opportunities in America. Although prior knowledge of CS and sociology …

Optimizing Electrospun Ceramic Nanofiber Strength Through Two-Step Sintering, Michael Ross

Materials Engineering

Two-step sintering (TSS) consists of a high-temperature step and immediate cooling to a sintering temperature for an extended sintering time, where grain growth is suppressed by severe densification during the high-temperature step. TSS is adopted to enhance mechanical properties of electrospun ceramic nanofibers (CNFs), a class of porous ceramics used for environmental remediation, optoelectronics, and filtration. PVP and Ga(NO₃)₃ nanofiber mesh, provided by Lawrence Livermore National Laboratory, was shaped, oxidized, and two-step sintered to form a nanocrystalline β-Ga₂O₃ CNF tube using a high-temperature step of 1,000^oC. Sintering temperatures and times varied from …

Statistical Machine Learning Methods For Mining Spatial And Temporal Data, Fei Tan

Dissertations

Spatial and temporal dependencies are ubiquitous properties of data in numerous domains. The popularity of spatial and temporal data mining has thus grown with the increasing prevalence of massive data. The presence of spatial and temporal attributes not only provides complementary useful perspectives, but also poses new challenges to the representation and integration into the learning procedure. In this dissertation, the involved spatial and temporal dependencies are explored with three genres: sample-wise, feature-wise, and target-wise. A family of novel methodologies is developed accordingly for the dependency representation in respective scenarios.

First, dependencies among discrete, continuous and repeated observations are studied …

Obesity As Type 2 Diabetes Common Comorbidity: Study Of Type 2 Diabetes Patients’ Eating Behaviour And Other Determinants In Jakarta, Indonesia, Isna Aulia Fajarini, Ratu Ayu Dewi Sartika

Kesmas

Obesity is one of the comorbidities widely occurred among type 2 diabetes patients. It is one of the most modifiable risk factors for the prevention of other comorbid conditions such as diabetic nephropathy and cardiovascular disease. The aim of this study was to recognize eating behaviour, physical activity, and other related factors, also their correlation with obesity as comorbidity among type 2 diabetes patients. Using cross-sectional design, data were collected from purposively selected 133 members of “PROLANIS” in Jatinegara Primary Health Care, East Jakarta. Food intake was assessed by 1x24 hours food recall and FFQ, physical activity by GPAQ. The …

Type 2 Diabetes Patients’ Need For Physical Activity Programming: A Qualitative Study At A Yogyakarta Hospital Clini, Novita Intan Arovah, Bernadeta Wara Kushartanti, Tracy L. Washington, Kristiann C. Heesch

Kesmas

Physical activity programs offered in Indonesian hospitals are often inadequate to help type 2 diabetes (T2D) patients meet international physical activity recommendations. This study aimed to identify T2D patients’ physical activity enablers and barriers, their preferences for, and experiences with, physical activity programming, with a view to developing future programs that are suited to these patients’ needs and preferences. Four focus groups were conducted with 28 patients (50% female) of the T2D clinic at the Local General Hospital of Yogyakarta. Discussions were thematically analysed in NVivo 10. The most reported types of physical activity were walking and participation in the …

Dengue Haemorrhagic Fever And House Conditions In Kupang City, East Nusa Tenggara Province, Wanti Wanti, Ririh Yudhastuti, Hari Basuki Notobroto, Sri Subekti, Oktofianus Sila, Ragu Harming Kristina, Feby Dwirahmadi

Kesmas

Kupang City has the highest Incidence of DHF in East Nusa Tenggara and also higher than the national figure. This study aims to analyze the relationship between housing conditions and the DHF incidence in the Kupang City. This observational study uses a case-control study in 25 villages with a total sample of 500 people. Data is analyzed using t test and chi square test. The house conditions were significantly related to the DHF incidence (p≤0.05), namely house lighting, water usage, wall construction, ventilation area and ownership of clean water facilities. People are advised to ventilate the house ≥10% of the …

