Statistics and Probability Commons^™

Application Of The Fractional Diffusion Equation For Predicting Market Behaviour, Jonathan Blackledge

Articles

Most Financial modelling system rely on an underlying hypothesis known as the Eficient Market Hypothesi (EMH) including the famous BlackScholes formula for placing an option. However, the EMH has a fundamental flaw: it is based on the assumption that economic processes are normally distributed and it has long been known that this is not the case. This fundamental assumption leads to a number of shortcomings associated with using the EMH to analyse financial data which includes failure to predict the future volatility of a market share value. This paper introduces a new financial risk assessment model based on Levy statistics …

Estimating Temporal Associations In Electrocorticographic (Ecog) Time Series With First Order Pruning, Haley Hedlin, Dana Boatman, Brian Caffo

Johns Hopkins University, Dept. of Biostatistics Working Papers

Granger causality (GC) is a statistical technique used to estimate temporal associations in multivariate time series. Many applications and extensions of GC have been proposed since its formulation by Granger in 1969. Here we control for potentially mediating or confounding associations between time series in the context of event-related electrocorticographic (ECoG) time series. A pruning approach to remove spurious connections and simultaneously reduce the required number of estimations to fit the effective connectivity graph is proposed. Additionally, we consider the potential of adjusted GC applied to independent components as a method to explore temporal relationships between underlying source signals. Both …

Journal Usage By Subject For Fiscal Year 2010, Michael A. Cerbo Ii

Technical Services Reports and Statistics

Journal holdings for the University Libraries are listed alphabetically by subject than authority title. Usage statistics for the fiscal year are included along with a cost per use where available. The information is taken from each vendor and incorporated in Serials Solutions 360 Counter.

Landmark Prediction Of Survival, Layla Parast, Tianxi Cai

Harvard University Biostatistics Working Paper Series

No abstract provided.

Weakly Positioned Nucleosomes Enhance The Transcriptional Competency Of Chromatin, Yaakov Belch, Jingyi Yang, Yang Liu, Sridhar A. Malkaram, Rong Liu, Jean-Jack M. Riethoven, Istvan Ladunga

Department of Statistics: Faculty Publications

Background: Transcription is affected by nucleosomal resistance against polymerase passage. In turn, nucleosomal resistance is determined by DNA sequence, histone chaperones and remodeling enzymes. The contributions of these factors are widely debated: one recent title claims ‘‘… DNA-encoded nucleosome organization…’’ while another title states that ‘‘histone-DNA interactions are not the major determinant of nucleosome positions.’’ These opposing conclusions were drawn from similar experiments analyzed by idealized methods. We attempt to resolve this controversy to reveal nucleosomal competency for transcription.

Methodology/Principal Findings: To this end, we analyzed 26 in vivo, nonlinked, and in vitro genome-wide nucleosome maps/replicates by new, rigorous …

Diagnosing And Responding To Violations In The Positivity Assumption, Maya L. Petersen, Kristin Porter, Susan Gruber, Yue Wang, Mark J. Van Der Laan

U.C. Berkeley Division of Biostatistics Working Paper Series

The assumption of positivity or experimental treatment assignment requires that observed treatment levels vary within confounder strata. This article discusses the positivity assumption in the context of assessing model and parameter-specific identifiability of causal effects. Positivity violations occur when certain subgroups in a sample rarely or never receive some treatments of interest. The resulting sparsity in the data may increase bias with or without an increase in variance and can threaten valid inference. The parametric bootstrap is presented as a tool to assess the severity of such threats and its utility as a diagnostic is explored using simulated data. Several …

Net Impact Evaluation Of Moving Men And Women To Economic Independence In Michigan, Within Reach Program: Year 1 And Year 2 Cohorts, Randall W. Eberts, Jason M. Preuss

Presentations

The authors completed a net impact evaluation of the “Within Reach” component of the Goodwill Industries of Greater Detroit program (Moving Men and Women to Economic Independence). This program provided employment-related support services to disadvantaged adults as coordinated by WorkFirst. The net impact evaluation estimated the contribution of the program to the employment outcomes of the participants. It constructed comparison groups of individuals who were similar to the program participants, but who did not participate in the program. The net impact analysis focused on three employment-related outcomes: finding a job, retaining a job (workforce attachment), and earnings.

