In many complex water supply systems, the next generation of water resources planning models will require simultaneous probabilistic streamflow inputs at multiple locations on an interconnected network. To make use of the valuable multicentury records provided by tree-ring data, reconstruction models must be able to produce appropriate multisite inputs. Existing streamflow reconstruction models typically focus on one site at a time, not addressing intersite dependencies and potentially misrepresenting uncertainty. To this end, we develop a model for multisite streamflow reconstruction with the ability to capture intersite correlations. The proposed model is a hierarchical Bayesian nonhomogeneous hidden Markov model (NHMM). A NHMM is fit to contemporary streamflow at each location using lognormal component distributions. Leading principal components of tree rings are used as covariates to model nonstationary transition probabilities and the parameters of the lognormal component distributions. Spatial dependence between sites is captured with a Gaussian elliptical copula. Parameters of the model are estimated in a fully Bayesian framework, in that marginal posterior distributions of all the parameters are obtained. The model is applied to reconstruct flows at 20 sites in the Upper Colorado River Basin (UCRB) from 1473 to 1906. Many previous reconstructions are available for this basin, making it ideal for testing this new method. The results show some improvements over regression-based methods in terms of validation statistics. Key advantages of the Bayesian NHMM over traditional approaches are a dynamic representation of uncertainty and the ability to make long multisite simulations that capture at-site statistics and spatial correlations between sites.

Thesis advisor: Laura M. O'Dwyer / Education researchers are frequently interested in examining the causal impact of academic services and interventions; however, it is often not feasible to randomly assign study elements to treatment conditions in the field of education (Adelson, 2013). When assignment to treatment conditions is non-random, the omission of any variables relevant to treatment selection creates a correlation between the treatment variable and the error in regression models. This is termed endogeneity (Ebbes, 2004). In the presence of endogeneity, treatment effect estimates from traditionally used regression approaches may be biased. The purpose of this study was to investigate the causal impact of an integrated student support model, namely City Connects, on student academic achievement. Given that students are not randomly assigned to the City Connects intervention, endogeneity bias may be present. To address this issue, two novel and underused statistical approaches were used with school admissions lottery data, namely Gaussian copula regression developed by Park and Gupta (2012), and Latent Instrumental Variable (LIV) regression developed by Peter Ebbes (2004). The use of real-world school admissions lottery data allowed the first-ever comparison of the two proposed methods with Instrumental Variable (IV) regression under a large-scale randomized control (RCT) trial. Additionally, the researcher used simulation data to investigate both the performance and boundaries of the two proposed methods compared with that of OLS and IV regression. Simulation study findings suggest that both Gaussian copula and LIV regression are useful approaches for addressing endogeneity bias across a range of research conditions. Furthermore, simulation findings suggest that the two proposed methods have important differences in their set of identifying assumptions, and that some assumptions are more crucial than others. Results from the application of the Gaussian copula and LIV regression in the City Connects school lottery admissions study demonstrated that receiving the City Connects model of integrated student support during elementary school has a positive impact on mathematics achievement. Such findings underscore the importance of addressing out-of-school barriers to learning. / Thesis (PhD) — Boston College, 2019. / Submitted to: Boston College. Lynch School of Education. / Discipline: Educational Research, Measurement and Evaluation.

本研究以2006年至2015年4月30日台灣股票市場所有上市櫃股票為樣本，首先利用每季公布之財務報表，以市值、股票月週轉率、每股盈餘、股東權益報酬率、本益比等六項指標作為第一階段篩選股票之準則。接著進行第二階段之股票篩選，先透過ASKSR篩選出現最好之兩倍投資組合數的股票後，再透過計算其技術指標總分篩選出符合投資組合數的股票。選好股票後再由多元Gaussian Copula-GARCH(1,1)-t與元Gaussian Copula-GJR(1,1)-t模型進行估計並以蒙地卡羅法模擬，藉由CRRA效用函數、mean-variance效用函數、Sharpe ratio、CARA效用函數最適化權重來投資。樣本期間內採Rolling window方式不斷調整投資組合直到結束。 　　本論文欲探討結合財務資訊指標、股票評分指標與技術指標去選股，並嘗試比較以多元Gaussian-Copula-GARCH(1,1)-t資產模型與多元Gaussian-Copula-GJR(1,1)-t資產模型進行資產配置之效果，希望達到穩健獲利的效果。