Risk Factor Analysis Of Overnutrition Among Elementary School Children In Pekanbaru: An Urban-Rural Perspective, Arfianti Arfianti

Kesmas

The prevalence of childhood overnutrition is increasing in many parts of the world including Indonesia. National basic health research (RISKESDAS) 2010 showed that over-nutrition in urban children (10.4%) was greater than in rural areas (8.1%). The purpose of this study was to analyse risk factors for overnutrition on elementary students in urban and rural areas in Pekanbaru. This was an observasional analytical study with cross-sectional design. This study involved 137 urban and 113 rural students from six elementary schools in Pekanbaru recruited by quota sampling technique. This study was conducted between April-May 2018. The results showed that the proportions of …

Occurrence Of Natural Vertical Transmission Of “Zika Like Virus” In Aedes Aegypti Mosquito In Jambi City, Tri Baskoro Satoto, Nur Alvira Pasca Wati, Wida Purwaningsih, Hari Kusnanto Josef, Purwono Purwono, Rumbiwati Rumbiwati, Hermanto Hermanto, Roger Frutos

Kesmas

Zika virus can be transmitted through mosquitoes such as Aedes aegypti and Ae. albopictus. During the transition period of 2014–2015, an outbreak of dengue was reported in Jambi City, during which several sufferers were screened positive for Zika virus infection by the Eijkman Institute. It was interesting to note that all of those positive for Zika virus infection were indigenous residents and none of them had a history of international travel. This descriptive analytic study with a cross-sectional design study was conducted to present an overview of Aedes spp. population using ovitrap and egg colonization methods and to detect the …

Factors Related To Adolescent Behavior Towards Hiv/Aids Prevention, Yuliasti Eka Purnamaningrum, Ratyas Ekartika Puspita Candra Nugrahawati, Munica Rita Hernayanti, Anne Vajee

Kesmas

In 2016 Special Region of Yogyakarta was ranked 9th as the province with the highest number of people suffered from HIV/AIDS especially at Sleman regency. Globally, AIDS was the second leading cause of adolescents’s death aged of 10-19 years. The purpose of this study was to find out factors affecting the behaviour of the adolescents towards HIV/AIDS prevention. This research using with cross sectional study design. The sampling technique which used was stratified random sampling resulted in 59 respondents from 11th grade students at SMA Negeri 2 Sleman were selected as sample. Data were collected using questionnaire and analyzed using …

Risk Assesment Of Air Pollution Exposure (No2, So2, Total Suspended Particulate, And Particulate Matter 10 Micron) And Smoking Habits On The Lung Function Of Bus Drivers In Palembang City, Elvi Sunarsih, Suheryanto Suheryanto, Rini Mutahar, Rahmi Garmini

Kesmas

Nitrogen dioxide (NO2), carbon monoxide (CO), sulfur dioxide (SO2), Particulate Matter (PM10) and TSP are the most common and harmful air pollutants to humans. In short period, air pollution exposure at 5 ppm for 10 minutes to humans causes dyspnea, and when the level is increase to 800 ppm could cause 100% mortality in animals. This study was an analytical research, with cross sectional design and risk analysis. One hundred subjects were analyzed in this study. The results showed that non-cancer Hazard Index (HI) for realtime exposure with mean value was NO2: 1.85; SO2: 2.92; TSP: 7.09; and PM10: 11.7 …

Post Hypertension And Stroke: A Case Control Study, Aulia Imanda, Santi Martini, Kurnia Dwi Artanti

Kesmas

The purpose of this study was to determine the factors that influence the incidence of stroke including smoking status, past hypertension , past diabetes, diet, physical activity, alcohol consumption. The design of this study is case control with a ratio of 1: 1. The total number of respondents is 132 people. Research subjects were selected using systematic random sampling. This research was conducted at Ngudi Waluyo Hospital in Wlingi. Blitar, Indonesia in October till November 2017. Bivariate analysis showed that factors significantly related to stroke were smoking status (p=0.011, OR=2.6), history of past hypertension (p=0.00, OR= 6), past diabetes (p=0.015 …