Net Impact Analysis Of Reading Recovery® In Kalamazoo Public Schools: Concept And Preliminary Findings, Randall W. Eberts, Wei-Jang Huang

Presentations

This analysis estimated the net impact of Reading Recovery® as it was conducted in Kalamazoo Public Schools for first graders in the 2003/04 cohort. Results suggest that Reading Recovery® has helped students who demonstrated difficulties with literacy skills at the beginning of the year to perform at levels much closer to their peers by the end of the year. Three comparison groups were used in the analysis: RR students only, all other first graders, and matched first graders. Analysis using all three comparison groups found evidence that students in Reading Recovery® raised their test scores more than students that were …

Application Of Convex Methods To Identification Of Fuzzy Subpopulations, Ryan Lee Eliason

Theses and Dissertations

In large observational studies, data are often highly multivariate with many discrete and continuous variables measured on each observational unit. One often derives subpopulations to facilitate analysis. Traditional approaches suggest modeling such subpopulations with a compilation of interaction effects. However, when many interaction effects define each subpopulation, it becomes easier to model membership in a subpopulation rather than numerous interactions. In many cases, subjects are not complete members of a subpopulation but rather partial members of multiple subpopulations. Grade of Membership scores preserve the integrity of this partial membership. By generalizing an analytic chemistry concept related to chromatography-mass spectrometry, we …

Statistical Image Recovery From Laser Speckle Patterns With Polarization Diversity, Donald B. Dixon

Theses and Dissertations

This research extends the theory and understanding of the laser speckle imaging technique. This non-traditional imaging technique may be employed to improve space situational awareness and image deep space objects from a ground-based sensor system. The use of this technique is motivated by the ability to overcome aperture size limitations and the distortion effects from Earth’s atmosphere. Laser speckle imaging is a lensless, coherent method for forming two-dimensional images from their autocorrelation functions. Phase retrieval from autocorrelation data is an ill-posed problem where multiple solutions exist. This research introduces polarization diversity as a method for obtaining additional information so the …

Longitudinal Penalized Functional Regression, Jeff Goldsmith, Ciprian M. Crainiceanu, Brian Caffo, Daniel Reich

Johns Hopkins University, Dept. of Biostatistics Working Papers

We propose a new regression model and inferential tools for the case when both the outcome and the functional exposures are observed at multiple visits. This data structure is new but increasingly present in applications where functions or images are recorded at multiple times. This raises new inferential challenges that cannot be addressed with current methods and software. Our proposed model generalizes the Generalized Linear Mixed Effects Model (GLMM) by adding functional predictors. Smoothness of the functional coefficients is ensured using roughness penalties estimated by Restricted Maximum Likelihood (REML) in a corresponding mixed effects model. This method is computationally feasible …

On Two-Stage Hypothesis Testing Procedures Via Asymptotically Independent Statistics, James Dai, Charles Kooperberg, Michael L. Leblanc, Ross Prentice

UW Biostatistics Working Paper Series

Kooperberg and LeBlanc (2008) proposed a two-stage testing procedure to screen for significant interactions in genome-wide association (GWA) studies by a soft threshold on marginal associations (MA), though its theoretical properties and generalization have not been elaborated. In this article, we discuss conditions that are required to achieve strong control of the Family-Wise Error Rate (FWER) by such procedures for low or high-dimensional hypothesis testing. We provide proof of asymptotic independence of marginal association statistics and interaction statistics in linear regression, logistic regression, and Cox proportional hazard models in a randomized clinical trial (RCT) with a rare event. In case-control …

Stratifying Subjects For Treatment Selection With Censored Event Time Data From A Comparative Study, Lihui Zhao, Tianxi Cai, Lu Tian, Hajime Uno, Scott D. Solomon, L. J. Wei

Harvard University Biostatistics Working Paper Series

No abstract provided.

Roger Temam On The Occasion Of His 70th Birthday, Claude Michel Brauner, Danielle Hilhorst, Alain Miranville, Shouhong Wang, Xiaoming Wang

Mathematics and Statistics Faculty Research & Creative Works

No abstract provided.

