Thesis. 1975. Ph.D.--Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science. / Vita. / Bibliography: leaves 147-157. / Ph.D.

by Jian Wei Chen. / "May 1999." / Thesis (Ph.D.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (p. 178-180). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web.

Thesis. 1975. Sc.D. cn--Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING. / Vita. / Bibliography: leaves 368-372. / Sc.D.cn

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 1980. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND AERO. / Vita. / Includes bibliographical references. / by Andrew Joseph Green. / Ph.D.

Complex nonlinear dynamic models with an intractable likelihood or moments are increasingly common in economics. A popular approach to estimating these models is to match informative sample moments with simulated moments from a fully parameterized model using SMM or Indirect Inference. This dissertation consists of three chapters exploring different aspects of such simulation-based estimation methods. The following chapters are presented in the order in which they were written during my thesis. Chapter 1, written with Serena Ng, provides an overview of existing frequentist and Bayesian simulation-based estimators. These estimators are seemingly computationally similar in the sense that they all make use of simulations from the model in order to do the estimation. To better understand the relationship between these estimators, this chapters introduces a Reverse Sampler which expresses the Bayesian posterior moments as a weighted average of frequentist estimates. As such, it highlights a deeper connection between the two class of estimators beyond the simulation aspect. This Reverse Sampler also allows us to compare the higher-order bias properties of these estimators. We find that while all estimators have an automatic bias correction property (Gourieroux et al., 1993) the Bayesian estimator introduces two additional biases. The first is due to computing a posterior mean rather than the mode. The second is due to the prior, which penalizes the estimates in a particular direction. Chapter 2, also written with Serena Ng, proves that the Reverse Sampler described above targets the desired Approximate Bayesian Computation (ABC) posterior distribution. The idea relies on a change of variable argument: the frequentist optimization step implies a non-linear transformation. As a result, the unweighted draws follow a distribution that depends on the likelihood that comes from the simulations, and a Jacobian term that arises from the non-linear transformation. Hence, solving the frequentist estimation problem multiple times, with different numerical seeds, leads to an optimization-based importance sampler where the weights depend on the prior and the volume of the Jacobian of the non-linear transformation. In models where optimization is relatively fast, this Reverse Sampler is shown to compare favourably to existing ABC-MCMC or ABC-SMC sampling methods. Chapter 3, relaxes the parametric assumptions on the distribution of the shocks in simulation-based estimation. It extends the existing SMM literature, where even though the choice of moments is flexible and potentially nonparametric, the model itself is assumed to be fully parametric. The large sample theory in this chapter allows for both time-series and short-panels which are the two most common data types found in empirical applications. Using a flexible sieve density reduces the sensitivity of estimates and counterfactuals to an ad hoc choice of distribution such as the Gaussian density. Compared to existing work on sieve estimation, the Sieve-SMM estimator involves dynamically generated data which implies non-standard bias and dependence properties. First, the dynamics imply an accumulation of the bias resulting in a larger nonparametric approximation error than in static models. To ensure that it does not accumulate too much, a set decay conditions on the data generating process are given and the resulting bias is derived. Second, by construction, the dependence properties of the simulated data vary with the parameter values so that standard empirical process results, which rely on a coupling argument, do not apply in this setting. This non-standard dependent empirical process is handled through an inequality built by adapting results from the existing literature. The results hold for bounded empirical processes under a geometric ergodicity condition. This is illustrated in the paper with Monte-Carlo simulations and two empirical applications.