Adiposity Mediates The Association Between The Dietary Inflammatory Index And Markers Of Type 2 Diabetes Risk In Middle-Aged Black South African Women, Asanda Mtintsilana, Lisa K. Micklesfield, Elin Chorell, Tommy Olsson, Nitin Shivappa, James R. Hebert, Andre P. Kengne, Julia H. Goedecke

Faculty Publications

The dietary inflammatory index (DII^®), a validated tool used to measure the inflammatory potential of the diet, has been associated with metabolic disorders in various settings, but not in African populations. The aim of this study was to investigate whether the DII is associated with markers of type 2 diabetes (T2D) risk, and if this association is mediated by adiposity and/or low-grade inflammation, in black South Africa women. Energy-adjusted-DII (E-DII) scores were calculated in 190 women (median age, 53 years) from the Birth-to-Twenty plus cohort using a validated food frequency questionnaire. Fasting glucose, insulin, HbA1c, and inflammatory cytokines …

The Price Is Right: Analyzing Bidding Behavior On Contestants’ Row, Paul Kvam

Department of Math & Statistics Faculty Publications

The TV game show “The Price is Right” features a bidding auction called Contestant’s Row that rewards the player (out of four) who bids closest to an item’s value without overbidding. By exploring 903 game outcomes from the 2000–2001 season, we show how player strategies are significantly inefficient, and compare the empirical results to probability outcomes for optimal bid strategies found in a recent study. Findings show that the last bidder would do better using the naïve strategy of bidding a dollar more than the highest of the three bids. We apply the EM algorithm in a novel way to …

A Statistical Analysis Of The Roulette Martingale System: Examples, Formulas And Simulations With R, Peter Pflaumer

International Conference on Gambling & Risk Taking

Some gamblers use a martingale or doubling strategy as a way of improving their chances of winning. This paper derives important formulas for the martingale strategy, such as the distribution, the expected value, the standard deviation of the profit, the risk of a loss or the expected bet of one or multiple martingale rounds. A computer simulation study with R of the doubling strategy is presented. The results of doubling to gambling with a constant sized bet on simple chances (red or black numbers, even or odd numbers, and low (1 – 18) or high (19 – 36) numbers) and …

Responding To Some Challenges Posed By The Re-Identification Of Anonymized Personal Data, Herman T. Tavani, Frances S. Grodzinsky

Computer Ethics - Philosophical Enquiry (CEPE) Proceedings

In this paper, we examine a cluster of ethical controversies generated by the re-identification of anonymized personal data in the context of big data analytics, with particular attention to the implications for personal privacy. Our paper is organized into two main parts. Part One examines some ethical problems involving re-identification of personally identifiable information (PII) in large data sets. Part Two begins with a brief description of Moor and Weckert’s Dynamic Ethics (DE) and Nissenbaum’s Contextual Integrity (CI) Frameworks. We then investigate whether these frameworks, used together, can provide us with a more robust scheme for analyzing privacy concerns that …

Kelly Fraction Estimation For Multiple Correlated Bets, William Chin

International Conference on Gambling & Risk Taking

It is well-known that expected portfolio growth is maximized by maximizing

expected logarithmic utility. This investment criterion is known as Kelly betting.

It has many optimality properties but is considered to be risky. Blackjack

teams and other advantage gamblers practice a fraction of the Kelly optimal to

decrease risk. Some hedge fund managers are thought to practice according to

Kelly principles. We use a continuous multivariate Geometric Brownian motion

model and present an interval estimate for the historical fraction for a portfolio

of correlated bets, possibly including a risk-free asset. Historical data comes

from a range of sources and the …