Quantitative Analysis Of Arterial Spin Labeling Fmri Data Using A General Linear Model, Luis Hernandez-Garcia, Hesamoddin Jahanian, Daniel B. Rowe

Mathematics, Statistics and Computer Science Faculty Research and Publications

Arterial spin labeling techniques can yield quantitative measures of perfusion by fitting a kinetic model to difference images (tagged-control). Because of the noisy nature of the difference images investigators typically average a large number of tagged versus control difference measurements over long periods of time. This averaging requires that the perfusion signal be at a steady state and not at the transitions between active and baseline states in order to quantitatively estimate activation induced perfusion. This can be an impediment for functional magnetic resonance imaging task experiments. In this work, we introduce a general linear model (GLM) that specifies Blood …

A Class Of Models For Uncorrelated Random Variables, Nader Ebrahimi, Gholamhossein Hamedani, Ehsan S. Soofi, Hans Volkmer

Mathematics, Statistics and Computer Science Faculty Research and Publications

We consider the class of multivariate distributions that gives the distribution of the sum of uncorrelated random variables by the product of their marginal distributions. This class is defined by a representation of the assumption of sub-independence, formulated previously in terms of the characteristic function and convolution, as a weaker assumption than independence for derivation of the distribution of the sum of random variables. The new representation is in terms of stochastic equivalence and the class of distributions is referred to as the summable uncorrelated marginals (SUM) distributions. The SUM distributions can be used as models for the joint distribution …

A Methodology For Engineering Collaborative And Ad-Hoc Mobile Applications Using Syd Middleware, Praveen Madiraju, Srilaxmi Malladi, Janaka Balasooriya, Arthi Hariharan, Sushil K. Prasad, Anu Bourgeois

Mathematics, Statistics and Computer Science Faculty Research and Publications

Today’s web applications are more collaborative and utilize standard and ubiquitous Internet protocols. We have earlier developed System on Mobile Devices (SyD) middleware to rapidly develop and deploy collaborative applications over heterogeneous and possibly mobile devices hosting web objects. In this paper, we present the software engineering methodology for developing SyD-enabled web applications and illustrate it through a case study on two representative applications: (i) a calendar of meeting application, which is a collaborative application and (ii) a travel application which is an ad-hoc collaborative application. SyD-enabled web objects allow us to create a collaborative application rapidly with limited coding …

Processing Induced Voxel Correlation In Sense Fmri Via The Ammust Framework, Daniel B. Rowe, Iain P. Bruce

Mathematics, Statistics and Computer Science Faculty Research and Publications

No abstract provided.

Macroevolutionary Patterns In The Evolutionary Radiation Of Archosaurs (Tetrapoda: Diapsida), S. L. Brusatte, M. J. Benton, G. T. Lloyd, M. Ruta, Steve C. Wang

Mathematics & Statistics Faculty Works

The rise of archosaurs during the Triassic and Early Jurassic has been treated as a classic example of an evolutionary radiation in the fossil record. This paper reviews published studies and provides new data on archosaur lineage origination, diversity and lineage evolution, morphological disparity, rates of morphological character change, and faunal abundance during the Triassic–Early Jurassic. The fundamental archosaur lineages originated early in the Triassic, in concert with the highest rates of character change. Disparity and diversity peaked later, during the Norian, but the most significant increase in disparity occurred before maximum diversity. Archosaurs were rare components of Early–Middle Triassic …

Veterans Of The 1st Persian Gulf War: A Study Of Medically Unexplained Symptom Models, Alexis H. Collins

Loma Linda University Electronic Theses, Dissertations & Projects

In 1990-1991, shortly after the Persian Gulf War, a number of veterans began complaining about a wide range of symptoms, the most common of which were; fatigue, headache, sleep disturbance, low mood, and memory loss. These symptoms were similar to those experienced by individuals with Medically Unexplained Illnesses such as Chronic Fatigue Syndrome, Fibromyalgia, Irritable Bowel Syndrome, Multiple Chemical Sensitivity, and Somatoform Disorders. Utilizing structural equation modeling and data gathered from the Gulf War Veterans Health Questionnaire, this study attempted to determine whether symptoms experienced by veterans were best explained as individual items, discrete illnesses, or as a conglomeration of …