有各式各樣的參數與非參數期貨定價模型被廣泛應用於金融領域。其中一些模型的組合能顯著提升期貨定價的準確性。更具體的說，可以先通過參數模型擬合數據，再使用非參數模型學習並修正誤差估價誤差。本論文作為范和Mancini(2009) 結果的延伸，將市場交易的歐式期權價格作為輸入數據，運用「有參數模型指導的非參數定價方法」對障礙期權進行估價。「自動誤差修正估價法」運用非參數方法對由參數估價法產生的誤差進行修正，使得障礙期權的非參數定價模型可以被視為一系列的歐式期權定價的組合。在整個障礙期權的估價過程中，本論文同時提供了一種分數階快速傅裡葉變換的應用，可通過由非參數方法獲得的標的資產對數的存活函數計算標的資產對數最大值分佈的特徵函數。 / There are a variety of parametric and nonparametric option pricing models commonly used in Finance. A combination of them can enhance the pricing performance significantly. Specifically, one proposes to fit the data with a parametric method and then correct the pricing errors empirically with a nonparametric learning approach. This thesis extends Fan and Mancini's (2009) model-guided nonparametric method to barrier option pricing using market traded European option data. Adopting automatic correction of errors (ACE) method to estimate the risk neutral conditional survivor function, by which the pricing error of the initial parametric estimates is captured nonparametrically, enables the nonparametric pricing procedure to value a barrier option as a sum of sequence of European options. As a byproduct from the valuation process, this thesis also provides a modified fractional fast Fourier transform technique compute the characteristic function of the running maximum log-price of the underlying asset nonparametrically through the calibrated survivor functions. / Detailed summary in vernacular field only. / Chi, Chengzhan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 38-39). / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Nonparametric Local Regression Modelling --- p.4 / Chapter 2.1 --- Function Estimation by Local Constant --- p.4 / Chapter 2.2 --- Function Estimation by Local Linear Regression --- p.5 / Chapter 3 --- Nonparametric ACE European Option Pricing --- p.7 / Chapter 3.1 --- European Option Prices and Risk Neutral Survivor Functions --- p.7 / Chapter 3.2 --- Estimation of Risk Neutral Survivor Functions --- p.10 / Chapter 3.2.1 --- Risk Neutral Survivor Functions and Traded Options --- p.10 / Chapter 3.2.2 --- Survivor Function Estimation with Nonparametric ACE Method --- p.11 / Chapter 3.3 --- Representation of European Option Prices at Log-asset Level and Numerical Example --- p.15 / Chapter 4 --- Nonparametric ACE Barrier Option Pricing Framework --- p.20 / Chapter 4.1 --- Continuous-time Barrier Option --- p.20 / Chapter 4.2 --- Discrete Approximation and Backward Induction --- p.21 / Chapter 4.3 --- Decomposed Problems --- p.25 / Chapter 5 --- Nonparametric Estimation of Cumulative Distribution Function of M{U+2C7C}(R{U+209C}) --- p.28 / Chapter 5.1 --- Survivor Functions and Maxima Probabilities --- p.28 / Chapter 5.2 --- Characteristic Functions of Maxima --- p.30 / Chapter 5.2.1 --- Algorithm --- p.30 / Chapter 5.2.2 --- Preparation --- p.31 / Chapter 5.2.3 --- Fast Fourier Transform (FFT) --- p.31 / Chapter 5.2.4 --- Fractional Fast Fourier Transform (FRFT) --- p.33 / Chapter 5.2.5 --- Derivation of ΦR{U+209C} --- p.34 / Chapter 5.3 --- Numerical Experiments --- p.35 / Chapter 6 --- Conclusion --- p.37 / Bibliography --- p.38

by Xin-xin Niu. / Thesis (Ph.D.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web.

by Gilbert Chiu-sing Lui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 112-117). / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Models and Assumptions --- p.4 / Chapter 3. --- Asymptotics of FM-SEA Estimators --- p.15 / Chapter 3.1. --- Model without Determinstic Trends --- p.15 / Chapter 3.2. --- Model with Determinstic Trends --- p.27 / Chapter 4. --- Asymptotics of FM-SEA Estimators of VAR System --- p.33 / Chapter 4.1. --- General Model --- p.33 / Chapter 4.2. --- Model with d = 4 --- p.44 / Chapter 5. --- Monte Carlo Experimental Results --- p.49 / Chapter 6. --- Conclusion --- p.54 / Chapter 7. --- Mathematical Appendix --- p.56 / Chapter 8. --- References --- p.112

This thesis develops a composite likelihood-based approach for multiple change-points estimation in general multivariate time series models. Specifically, we derive a criterion function based on pairwise likelihood and minimum description length principle for estimating the number and locations of change-points and performing model selection in each segment. By the virtue of pairwise likelihood, the number and location of change-points can be consistently estimated under mild conditions. The computation can be conducted efficiently with a pruned dynamic programming algorithm. Simulation studies and real data examples are presented to demonstrate the statistical and computational efficiency of the proposed method. / 本論文目的為開發一套以複合似然為基礎的多變點估計方法，該方法可應用於一般多變量時間序列模型。具體而言，我們在最小描述長度原理及成對似然的基礎上推導出一個準則函數，用於估計變化點的數量及位置，並在各段進行模型選擇。憑藉成對似然，在適當條件下變點的數量和位置可以一致地估計。透過使用修剪動態規劃算法，相關的運算能有效地進行。模擬研究及真實數據實例都演示出該方法在統計及運算效率。 / Ma, Ting Fung. / Thesis M.Phil. Chinese University of Hong Kong 2014. / Includes bibliographical references (leaves 51-54). / Abstracts also in Chinese. / Title from PDF title page (viewed on 05, October, 2016). / Detailed summary in vernacular field only.

Jos頍anuel Fonseca de Moura. / Prepared under Contract no. DAAB07-75-C-1346, Joint Services Electronics Program. Originally presented as the author's thesis, (Sc.D.), M.I.T. Dept. of Electrical Engineering and Computer Science, 1975. / Bibliography: p.197-199.