Cerebral autoregulation describes the clinically observed phenomenon that cerebral blood flow remains relatively constant in healthy human subjects despite large systemic changes in blood pressure, dissolved blood gas concentrations, heart rate and other systemic variables. Cerebral autoregulation is known to be impaired post ischaemic stroke, after severe head injury, in patients suffering from autonomic dysfunction and under the action of various drugs. Cerebral auto-regulation is a dynamic, multivariate phenomenon. Sensitive techniques are required to monitor cerebral auto-regulation in a clinical setting. This thesis presents 4 related signal processing studies of cerebral autoregulation. The first study shows how consideration of changes in blood gas concentrations simultaneously with changes in blood pressure can improve the accuracy of an existing frequency domain technique for monitoring cerebral autoregulation from spontaneous fluctuations in blood pressure and a transcranial doppler measure of cerebral blood flow velocity. The second study shows how the continuous wavelet transform can be used to investigate coupling between blood pressure and near infrared spectroscopy measures of cerebral haemodynamics in patients with autonomic failure. This introduces time information into the frequency based assessment, however neglects the contribution of blood gas concentrations. The third study shows how this limitation can be resolved by introducing a new time-varying multivariate system identification algorithm based around the dual tree undecimated wavelet transform. All frequency and time-frequency domain methods of monitoring cerebral autoregulation assume linear coupling between the variables under consideration. The fourth study therefore considers nonlinear techniques of monitoring cerebral autoregulation, and illustrates some of the difficulties inherent in this form of analysis. The general approach taken in this thesis is to formulate a simple system model; usually in the form of an ODE or a stochastic process. The form of the model is adapted to encapsulate a hypothesis about features of cerebral autoregulation, particularly those features that may be difficult to recover using existing methods of analysis. The performance of the proposed method of analysis is then evaluated under these conditions. After this testing, the techniques are then applied to data provided by the Laboratory of Human Cerebrovascular Physiology in Alberta, Canada, and the National Hospital for Neurology and Neurosurgery in London, UK.

Le vieillissement fait actuellement l’objet de toutes les attentions, constituant en effet un problème de santé publique majeur. Sa description reste cependant complexe en raison des intrications à la fois individuelles et collectives de sa conceptualisation et d’une dimension subjective forte. Les professionnels de santé sont de plus en plus obligés d’intégrer cette donnée dans leur réflexion et de proposer des protocoles de prise en charge adaptés. Le vieillissement est une évolution inéluctable du corps dont la quantification est établie par l’âge dépendant du temps dit « chronologique ». Ce critère âge est cependant imparfait pour mesurer l’usure réelle du corps soumise à de nombreux facteurs modificateurs dépendant des individus. Aussi, partant de réflexions déjà engagées et consistant à substituer cet âge chronologique par un critère composite appelé « âge biologique », aboutissant à la création d’un indicateur ou score de vieillissement et sensé davantage refléter le vieillissement individuel, une nouvelle méthodologie est proposée adaptée à la pratique de médecine générale. Une première phase de ce travail a consisté à sonder les médecins généralistes sur leur perception et leur utilisation des scores cliniques en pratique courante par l’intermédiaire d’une enquête qualitative et quantitative effectuée en France métropolitaine. Cette étude a montré que l’adéquation entre l’utilisation déclarée et la conception intellectualisée des scores restait dissociée. Les scores constituent un outil d’aide à la prise en charge utile pour cibler une approche systémique souvent complexe dans la mesure où ils sont simples à utiliser (peu d’items et items adaptés à la pratique) et à la validité scientifiquement comprise par le médecin. Par ailleurs, l’âge du patient a été cité comme un élément prépondérant influençant le choix adéquat du score par le médecin généraliste. Cette base de travail a donc servi à proposer une modélisation de l’âge biologique dont la réflexion a porté tant sur le choix du modèle mathématique que des variables constitutives de ce modèle. Une sélection de variables marqueurs du vieillissement a été effectuée à partir d’une revue de la littérature et tenant compte de leur possible intégration dans le processus de soin en médecine générale. Cette sélection a été consolidée par une approche mathématique selon un processus de sélection ascendant à partir d’un modèle régressif. Une population dite « témoin » au vieillissement considéré comme normal a été ensuite constituée servant de base comparative au calcul de l’âge biologique. Son choix a été influencé dans un premier temps par les données de la littérature puis secondairement selon un tri par classification utilisant la méthode des nuées dynamiques. Un modèle de régression linéaire simple a ensuite été construit mais avec de données normalisées selon la méthode des copules gaussiennes suivi d’une étude des queues de distribution marginales. Les résultats ainsi obtenus laissent entrevoir des perspectives intéressantes de réflexion pour approfondir le calcul d’un âge biologique et du score en découlant en médecine générale, sa validation par une étude de morbidité constituant l’étape ultime de ce travail / Ageing is nowadays a major public health problem. Its description remains complex, both individual and collective conceptualization being interlaced with a strong subjective dimension. Health professionals are increasingly required to integrate ageing and prevention into their thought and to create adapted protocol and new tools. Ageing characterizes unavoidable changes in the body. It is usually measured by the age dependent on time and called “chronological age”. However, the criterion « chronological age » reflects imperfectly the actual ageing of the body depending on many individual factors. Also, this criterion has for a long time been replaced by another composite criterion called « biological age » supposed to better reflect the ageing process. In order to build a score of ageing adapted to general practice, a new methodology is proposed suitable for general practitioners. First of all, a first phase of this work consisted in a qualitative and quantitative survey conducted among general practitioners in France. This survey was done to obtain data on the use of predictive scores by general practitioners in their daily practice and their appropriateness, as well as to know the reasons of their non-utilization. Results showed that predictive scores are useful tools in daily practice to target a complex systemic approach insofar as they are simple to use (few items, items suitable for general practice) and their scientific validity is easily understood. In addition, patient’s age has been cited as a major criterion influencing general practitioners use of a predictive score. Results of this first phase have been used to propose a model of biological ageing, with reflexion on mathematical model as well as on component variables of this model. A selection of variables as markers of ageing was carried out from a review of the literature, taking into account their capacity of integration in general practitioners’ daily practice. This selection was completed by a mathematical approach based on an ascending process on a regression model. A control sample, assumed to be "normal ageing" on the basis of current knowledge in general medicine, was then used. This sample was first carried out from a review of the literature and then from a K-means method that classified this sample into several groups. The statistical dependence of measured variables was modeled by a Gaussian copula (taking into account only linear correlations of pairs). A standardized biological age was defined explicitly from these correlation coefficients. The tails of marginal distribution (method of excess) were estimated to enhance the discriminating power of the model. Results suggest interesting possibilities for a biological ageing calculation, and the predictive score they provide, suitable for general practitioners’ daily practice. Its validation by a morbidity and mortality survey will constitute the final phase of this work

