Statistical Models Commons^™

Measuring Market Risk Through Entropic Var, Dragomir Nedeltchev, Tsvetelin Zaevski

Mathematical Modelling and Numerical Simulation with Applications

The article aims to measure the market risk beyond the basic risk measures like the Value-at-Risk (VaR) and the Expected Shortfall (ES). The Entropic Value-at-Risk is selected among the available measures based on its advantages -- it is the coherent upper bound of the VaR and ES. This risk measure is applied to the classical Black-Scholes model as well as to some more realistic ones, such as the exponential tempered stable model (the log-returns are presented by a tempered stable L\'evy process), the stochastic volatility model of Heston, its jump extension of Bates, and another stochastic volatility model but with …

On Fibonacci Ensembles: An Alternative Approach To Ensemble Learning Inspired By The Timeless Architecture Of The Golden Ratio, Ernest Fokoue

Articles

Nature rarely reveals her secrets bluntly, yet in the Fibonacci sequence she grants us a glimpse of her quiet architecture of growth, harmony, and recursive stability \citep{Koshy2001Fibonacci, Livio2002GoldenRatio}. From spiral galaxies to the unfolding of leaves, this humble sequence reflects a universal grammar of balance. In this work, we introduce \emph{Fibonacci Ensembles}, a mathematically principled yet philosophically inspired framework for ensemble learning that complements and extends classical aggregation schemes such as bagging, boosting, and random forests \citep{Breiman1996Bagging, Breiman2001RandomForests, Friedman2001GBM, Zhou2012Ensemble, HastieTibshiraniFriedman2009ESL}. Two intertwined formulations unfold: (1) the use of normalized Fibonacci weights -- tempered through orthogonalization and Rao--Blackwell optimization -- …

Learning Ordinal Geometry: Semantic–Aware Kernels For Ordered Categorical Data, Ernest Fokoue

Articles

Ordinal data arise ubiquitously in survey research, psychology, medicine, economics, and recommender systems, yet kernel methods for such data typically rely on either nominal encodings or arbitrary numeric codings. The former discards order information; the lat- ter imposes a fictitious metric structure. This paper develops a principled framework for kernel design on ordinal scales and introduces a new class of Semantic–Aware Ordinal Ker- nels (SAOK) that simultaneously capture ordinal order and semantic proximity between categories. We begin by formalizing order–preserving embeddings of finite chains and characterizing a broad family of chain distances that are conditionally negative definite. Through Schoen- berg …

Availability Model To Evaluate Ai Data Centers’ Role In Grid Stability, Troy Mcsimov, Trevor S. Kunz, Jeffrey Billo

SMU Data Science Review

The United States has made it clear; it is imperative that the US wins the global AI race. This paper focuses on one of the most challenging puzzle pieces surfaced at the POWER Data Center conference (San Antonio, Sept. 30.); for Electric Reliability Council of Texas (ERCOT) the limiting factor is not generation alone but the need to balance generation and load to preserve grid reliability.

The regulatory landscape fundamentally changed with the passage of Texas Senate Bill 6 in June 2025, which mandates new large loads must "contribute to the recovery of the interconnecting electric utility’s costs" (Texas Legislature, …

A Note On Sufficient Dimension Folding For Regression Mean Function With Categorical Predictors, Bilin Zeng, Akim Adekpedjou, Xuerong Meggie Wen

Mathematics and Statistics Faculty Research & Creative Works

Multi-dimensional arrays are referred to as tensors. Tensor-valued predictors are commonly encountered in modern biomedical applications, such as electroencephalogram (EEG), magnetic resonance imaging (MRI), functional MRI (fMRI), diffusion-weighted MRI, and longitudinal health data. In survival analysis, it is both important and challenging to integrate clinically relevant information, such as gender, age, and disease state along with medical imaging tensor data or longitudinal health data to predict disease outcomes. Most existing higher-order sufficient dimension reduction regressions for matrix- or array-valued data focus solely on tensor data, often neglecting established clinical covariates that are readily available and known to have predictive value. …

