Global ETD Search

81	Inference for Gamma Frailty Models based on One-shot Device Data Yu, Chenxi January 2024 (has links) A device that is accompanied by an irreversible chemical reaction or physical destruction and could no longer function properly after performing its intended function is referred to as a one-shot device. One-shot device test data differ from typical data obtained by measuring lifetimes in standard life-tests. Due to the very nature of one-shot devices, actual lifetimes of one-shot devices under test cannot be observed, and they are either left- or right-censored. In addition, a one-shot device often has multiple components that could cause the failure of the device. The components are coupled together in the manufacturing process or assembly, resulting in the failure modes possessing latent heterogeneity and dependence. Frailty models enable us to describe the influence of common, but unobservable covariates, on the hazard function as a random effect in a model and also provide an easily understandable interpretation. In this thesis, we develop some inferential results for one-shot device testing data with gamma frailty model. We first develop an efficient expectation-maximization (EM) algorithm for determining the maximum likelihood estimates of model parameters of a gamma frailty model with exponential lifetime distributions for components based on one-shot device test data with multiple failure modes, wherein the data are obtained from a constant-stress accelerated life-test. The maximum likelihood estimate of the mean lifetime of $k$-out-of-$M$ structured one-shot devices under normal operating conditions is also presented. In addition, the asymptotic variance–covariance matrix of the maximum likelihood estimates is derived, which is then used to construct asymptotic confidence intervals for the model parameters. The performance of the proposed inferential methods is finally evaluated through Monte Carlo simulations and then illustrated with a numerical example. A gamma frailty model with Weibull baseline hazards is considered next for fitting one-shot device testing data. The Weibull baseline hazards enable us to analyze time-varying failure rates more accurately, allowing for a deeper understanding of the dynamic nature of system's reliability. We develop an EM algorithm for estimating the model parameters utilizing the complete likelihood function. A detailed simulation study evaluates the performance of the Weibull baseline hazard model with that of the exponential baseline hazard model. The introduction of shape parameters in the component's lifetime distribution within the Weibull baseline hazard model offers enhanced flexibility in model fitting. Finally, Bayesian inference is then developed for the gamma frailty model with exponential baseline hazard for one-shot device testing data. We introduce the Bayesian estimation procedure using Markov chain Monte Carlo (MCMC) technique for estimating the model parameters as well as for developing credible intervals for those parameters. The performance of the proposed method is evaluated in a simulation study. Model comparison between independence model and the frailty model is made using Bayesian model selection criterion. / Thesis / Candidate in Philosophy
82	漲跌停板限制下之股票報酬機率分配葉宜欣, Yeh, Yi-Shian Unknown Date (has links) 股票市場的報酬率相對於金融市埸是非常重要的，因為其背後的真實機率分配對各種資產定價及選擇權的評價模型都有決定性的影響。本文考慮台灣股票市埸具有漲跌停板的限制來驗證實證中股票報酬機率分配的「厚尾」的現象，希望透過我們的研究能對財務理論在國內金融市埸的應用有更進一步的了解。我們選定了常態分配、對數常態分配及一般化第二種貝它分配 (GB2)來當作是台灣股票報酬率的真實機率分配，以動差法比較再以概似比檢定法(LR test)選出一表現最好的機率分配。由選取的25支國內股票中發現一般化第二種貝它分配 (GB2)可以解釋偏態和峰態對報酬率的影響並且也是概似比檢定法所選出的最適報酬率分配，由此可知一般化第二種貝它分配 (GB2)較為適合作為台灣股票報酬的真實機率分配。機率分配股票報酬率厚尾現象一般化第二種貝它分配最大概似法常態分配及對數常態分配概似比檢定法偏態和峰態 probability distribution stock return thick tail Generalized Beta of The Second Kind; GB2 maxmun likelihood estimation likelihood ratio test (LR test) skewness and kurtosis
83	Statistical Inference Chou, Pei-Hsin 26 June 2008 (has links) In this paper, we will investigate the important properties of three major parts of statistical inference: point estimation, interval estimation and hypothesis testing. For point estimation, we consider the two methods of finding estimators: moment estimators and maximum likelihood estimators, and three methods of evaluating estimators: mean squared error, best unbiased estimators and sufficiency and unbiasedness. For interval estimation, we consider the the general confidence interval, confidence interval in one sample, confidence interval in two samples, sample sizes and finite population correction factors. In hypothesis testing, we consider the theory of testing of hypotheses, testing in one sample, testing in two samples, and the three methods of finding tests: uniformly most powerful test, likelihood