This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. The main framework revolves around driving a Monte Carlo simulation with Copluas to predict future revenue scenarios across a portfolio of early-stage technology companies. Three models for a random Gaussian walk, a Linear Dynamic System and an Autoregressive Integrated Moving Average (ARIMA) time series are implemented and evaluated in terms of their portfolio Value-at-Risk influence. The model performance confirms that modeling portfolio risk in Venture Debt is challenging, especially due to lack of sufficient data and thus a heavy reliance on assumptions. However, the empirical results for Value-at-Risk and Expected Shortfall are in line with expectations. The evaluated portfolio is still in an early stage with a majority of assets not yet in their repayment period and consequently the spread of potential losses within one year is very tight. It should further be recognized that the scope in terms of explanatory variables for sales and model complexities has been narrowed and simplified for computational benefits, transparency and communicability. The main conclusion drawn is that alternative approaches to model Venture Debt risk is fully possible, and should improve in reliability and accuracy with more data feeding the model. For future research it is recommended to incorporate macroeconomic variables as well as similar company analysis to better capture macro, funding and sector conditions. Furthermore, it is suggested to extend the set of financial and operational explanatory variables for sales through machine learning or neural networks. / Detta examensarbete är en experimentell studie för kvantitativ modellering av kreditrisk i Venture Debt-portföljer. Givet en brist på tillgänlig konkurs-data från ArK samt från offentligt tillgängliga databaser i kombination med ambitionen att inkludera företag som misslyckas med skuldförpliktelser innan konkurs per se, presenterar vi en metod för riskmodellering baserad på trender i intäkter. Ramverket för modellen kretsar kring Monte Carlo-simulering med Copluas för att estimera framtida intäktsscenarier över en portfölj med tillväxtbolag inom tekniksektorn. Tre modeller för en random walk, ett linjärt dynamiskt system och ARIMA- tidsserier implementeras och utvärderas i termer av deras inflytande på portföljens Value-at- Risk. Modellens prestationer bekräftar att modellering av portföljrisk inom Venture Debt är utmanande, särskilt på grund av bristen på tillräckliga data och därmed ett stort beroende av antaganden. Dock är de empiriska resultaten för Value-at-Risk och Expected Shortfall i linje med förväntningarna. Den utvärderade portföljen är fortfarande i ett tidigt skede där en majoritet av tillgångarna fortfarande befinner sig i en amorteringsfri period och följaktligen är spridningen av potentiella förluster inom ett år mycket snäv. Det bör vidare tillkännages att omfattningen i termer av förklarande variabler för intäkter och modellkomplexitet har förenklats för beräkningsfördelar, transparens och kommunicerbarhet. Den främsta slutsatsen som dras är att alternativa metoder för att modellera risker inom Venture Debt är fullt möjliga och bör förbättras i tillförlitlighet och precision när mer data kan matas in i modellen. För framtida arbete rekommenderas det att inkorporera makroekonomiska variabler samt analys av liknande bolag för att bättre fånga makro-, finansierings- och sektorsförhållanden. Vidare föreslås det att utöka uppsättningen av finansiella och operationella förklarande variabler för intäkter genom maskininlärning eller neurala nätverk.

The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...