Derivation Of An Updated Brief Multivariable Prediction Model To Detect Panic-Related Anxiety In Emergency Department Patients With Cardiopulmonary Complaints, Sharon C. Sung, Felicia J. L. Ang, Arul Earnest, Leslie E. C. Lim, Shreshtha Jolly, Gilaine Rui Ng, A. John Rush, Marcus E. H. Ong

Research Collection School of Social Sciences

Background Patients with panic related-anxiety (i.e., panic attacks or panic disorder) frequently present to emergency departments (EDs) with cardiopulmonary complaints but are often undiagnosed, which can lead to recurrent visits and prolonged distress. This study aimed to derive a new symptom-based multivariable diagnostic prediction model to detect panic-related anxiety in ED patients with cardiopulmonary symptoms.Methods We conducted a single-blind prospective derivation study over 15 months in the ED of a major tertiary hospital in Singapore. Patients presenting with symptoms of palpitations, chest pain, dizziness, or difficulty breathing were assessed using the Structured Clinical Interview for DSM Disorders (SCID) to diagnose …

Statistical Analysis Of Log Transformation Effectiveness In Air Traffic Movement Forecasting During Covid-19 In South Africa, John Lehlaka Masekoameng

Journal of Aviation Technology and Engineering

This study evaluates the effectiveness of log transformation in enhancing multiple regression models used to forecast air traffic movements (ATMs) in South Africa during the COVID-19 pandemic. Using 60 monthly observations from October 2016 to September 2021, the analysis incorporates variables such as revenue, lockdown levels, COVID-19 metrics, exchange rates, gross domestic product, and population. Two models are compared: one using raw ATMs and another with log-transformed ATMs as the dependent variable.

While the untransformed model shows stronger explanatory power (R² = 0.904, adjusted R² = 0.891) compared to the log-transformed model (R² = 0.772, adjusted R² = 0.741), the …

Evaluating Lunch Plan Data In The St. Charles School District (Scsd), Maddy Alexander, Guillermo Bilbao Olarreaga, Duncan Krige, Alyssa Schreiber, Nick Wintz, Wojciech Golik

The Confluence

The SCSD is a public school district in St. Charles, with, on average, 4500 students a year. The SCSD is subdivided into an early childhood center, six elementary schools, two intermediate (5-6,7-8) schools, and two high schools. Vocational schools are also within this district but were not included in this report. The SCSD is concerned with the impact of the Covid-19 pandemic on their district’s population and on the number of students that needed assistance with lunch. They have asked Lindenwood’s 2024-25 PIC Math group to analyze their data from the years 2020-25 and identify any trends. Identifying these trends …

Comparative Machine Learning Models For Disease Risk Prediction, Mercy Mawusi Agbley

Theses, Dissertations and Capstones

Accurate prediction of disease outcomes is crucial for improving clinical decision-making and enabling early intervention. This study compares the performance of various statistical and machine learning models for clinical risk prediction using two healthcare datasets: diabetic retinopathy and heart disease. The models assessed include Logistic Regression, LASSO, k-Nearest Neighbors (KNN), Support Vector Machines (SVM), Neural Networks, Random Forests, Gradient Boosting Machines (GBM), and a stacked ensemble model. Prior to modeling, datasets were split into train and test sets. Standardization was applied to numeric features whilst categorical features were one-hot encoded. These transformations were later applied to the test set. Principal …

Predicting Criminal Behavior In Major Us Cities, Madison A. Price

SPARK Symposium Presentations

In recent years, especially post pandemic, there has been a decrease in crime in the United States. Unfortunately, the country’s violent crime rates are still significantly higher compared to similar high-income countries, so what predicts crime in major American cities? There is tons of research to support the idea that demographics can offer some insight into predicting crime. There are countless online resources that seek to identify major crime centrals in the United States (Petrino, 2025). In the late 1990s, researchers noticed that crime rates in cities had a downward slope due to an important contributor: demographic change (Fox & …