ratio test and goodness of fit test. Many examples are used to illustrate their applications. finite population correction factor statistical hypothesis type I error composite hypothesis power Central limit theorem Basu theorem critical value goodness of fit test likelihood ratio test Lehmann-Scheffe theorem complete statistic ancillary statistic P-value type II error Rao-Blackwell theorem simple hypothesis one-sided test two-sided test significance level sufficient statistic alternative hypothesis testing hypothesis null hypothesis rejection region confidence interval confidence level minimum variance unbiased estimator interval estimation uniformly most powerful test Cramer-Rao inequality likelihood function mean square error moment estimator error of estimation point estimation maximum likelihood estimator bias consistent estimator minimal sufficient statistic factorization theorem unbiased estimator statistic most powerful test test statistics Neyman-Pearson lemma decision rule
84	市場風險值管理之應用分析以某金融控股公司為例 / The analysis of Market Risk VaR management ：the case of financial holding company 周士偉, Chou, Jacky Unknown Date (has links) 2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。市場風險風險值經濟價值信託基金操作風險風險因子一般風險值壓力風險值條件風險值增額風險值邊際風險值變異數-共變異數法歷史模擬法蒙地卡羅模擬法隱含波動度厚尾順景氣循環標準法內部模型法市場流動性風險外生性市場流動性風險內生性市場流動性風險流動性調整後風險值壓力測試回溯測試 Market Risk Value at Risk Economic Value Active Management VaR Tracking Error Risk Factor Common VaR Stressed VaR Conditional VaR Incremental VaR Marginal VaR Variance-Covariance Approach Historical Simulation Approach Monte Carlo Simulation Approach Fat Tail Time-Varying Volatility pro-cyclical Standardized Approach Internal Models Approach Implied Volatility Generalized Error Distribution Bernoulli trial test Likelihood ratio test Unconditional Coverage Test Conditional Coverage Test Backward Looking Model Forward Looking Model Forecasting VaR Pearson Correlation Cholesky decomposition Kendall Correlation Copula method Future Volatility Disconnection Market Liquidity Risk Exogenous Market Liquidity Risk Endogenous Market Liquidity Risk Liquidity-adjusted VaR Stress Test Backtesting Net Interest Income Re-pricing Model Maturity Model Duration Model
85	GIS-based Episode Reconstruction Using GPS Data for Activity Analysis and Route Choice Modeling / GIS-based Episode Reconstruction Using GPS Data Dalumpines, Ron 26 September 2014 (has links) Most transportation problems arise from individual travel decisions. In response, transportation researchers had been studying individual travel behavior – a growing trend that requires activity data at individual level. Global positioning systems (GPS) and geographical information systems (GIS) have been used to capture and process individual activity data, from determining activity locations to mapping routes to these locations. Potential applications of GPS data seem limitless but our tools and methods to make these data usable lags behind. In response to this need, this dissertation presents a GIS-based toolkit to automatically extract activity episodes from GPS data and derive information related to these episodes from additional data (e.g., road network, land use). The major emphasis of this dissertation is the development of a toolkit for extracting information associated with movements of individuals from GPS data. To be effective, the toolkit has been developed around three design principles: transferability, modularity, and scalability. Two substantive chapters focus on selected components of the toolkit (map-matching, mode detection); another for the entire toolkit. Final substantive chapter demonstrates the toolkit’s potential by comparing route choice models of work and shop trips using inputs generated by the toolkit. There are several tools and methods that capitalize on GPS data, developed within different problem domains. This dissertation contributes to that repository of tools and methods by presenting a suite of tools that can extract all possible information that can be derived from GPS data. Unlike existing tools cited in the transportation literature, the toolkit has been designed to be complete (covers preprocessing up to extracting route attributes), and can work with GPS data alone or in combination with additional data. Moreover, this dissertation contributes to our understanding of route choice decisions for work and shop trips by looking into the combined effects of route attributes and individual characteristics. / Dissertation / Doctor of Philosophy (PhD) GPS time use diary episode extraction multinomial logit travel behavior mode detection episode reconstruction GIS map-matching route choice path size logit potential path area scale estimation Python ArcGIS activity analysis trip reconstruction smartphone global positioning