Investigating The Role Of Humic Acid In The Adsorption Mechanics Of Acetaminophen On Potassium Persulfate-Aged Polyethylene Terephthalate (Pet), Andrew Littleton, Maria Danielle Garrett, Phd

SPARK Symposium Presentations

Pharmaceutical contaminants such as acetaminophen (APAP) are showing a rising presence in aquatic environments, where their interactions with microplastics (MPs) can potentially modulate natural degradation mechanisms. Concurrent presence of the two substances has been shown to potentiate increase their individual harmful effects. This study investigates whether oxidative aging and humic-acid surface modification of PET microplastics influence APAP adsorption.

In this study, UV-aging was reproduced using an iron (II)-activated potassium persulfate (Fe(II)-KPS) oxidation system. Aqueous dissolved organic matter (DOM) is simulated using multi-hour exposure to humic acid. The MPs are then removed from the solution to examine adsorption mechanisms. While most …

Using Camera-Based Unmarked Spatial Capture-Recapture Modeling To Estimate Reintroduced Elk (Cervus Canadensis) Population Parameters And Distribution In Southeastern Kentucky, Claire Marie Muia

Theses and Dissertations--Forestry and Natural Resources

Estimation of population parameters is important for wildlife management decisions. Elk reintroduced to southeastern Kentucky experienced early irruptive population growth and are currently monitored using a statewide harvest-based statistical population reconstruction model (SPR) across the Kentucky Elk Restoration Zone (KERZ). Because the SPR model is spatially coarse and difficult to scale to the smaller management units comprising the KERZ, we conducted a spatially explicit capture-recapture study using a clustered camera-trapping array deployed for 10 weeks from June–August 2024 to estimate elk population parameters within Management Unit 4. Due to a lack of resights of GPS-marked elk, population parameters were estimated …

High Algal Biomass Is Decoupled From Metabolism In The Gallatin River, Cora Mae Steinbach

Graduate Student Theses, Dissertations, & Professional Papers

Assessing eutrophication in rivers is difficult compared to lakes and coastal waters, because most algal biomass occurs on the riverbed and flows interact and co-vary with production (Biggs and Close, 1989; Bernhardt et al., 2018). Riverine eutrophication is typically assessed using algal biomass and water column nutrients (U.S. Environmental Protection Agency, 2000), but biomass is highly variable and labor-intensive to measure, while nutrient concentrations often underestimate enrichment due to rapid biological uptake (Dodds and Smith, 2016). Reach-scale river metabolism can help evaluate long-term functional change in rivers recovering from nutrient enrichment (Arroita et al., 2019; Jankowski et al., 2021; Diamond …

Beyond The Lace Index: Benchmarking Machine Learning Architectures And Explaining 30-Day Hospital Readmission Risk With Shap Analysis, Carl E. Hughes Iii

Williams Honors College, Honors Research Projects

Unplanned 30-day hospital readmission remains a fundamental challenge in US healthcare, associated with increased risk to patient recovery and representing an estimated $52.4 billion in annual expenses (Beauvais et al., 2022). While the rigorously validated LACE index serves as the clinical standard for readmission modeling, its linear structure and four explanatory variables lack the complexity to capture the high-dimensional and interactive nature of patient risk. This study utilizes an admission granularity level cohort of the MIMIC-IV database to develop and compare machine learning architectures against the baseline LACE index. Due to the imbalanced prevalence of readmission, the penalized logistic regression, …

Modeling Housing Prices: Which Features Matter Most?, Alex Ruvolo

Williams Honors College, Honors Research Projects

This paper attempts to find the biggest factors and traits that influence the cost of housing. This will include the lot size, type of street, utilities, neighborhood, year built, heating, electrical, yard size, number of different rooms, age, condition, and others. I will attempt to answer the question of whether the prices of houses have changed within the last 5 to 10 years, and obviously this is an easy question to answer. However, the bigger question beyond this is are the main factors affecting housing prices all important in explaining this relationship? Is one factor more important than the rest …

Computational And Ai Frameworks For Identifying Key Regulatory Genes And Their Target Genes In Plants And Humans, Md Khairul Islam

Dissertations, Master's Theses and Master's Reports

This dissertation presents computational and AI-driven frameworks for identifying key regulatory genes and their downstream targets across plant and human biological systems. Three studies address distinct challenges in genomic regulation using advanced machine learning and bioinformatics approaches.

The first study introduces DyGAF (Dynamic Gene Attention Focus), a dual-attention transformer framework that identifies and ranks disease-relevant biomarker genes by simultaneously modeling independent molecular responses and interdependent regulatory network behavior. Two attention models provide complementary perspectives on gene importance and are fused through a novel combination metric. Applied to COVID-19 nasopharyngeal swab profiles, the attention-weighted representations achieved 94.23% classification accuracy, high sensitivity, …

Hybrid Patchtst And Physics-Based Framework For Predicting Lithium-Ion Battery State Of Health, Pavan Ravuri

Honors Undergraduate Theses

Accurately forecasting the state of health of lithium-ion batteries is critical for improving performance, reliability and lifetime in energy storage applications. Battery capacity degrades into a nonlinear pattern over cycling due to electrochemical processes where neither purely data driven nor physics-based models can capture alone. This study looks at a hybrid framework combining that PatchTST patch-based transformer architecture with physics-based features derived from the solid electrolyte interphase and pseudo two-dimensional models. Physics inspired proxy features were computed from cycling data and concatenated with electrochemical measurements as added input channels before patch segmentation. There are five model configurations that were evaluated …

From Lap To Map: How Musical Scale, Place, And Play Drive The Interconnected Mario Kart World, Cameron Cummins

Honors Undergraduate Theses

With their deserts, castles, and ghost houses, the environments of Super Mario games are colorful, whimsical, and charming, but why are they so compelling, and what happens when our analysis of these environments extends beyond individual levels to expansive game worlds? Drawing on Cresswell’s theory of place (2014) and recent work on musical place-building in Mario Kart 8 (Heazlewood-Dale, 2024), I propose a spectrum between localized and globalized scale in games. As game environments become increasingly globalized, the music may be similarly altered to account for this shift in scale. Consequently, players may then encounter a broader, less musically congruent …

Bayesian Analysis Of Nominal Outcomes With Missing Values Using Multinomial And Multivariate Multinomial Probit Models, Suwash Silwal

Dissertations, Master's Theses and Master's Reports

Nominal outcomes frequently arise in health sciences, transportation, economics, market research, and related fields. These data often contain missing values, while longitudinal and panel studies generate multiple correlated nominal responses. Bayesian estimation of multinomial probit (MNP) and multivariate multinomial probit (MMNP) models provides a flexible framework for analyzing such data but remains computationally challenging due to high-dimensional likelihood integration, restrictive covariance identification constraints, and poor mixing of Markov chain Monte Carlo (MCMC) algorithms, particularly in the presence of missing data. This dissertation develops parameter-expanded data augmentation (PX-DA) methods for MNP and MMNP models with missing nominal outcomes by incorporating parameter …

Volatility Modeling With An Application To Risk Parity Portfolios, Kenneth Hou

CMC Senior Theses

This thesis studies volatility modeling in the context of risk parity portfolio construction. I compare three risk parity portfolios that differ only in their underlying volatility model: a historical covariance baseline, a Bayesian stochastic volatility model, and a GRU–GARCH hybrid neural network. Using daily returns on Kenneth French’s five industry portfolios from January 2016 through December 2025, I construct monthly rebalanced portfolios under each model, with the SV and GRU forecasts embedded in hybrid covariance matrices that combine forecasted volatilities with rolling historical correlations. The results document a divergence between forecast accuracy and portfolio performance: the SV model is the …