system geographic information system toolkit work trip shop trip potential activity location land use activity episode travel episode stop episode transferability scalability modularity scripting big data travel survey respondent burden preprocessing multipath error tracking purpose detection segmentation data filter data smoothing fuzzy logic neural network decision tree rule-based algorithm trajectory point road network network dataset gateway shortest path horizontal dilution of precision HDOP commonality factor mode transfer point Halifax Nova Scotia Space-Time Activity Research variance inflation factor shapefile comma-separated values traveling salesman problem data mining branch-and-bound algorithm pedestrian network alternative route observed route route efficiency route attributes distance time heading bearing duration acceleration latitude longitude coordinate overlay analysis intersect shopping module data logger walk likelihood ratio test classification table path generation kappa statistic degrees data collection transportation research automate framework ArcToolbox spatio-temporal navigation positioning trace path spatial data topology horizontal accuracy SPSS Stata spatial resolution temporal resolution household survey trip reporting proximity analysis DMTI Desktop Mapping Technologies Inc. road intersection route overlap left turn right turn location analysis time geography spatial statistics buffer analysis cycling bus transit public transportation GEOIDE AGILE data need raw data urban canyon endpoint data cleaning elevation satellite outliers automatic processing nearest node classifier classification method short trip multi-point
86	Birds, bats and arthropods in tropical agroforestry landscapes: Functional diversity, multitrophic interactions and crop yield Maas, Bea 20 November 2013 (has links) No description available. 630 birds bats arthropods multitrophic interactions agroforestry tropical landscape forest margin landscape functional diversity crop yield exclosure experiments experimental exclusion arthropod suppression avian predation ecosystem services mist netting point counts artificial plasticine caterpillar dummy experiment biological control monitoring mapping Lemon-bellied White-eye Grosbeak Starling Zosterops chloris Scissiostrum dubium Theobroma cacao cacao agroforestry cacao diseases cacao harvest cacao pests flying vertebrates aerial insectivores volant vertebrates logging breeding colony flower herbivory mesopredator release predatory insects ants spiders aphids Lepidoptera Coleoptera Lepidopteran larvae sustainable agriculture sustainable agroforestry management implications management recommendations applied managament extensive land use management landscape management conservation biodiversity-friendly dbh distance to forest forest proximity habitat conversion herbivory Indonesia insectivorous bats insectivorous birds invertebrates Central Sulawesi Napu valley leaf gleaning leaf herbivory pests insects phytophagous insects plant productivity remnant forest trees shade tree managament South-east Asia Paleotropics tropical landscape tree height landscape gradient local shade management Cacao Pod Borer Cherelle Wilt fruit abortion Helopeltis sulawesi deforestation habitat fragmentation land use intensification forest margin species critical decline predation experiment species-specific functions Southeast Asia biodiversity conservation mesopredators food security human welfare human well-being poverty alleviation poverty reduction smallholder cacao smallholder plantation cacao farmers sustainable cacao management landscape perspective landscape scale large scale field experiment long term field experiment human wellbeing economic importance economic value valuation ecosystem services landscape matrix yield quality yield quantity fruit productivity species identity species diversity species richness ecosystem functioning pesticide use chemical compounds complex food web tritrophic interactions wildlife-friendly rural livelihoods endangered bird species endangered bat species endemic endemic birds endemic bats beneficial impact IUCN Lore Lindu National Park bioindicator indicator species forest margin agricultural habitat agroforestry systems population density predation activity species activity cacao flower cacao pod Orthoptera linear mixed effect models Tukey Post Hoc Test AICc model selection generalized least squares restricted maximum likelihood model simplification species richness estimator species accumulation linear mixed-effects models Likelihood Ratio Test Maximum Likelihood nocturnal insects diurnal arthropods nocturnal arthropods diurnal insects landscape context Land- und Forstwirtschaft (PPN621302791)

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